EconPapers    
Economics at your fingertips  
 

Details about Isabel Casas

E-mail:
Homepage:http://www.icasasweb.com
Workplace:Institut for Virksomhedsledelse og Økonomi (Department of Business and Economics), Syddansk Universitet (University of Southern Denmark), (more information at EDIRC)

Access statistics for papers by Isabel Casas.

Last updated 2019-05-13. Update your information in the RePEc Author Service.

Short-id: pca472


Jump to Journal Articles

Working Papers

2019

  1. Exploring option pricing and hedging via volatility asymmetry
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads

2018

  1. Modelling Time-Varying Income Elasticities of Health Care Expenditure for the OECD
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads
    Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2018) Downloads
  2. 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 Downloads

2017

  1. Time-varying coefficient estimation in SURE models. Application to portfolio management
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (1)

2011

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

2010

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

2009

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

2007

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

Journal Articles

2013

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

2012

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

2008

  1. Econometric estimation in long-range dependent volatility models: Theory and practice
    Journal of Econometrics, 2008, 147, (1), 72-83 Downloads View citations (10)
    See also Working Paper (2007)
  2. Estimation of stochastic volatility with LRD
    Mathematics and Computers in Simulation (MATCOM), 2008, 78, (2), 335-340 Downloads View citations (1)
  3. Specification testing in discretized diffusion models: Theory and practice
    Journal of Econometrics, 2008, 147, (1), 131-140 Downloads View citations (4)
    See also Working Paper (2007)

2007

  1. Nonparametric Methods in Continuous Time Model Specification
    Econometric Reviews, 2007, 26, (1), 91-106 Downloads
 
Page updated 2019-10-11