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Details about Jaime Casassus

E-mail:
Homepage:http://www.economia.uc.cl/profesor/jaime-casassus
Phone:+56 (2) 2354-4319
Postal address:Instituto de Economia UC, Av. Vicuna Mackenna 4860, Santiago, CHILE
Workplace:Instituto de Economía (Institute of Economics), Facultad de Ciencia Económicas y Administrativas (School of Economics and Business Administration), Pontificia Universidad Católica de Chile (Pontifical Catholic University of Chile), (more information at EDIRC)

Access statistics for papers by Jaime Casassus.

Last updated 2018-12-05. Update your information in the RePEc Author Service.

Short-id: pca681


Jump to Journal Articles

Working Papers

2014

  1. Maximal Gaussian Affine Models for Multiple Commodities: A Note
    Documentos de Trabajo, Instituto de Economia. Pontificia Universidad Católica de Chile. Downloads
    See also Journal Article in Journal of Futures Markets (2015)

2013

  1. Adjusted Money's Worth Ratios in Life Annuities
    Documentos de Trabajo, Instituto de Economia. Pontificia Universidad Católica de Chile. Downloads
  2. The Economic Impact of Oil on Industry Portfolios
    Documentos de Trabajo, Instituto de Economia. Pontificia Universidad Católica de Chile. Downloads View citations (1)

2011

  1. Relative Scarcity of Commodities with a Long-Term Economic Relationship and the Correlation of Futures Returns
    Documentos de Trabajo, Instituto de Economia. Pontificia Universidad Católica de Chile. Downloads View citations (1)
  2. Stock Return Predictability and Oil Prices
    Documentos de Trabajo, Instituto de Economia. Pontificia Universidad Católica de Chile. Downloads View citations (6)

2010

  1. Consumption and Hedging in Oil Importing Developing Countries
    Documentos de Trabajo, Instituto de Economia. Pontificia Universidad Católica de Chile. Downloads
  2. Correlation Structure between Inflation and Oil Futures Returns: An Equilibrium Approach
    Documentos de Trabajo, Instituto de Economia. Pontificia Universidad Católica de Chile. Downloads View citations (2)
    See also Journal Article in Resources Policy (2010)

2005

  1. Equilibrium Commodity Prices with Irreversible Investment and Non-Linear Technology
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (12)

Undated

  1. Equilibrium Commodity Prices with Irreversible Investment and Non-Linear Technologies
    GSIA Working Papers, Carnegie Mellon University, Tepper School of Business Downloads View citations (9)
    See also Journal Article in Journal of Banking & Finance (2018)

Journal Articles

2018

  1. Equilibrium commodity prices with irreversible investment and non-linear technologies
    Journal of Banking & Finance, 2018, 95, (C), 128-147 Downloads
    See also Working Paper

2015

  1. Maximal Gaussian Affine Models for Multiple Commodities: A Note
    Journal of Futures Markets, 2015, 35, (1), 75-86 Downloads
    See also Working Paper (2014)

2013

  1. Economic Linkages, Relative Scarcity, and Commodity Futures Returns
    Review of Financial Studies, 2013, 26, (5), 1324-1362 Downloads View citations (22)

2012

  1. Consumption and Hedging in Oil†Importing Developing Countries
    European Financial Management, 2012, 18, (5), 896-928 Downloads
  2. Short-horizon return predictability and oil prices
    Quantitative Finance, 2012, 12, (12), 1909-1934 Downloads View citations (3)

2010

  1. Correlation structure between inflation and oil futures returns: An equilibrium approach
    Resources Policy, 2010, 35, (4), 301-310 Downloads View citations (1)
    See also Working Paper (2010)

2005

  1. Stochastic Convenience Yield Implied from Commodity Futures and Interest Rates
    Journal of Finance, 2005, 60, (5), 2283-2331 Downloads View citations (146)
  2. Unspanned stochastic volatility and fixed income derivatives pricing
    Journal of Banking & Finance, 2005, 29, (11), 2723-2749 Downloads View citations (11)

1998

  1. Optimal Timing of a Mine Expansion: Implementing a Real Options Model
    The Quarterly Review of Economics and Finance, 1998, 38, (3, Part 2), 755-769 Downloads View citations (15)
 
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