Isabel Casas

University of Southern Denmark

Campusvej 55

DK-5230 Odense, 5000

Denmark

SCHOLARLY PAPERS

4

DOWNLOADS

272

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (4)

1.

tvReg: Time-varying Coefficient Linear Regression for Single and Multi-Equations in R

Number of pages: 41 Posted: 08 May 2019
Isabel Casas and Ruben Fernandez-Casal
University of Southern Denmark and affiliation not provided to SSRN
Downloads 235 (135,171)

Abstract:

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Time-Varying Coefficients, Nonparametric, SURE, VAR, IRF, Autoregressive, R

2.

Modelling Time-Varying Income Elasticities of Health Care Expenditure for the OECD

Number of pages: 53 Posted: 30 Oct 2018 Last Revised: 17 Nov 2019
Isabel Casas, Jiti Gao, Bin Peng and Shangyu Xie
University of Southern Denmark, Monash University - Department of Econometrics & Business Statistics, Deakin University - Faculty of Business and Law and University of International Business and Economics (UIBE) - School of Banking and Finance
Downloads 30 (484,447)

Abstract:

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Cross-Sectional Dependence, Health Expenditure, Income Elasticity, Nonparametric Kernel Smoothing, Non-Stationarity, Super-Consistency

3.

Exploring Option Pricing and Hedging via Volatility Asymmetry

Number of pages: 16 Posted: 07 Aug 2015 Last Revised: 18 Dec 2019
Isabel Casas and Helena Veiga
University of Southern Denmark and Universidad Carlos III de Madrid - Department of Statistics and Econometrics
Downloads 7 (624,079)

Abstract:

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Delta Hedging; Option Pricing; Stochastic Volatility; Volatility Asymmetry

4.

Reexamining Financial and Economic Predictability with New Estimators of Realized Variance and Variance Risk Premium

CREATES Research Paper 2018-10
Posted: 05 Mar 2018 Last Revised: 09 Mar 2018
Isabel Casas, Xiuping Mao and Helena Veiga
University of Southern Denmark, Zhongnan University of Economics and Law - School of Finance and Universidad Carlos III de Madrid - Department of Statistics and Econometrics

Abstract:

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Net Measures, Nonparametric Methods, Predictability, Realized Variance, Variance Risk Premium, VIX