### Code

R package called tvReg (in collaboration with Ruben Fernandez-Casal). It contains functions to estimate time-varying coefficients linear models, AR, VAR, IRF and SURE models. It also plot results and calculate confidence intervals. The implementation of forecasting functions is work in progress. Instructions and examples can be found in this vignette.

### Articles

Villalba-Mora, E., Casas, I., Lupiañez-Villanueva, F. and Maghiros, I. (2015). Adoption of Health Information Technologies by physicians for clinical practice: The Andalusian case. International Journal of Medical Informatics, 84, pp. 477-485.

Aslanidis, N. and Casas, I. (2013). Nonparametric correlation models for portfolio allocation. Journal of Banking and Finance, 37, pp. 2268-2283. Download R code.

Villalba, E., Casas, I., Abadie, F. and Lluch, M. (2013). Integrated personal health and care services deployment: experiences in eight European countries. International Journal of Medical Informatics, 82, pp. 626-635.

Casas, I. and Gijbels, I. (2012). Unstable volatility: the break-preserving local linear estimator. Journal of Nonparametric Statistics, 24, pp. 883-904.

Casas, I. and Gao, J. (2008). Econometric Estimation in Long--Range Dependent Volatility Models: Theory and Practice. Journal of Econometrics, 147, pp. 72-83.

Gao, J. and Casas, I.(2008). Specification Testing in Discretized Diffusion Models: Theory and Practice. Journal of Econometrics, 147, pp. 131-140.

Casas, I. (2008). Estimation of stochastic volatility with LRD. Mathematics and Computers in Simulation, 78, pp. 335-340.

Casas, I. and Gao, J. (2007). Nonparametric Methods in Continuous Time Model Specification. Econometric Reviews, 26, 91-106.

### Working papers

Casas, I., Mao, X. and Veiga, H. (2018). Reexamining financial and economic predictability with new estimators of realized variance and variance risk premium .

Casas, I., Ferreira, E. and Orbe, S. (2017). Time-varying coefficient estimation in SURE models. Application to portfolio management. CREATES Research Papers 2017-33.

Aslanidis, N. and Casas, I. (2011). Modelling asset correlations: A nonparametric approach. University of Sydney Economics Working Paper 2011-01.

Aslanidis, N. and Casas, I. (2010). Modelling asset correlations during the recent financial crisis: A semiparametric approach. CREATES Research Paper 2010-71.

Casas, I. and Gijbels, I. (2009). Unstable Volatility Functions: the Break Preserving Local Linear Estimator. CREATES Research Paper 2009-48.

### Refereed proceedings

Casas, I. and Grassi, S. (2014). "Time-varying VAR: a nonparametric approach". Proceedings International Work-Conference in Time Series Analysis, 866-867.

Villalba Mora E., Lluch M. , Casas, I., Abadie, F. and Maghiros I. (2012). "Towards integrated personal health and care services deployment in Europe". Proceedings IV Workshop on Technology for Healthcare and Healthy Lifestyle, 1994-1995.

Casas, I. and Gao, J. (2005). "Stochastic volatility with long-range dependence". MODSIM 2005 International Congress on Modelling and Simulations, 802-806.

Casas Villalba, M.I. and Tan, CJ K. (2001). "Efficient Monte Carlo linear solver with chain reduction and optimization using PLFG". Proceeding HPCN Europe 2001. Springer-Verlag London, UK, 405-414.