- Time series
Yuliya Lovcha is a post-doctoral researcher at the Department of Economics at the Universitat Rovira i Virgili. She obtained her PhD in 2010 from the Universidad de Alicante. Before obtaining PhD she visited other institutions, such as the Vrije University of Amsterdam, Tinbergen Institute, and the Central Bank of Hungary.
Before joining our faculty, Yuliya has been an assistant professor at the University of Navarra.
Her research interests include various aspects in Time Series, Macroeconomics and Finance.
Articles in journals JCR
- Lovcha, Yuliya; Pérez Laborda, Alejandro (2020): "Dynamic Cyclical Connectedness between Oil and Natural Gas Volatilities", Economic Modelling ,84, 181-189
- Lovcha, Yuliya; Pérez Laborda, Alejandro (2020): "Trimmed Whittle Estimation of the SVAR vs Filtering Low-Frequency Fluctuations: Applications to Technology Shocks.", Studies in Nonlinear Dynamics and Econometrics ,24, 1-18
- Lovcha, Yuliya; Pérez Laborda, Alejandro (2019): "Identifying technology shocks via spectral variance decompositions", Macroeconomic Dynamics ,forthcoming,
- Lovcha, Yuliya; Pérez Laborda, Alejandro (2019): “Dynamic frequency connectedness between oil and natural gas volatilities”, Economic Modelling ,forthcoming,
- Lovcha, Yuliya; Pérez Laborda, Alejandro (2018): "Monetary Policy Shocks, Inflation Persistence, and Long Memory", Journal of Macroeconomics ,55, 117-127
- Lovcha, Yuliya; Pérez Laborda, Alejandro; Gil-Alaña, L. (2018): "On the Invertibility of Seasonally Adjusted Series", Computational Statistics ,33, 443-465
- Lovcha, Yuliya; Pérez Laborda, Alejandro (2017): "Structural shocks and dynamic elasticities in a long memory model of the US gasoline retail market", Empirical Economics ,53, 2, 405-422
- Abbtitti, Mirko.; Gil-Alana, Luis A.; Lovcha, Yuliya; Moreno, Antonio (2016): "Term Structure Persistence", Journal of Financial Econometrics ,14 (2), 331-352
- Caporale, Guglielmo Maria.; Gil-Alana, Luis A.; Lovcha, Yuliya (2016): "Testing Unemployment Theories: A Multivariate Long Memory Approach", Journal of Applied Economics ,19, 95-112
- Camacho, Maximo.; Lovcha, Yuliya; Perez Quiros, Gabriel (2015): "Can we use seasonally adjusted indicators in dynamic factor models?", Studies in Nonlinear Dynamics and Econometrics ,19, 377-391
- Lovcha, Yuliya; Pérez Laborda, Alejandro (2015): "Hours worked - Productivity puzzle: identification in fractional integration settings", Macroeconomic Dynamics ,19, 1593-1621
- Lovcha, Yuliya; Pérez Laborda, Alejandro (2013): "Is exchange rate – customer order flowrelationship linear? Evidence from the Hungarian FX market", Journal of International Money and Finance ,35, 20–35
Title: Multivariate fractional integration, fractional cointegration, structural changes, nonlinear models and other dynamic processes in macro time series
Principal Investigator: Luis Alberiko Gil-Alaña
Members: Lovcha, Yuliya
Reference: ECO2011-28196 Start Year: 2011 End Year: 2014
Entity: Ministerio de Ciencia y Educación