PUBLICATIONS
Business Cycle and Financial Econometrics
Identifying Technology Shocks via Spectral Variance Decompositions (with A. Perez-Laborda) Macroeconomic Dynamics, 25, 1966-1992; 2021
Trimmed Whittle Estimation of the SVAR vs Filtering: Applications to Technology Shocks (with A. Perez-Laborda) Studies in Nonlinear Dynamics and Econometrics 24, 1-18; 2020
Monetary Policy Shocks, Inflation Persistence, and Long Memory (with A. Perez-Laborda) Journal of Macroeconomics 55, 117-127; 2018
Term Structure Persistence (with M. Abbritti, L.A. Gil-Alana, and A. Moreno). Journal of Financial Econometrics 19, 331-352; 2016
Testing unemployment theories: a multivariate long memory approach (with G. M. Caporale and L.A. Gil-Alana). Journal of Applied Economics 19, 95-112; 2016
Hours worked –Productivity Puzzle: identification in fractional integration setting (with A. Perez-Laborda) Macroeconomic Dynamics 19, 1593-1621.; 2018 Download Technical Supplement
Is Exchange rate – Customer order flow relationship linear? Evidence from Hungarian FX market (with A. Perez-Laborda), Journal of International Money and Finance 25, 20-30; 2013 Download Technical Appendix
Energy Economics
Long Memory and volatility spillovers across petroleum futures ( with A. Perez-Laborda) Energy 243, 122950; 2022
The Determinants of CO2 Prices in the EU Emissions Trading System (with A. Perez-Laborda and I. Sikora) Applied Energy, 305, 117903; 2022
Dynamic Frequency Connectedness Between Oil and Natural Gas Volatilities (with A. Perez-Laborda) Economic Modelling 84, 181-189; 2020 (Reprinted in Special Issue: Celebrating Economic Modelling as a Top 20 Journal in Economics in 2025: Its most cited papers in 2020–2024).
Structural shocks and demand elasticities in a long-memory model of the US gasoline retail market 2017 (with A. Perez-Laborda) Empirical Economics 53, 405-422; 2015
Seasonality
On the Invertibility of Seasonally Adjusted Series (with L.A. Gil-Alaña and Y. Lovcha), Computational Statistics 33, 443–465; 2018
Can we use seasonally adjusted indicators in dynamic factor models? (with M. Camacho and G. Perez-Quiros) Studies in Nonlinear Dynamics and Econometrics 19, 377-391; 2015