Details about Jaime Casassus

Access statistics for papers by Jaime Casassus.

Last updated 2019-05-23. Update your information in the RePEc Author Service.

Short-id: pca681

Working Papers

2014

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

2013

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

2011

4. 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. View citations (1)
5. Stock Return Predictability and Oil Prices
   Documentos de Trabajo, Instituto de Economia. Pontificia Universidad Católica de Chile. View citations (7)

2010

6. Consumption and Hedging in Oil Importing Developing Countries
   Documentos de Trabajo, Instituto de Economia. Pontificia Universidad Católica de Chile.
7. Correlation Structure between Inflation and Oil Futures Returns: An Equilibrium Approach
   Documentos de Trabajo, Instituto de Economia. Pontificia Universidad Católica de Chile. View citations (3)
   See also Journal Article Correlation structure between inflation and oil futures returns: An equilibrium approach, Resources Policy, Elsevier (2010) View citations (3) (2010)

2005

8. Equilibrium Commodity Prices with Irreversible Investment and Non-Linear Technology
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (20)

Undated

9. Equilibrium Commodity Prices with Irreversible Investment and Non-Linear Technologies
   GSIA Working Papers, Carnegie Mellon University, Tepper School of Business View citations (9)
   See also Journal Article Equilibrium commodity prices with irreversible investment and non-linear technologies, Journal of Banking & Finance, Elsevier (2018) View citations (18) (2018)

Journal Articles

2018

1. Equilibrium commodity prices with irreversible investment and non-linear technologies
   Journal of Banking & Finance, 2018, 95, (C), 128-147 View citations (18)
   See also Working Paper Equilibrium Commodity Prices with Irreversible Investment and Non-Linear Technologies, GSIA Working Papers View citations (9)

2015

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

2013

3. Economic Linkages, Relative Scarcity, and Commodity Futures Returns
   The Review of Financial Studies, 2013, 26, (5), 1324-1362 View citations (44)

2012

4. Consumption and Hedging in Oil†Importing Developing Countries
   European Financial Management, 2012, 18, (5), 896-928
5. Short-horizon return predictability and oil prices
   Quantitative Finance, 2012, 12, (12), 1909-1934 View citations (6)

2010

6. Correlation structure between inflation and oil futures returns: An equilibrium approach
   Resources Policy, 2010, 35, (4), 301-310 View citations (3)
   See also Working Paper Correlation Structure between Inflation and Oil Futures Returns: An Equilibrium Approach, Documentos de Trabajo (2010) View citations (3) (2010)

2005

7. Stochastic Convenience Yield Implied from Commodity Futures and Interest Rates
   Journal of Finance, 2005, 60, (5), 2283-2331 View citations (217)
8. Unspanned stochastic volatility and fixed income derivatives pricing
   Journal of Banking & Finance, 2005, 29, (11), 2723-2749 View citations (14)

1998

9. 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 View citations (20)