PUBLICATIONS

Long Memory and volatility spillovers across petroleum futures ( with A. Perez-Laborda)  

Energy  243, 122950 

The Determinants of CO2 Prices in the EU Emissions Trading System (with A. Perez-Laborda and I. Sikora)  

Applied Energy   (Forthcoming)

Identifying Technology Shocks via Spectral Variance Decompositions (with A. Perez-Laborda)  

Macroeconomic  Dynamics   (Forthcoming)

Dynamic Frequency Connectedness Between  Oil and Natural Gas Volatilities  2020 (with A. Perez-Laborda)  

Economic Modelling  84, 181-189. 

Trimmed Whittle Estimation of the SVAR vs Filtering: Applications to Technology Shocks   2020 (with A. Perez-Laborda)  

Studies in Nonlinear Dynamics and Econometrics 24, 1-18. 

Monetary Policy Shocks, Inflation Persistence, and Long Memory  2018 (with A. Perez-Laborda) 

 Journal of Macroeconomics 55, 117-127 

On the invertibility of seasonally adjusted series 2018 (with A. Perez-Laborda and L.A. Gil-Alana) 

Computational Statistics 33, 443–465. 

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

Term Structure Persistence  2016  (with M. Abbritti, L.A. Gil-Alana, and A. Moreno) 

Journal of Financial Econometrics 19, 331-352

Testing unemployment theories: a multivariate long memory approach  2016 (with G. M. Caporale and L.A. Gil-Alana)

Journal of Applied Economics 19, 95-112

Can we use seasonally adjusted indicators in dynamic factor models?  2015 (with M. Camacho and G. Perez-Quiros)

Studies in Nonlinear Dynamics and Econometrics 19, 377-391

Hours worked –Productivity Puzzle: identification in fractional integration setting 2015 (with A. Perez-Laborda)

 Macroeconomic Dynamics 19, 1593-1621. Download Technical Supplement

Is Exchange rate – Customer order flow relationship linear? Evidence from Hungarian FX market 2013 (with A. Perez-Laborda),  

Journal of International Money and Finance 25, 20-30. Download Technical Appendix

PAPERS UNDER REVIEW 

Modeling Tourism Time Series with Flexible Seasonal Long-Memory Specifications (with A. Duro and A. Perez-Laborda)  Submitted