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Econometric estimation in long-range dependent volatility models : theory and practice

Casas, Isabel; Gao, Jiti - In: Journal of econometrics 147 (2008) 1, pp. 72-83

Persistent link: https://www.econbiz.de/10003783786

Specification testing in discretized diffusion models : theory and practice

Gao, Jiti; Casas, Isabel - In: Journal of econometrics 147 (2008) 1, pp. 131-140

Persistent link: https://www.econbiz.de/10003783793

Nonparametric methods in continuous time model specification

Casas, Isabel; Gao, Jiti - In: Econometric reviews 26 (2007) 1, pp. 91-106

Persistent link: https://www.econbiz.de/10003509019

Modelling time-varying income elasticities of health care expenditure for the OECD

Casas, Isabel; Gao, Jiti; Xie, Shangyu - 2018

Persistent link: https://www.econbiz.de/10012583636

Time-varying income elasticities of healthcare expenditure for the OECD and Eurozone

Casas, Isabel; Gao, Jiti; Peng, Bin; Xie, Shangyu - 2019

Persistent link: https://www.econbiz.de/10012606723

Unstable volatility functions : the break preserving local linear estimator

Casas, Isabel; Gijbels, Irène - 2009

Persistent link: https://www.econbiz.de/10003892556

Nonparametric correlation models for portfolio allocation

Aslanidis, Nektarios; Casas, Isabel - In: Journal of banking & finance 37 (2013) 7, pp. 2268-2283

Persistent link: https://www.econbiz.de/10009760686

Modelling asset correlations during the recent financial crisis : a semiparametric approach

Aslanidis, Nektarios; Casas, Isabel - 2010

Persistent link: https://www.econbiz.de/10008688578

Time-varying coefficient estimation in SURE models : application to portfolio management

Casas, Isabel; Ferreira, Eva; Orbe-Mandaluniz, Susan - In: Journal of financial econometrics 19 (2021) 4, pp. 707-745

Persistent link: https://www.econbiz.de/10012654990

Semi-Parametric Analysis of Shape-Invariant Engel Curves with Control Function Approach

Kim, Nam Hyun; Saart, Patrick; Gao, Jiti - 2014

An extended generalised partially linear single-index (EGPLSI) model provides flexibility of a partially linear model and a single-index model. Furthermore, it also allows for the analysis of the shape-invariant specification. Especially, since it does not only provide the flexibility of a...

Persistent link: https://www.econbiz.de/10014161200