Postdoc, PhD


    
Education: PhD, University of Western Australia (2006)
Position: Postdoc, 2008
 

Administrative Assistant: Martha Berdiin (CREATES) and Thomas Stephansen
E-Mail: icasas@remove.this.creates.au.dk
Contact: Phone: +45 8942 1561
Office: Room 134, Building 1327
Personal Home Page
Official Site
    
 
Teaching Interests        

• Econometrics
• Statistics

Research Interests

• Stochastic Volatility
• Long Memory
• Nonparametric Estimation
• High-frequency Finance

Selected Publications         

• Casas, I. & Gao, J. (2007)."Nonparametric methods in continuous time model specification". Econometric Reviews, 26, pp. 91-106
• Casas, I. (2008). "Estimation of stochastic volatility with LRD". Mathematics and Computers in Simulation, 78, pp. 335-340
• Casas, I. & Gao, J. (2008). "Econometric estimation in long-range dependent volatility models: theory and practice". Journal of Econometrics. (To appear)