Details about Isabel Casas

Access statistics for papers by Isabel Casas.

Last updated 2021-06-07. Update your information in the RePEc Author Service.

Short-id: pca472

Working Papers

2020

1. Adaptative predictability of stock market returns
   DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística

2019

2. Exploring option pricing and hedging via volatility asymmetry
   DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística
3. Time-Varying Income Elasticities of Healthcare Expenditure for the OECD and Eurozone
   Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (2)
   See also Journal Article Time‐varying income elasticities of healthcare expenditure for the OECD and Eurozone, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2021) View citations (11) (2021)

2018

4. Modelling Time-Varying Income Elasticities of Health Care Expenditure for the OECD
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
   Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2018)
5. Reexamining financial and economic predictability with new estimators of realized variance and variance risk premium
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (2)

2017

6. Time-varying coefficient estimation in SURE models. Application to portfolio management
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (7)

2011

7. Modelling asset correlations: A nonparametric approach
   Working Papers, University of Sydney, School of Economics

2010

8. Modelling asset correlations during the recent FInancial crisis: A semiparametric approach
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (1)

2009

9. Unstable volatility functions: the break preserving local linear estimator
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (4)

2007

10. Econometric estimation in long-range dependent volatility models: Theory and practice
    MPRA Paper, University Library of Munich, Germany View citations (1)
    See also Journal Article Econometric estimation in long-range dependent volatility models: Theory and practice, Journal of Econometrics, Elsevier (2008) View citations (16) (2008)
11. Specification testing in discretized diffusion models: Theory and practice
    MPRA Paper, University Library of Munich, Germany View citations (1)
    See also Journal Article Specification testing in discretized diffusion models: Theory and practice, Journal of Econometrics, Elsevier (2008) View citations (7) (2008)

Journal Articles

2021

1. Time‐varying income elasticities of healthcare expenditure for the OECD and Eurozone
   Journal of Applied Econometrics, 2021, 36, (3), 328-345 View citations (11)
   See also Working Paper Time-Varying Income Elasticities of Healthcare Expenditure for the OECD and Eurozone, Monash Econometrics and Business Statistics Working Papers (2019) View citations (2) (2019)

2013

2. Nonparametric correlation models for portfolio allocation
   Journal of Banking & Finance, 2013, 37, (7), 2268-2283 View citations (14)

2012

3. Unstable volatility: the break-preserving local linear estimator
   Journal of Nonparametric Statistics, 2012, 24, (4), 883-904 View citations (8)

2008

4. Econometric estimation in long-range dependent volatility models: Theory and practice
   Journal of Econometrics, 2008, 147, (1), 72-83 View citations (16)
   See also Working Paper Econometric estimation in long-range dependent volatility models: Theory and practice, MPRA Paper (2007) View citations (1) (2007)
5. Estimation of stochastic volatility with LRD
   Mathematics and Computers in Simulation (MATCOM), 2008, 78, (2), 335-340 View citations (1)
6. Specification testing in discretized diffusion models: Theory and practice
   Journal of Econometrics, 2008, 147, (1), 131-140 View citations (7)
   See also Working Paper Specification testing in discretized diffusion models: Theory and practice, MPRA Paper (2007) View citations (1) (2007)

2007

7. Nonparametric Methods in Continuous Time Model Specification
   Econometric Reviews, 2007, 26, (1), 91-106