Jaime Casassus : Citation Profile


Are you Jaime Casassus?

Pontificia Universidad Católica de Chile

6

H index

5

i10 index

221

Citations

RESEARCH PRODUCTION:

9

Articles

9

Papers

EDITOR:

1

Series edited

RESEARCH ACTIVITY:

   20 years (1998 - 2018). See details.
   Cites by year: 11
   Journals where Jaime Casassus has often published
   Relations with other researchers
   Recent citing documents: 40.    Total self citations: 10 (4.33 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pca681
   Updated: 2019-10-15    RAS profile: 2019-05-23    
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Relations with other researchers


Works with:

Tang, Ke (3)

Authors registered in RePEc who have co-authored more than one work in the last five years with Jaime Casassus.

Is cited by:

Prokopczuk, Marcel (8)

Baruník, Jozef (6)

Nikitopoulos-Sklibosios, Christina (6)

Vacha, Lukas (6)

Kočenda, Evžen (6)

Wagner, Rodrigo (5)

Tang, Ke (5)

Hansen, Erwin (4)

Grüning, Patrick (4)

Kearney, Fearghal (4)

Schlag, Christian (4)

Cites to:

Kilian, Lutz (11)

Hamilton, James (11)

Duffie, Darrell (8)

Singleton, Kenneth (8)

Pindyck, Robert (7)

merton, robert (6)

Wei, Chao (6)

Campbell, John (5)

Routledge, Bryan (4)

Brennan, Michael (4)

Ratti, Ronald (4)

Main data


Where Jaime Casassus has published?


Journals with more than one article published# docs
Journal of Banking & Finance2

Working Papers Series with more than one paper published# docs
Documentos de Trabajo / Instituto de Economia. Pontificia Universidad Catlica de Chile.7

Recent works citing Jaime Casassus (2018 and 2017)


YearTitle of citing document
2017Speculation in Commodity Futures Markets, Inventories and the Price of Crude Oil. (2017). Byun, Sung Je ; Je, Sung. In: The Energy Journal. RePEc:aen:journl:ej38-5-byun.

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2017An equilibrium model for spot and forward prices of commodities. (2017). Anthropelos, Michail ; Papapantoleon, Antonis ; Kupper, Michael. In: Papers. RePEc:arx:papers:1502.00674.

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2018Seasonal Stochastic Volatility and the Samuelson Effect in Agricultural Futures Markets. (2018). Schneider, Lorenz ; Tavin, Bertrand. In: Papers. RePEc:arx:papers:1802.01393.

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2018Multifractal characteristics and return predictability in the Chinese stock markets. (2018). Fu, Xin-Lan ; Zhou, Wei-Xing ; Jiang, Zhi-Qiang ; Shan, Zheng ; Gao, Xing-Lu. In: Papers. RePEc:arx:papers:1806.07604.

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2019Stochastic volatility, jumps and leverage in energy and stock markets: evidence from high frequency data. (2018). Zerilli, Paola ; Chen, Liyuan ; Baum, Christopher. In: Boston College Working Papers in Economics. RePEc:boc:bocoec:952.

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2017On the estimation of regime-switching Lévy models. (2017). Goutte, Stéphane ; Chevallier, Julien ; Stephane, Goutte ; Julien, Chevallier . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:21:y:2017:i:1:p:3-29:n:4.

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2017On the behavior of commodity prices when speculative storage is bounded. (2017). Kleppe, Tore ; Oglend, Atle. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:75:y:2017:i:c:p:52-69.

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2017Catching the curl: Wavelet thresholding improves forward curve modelling. (2017). Vedenov, Dmitry ; Turvey, Calum ; Eaves, James ; Power, Gabriel J. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:312-321.

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2019Testing commodity futures market efficiency under time-varying risk premiums and heteroscedastic prices. (2019). Lin, Hai ; Premachandra, IM ; Kuruppuarachchi, Duminda. In: Economic Modelling. RePEc:eee:ecmode:v:77:y:2019:i:c:p:92-112.

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2017A multifactor stochastic volatility model of commodity prices. (2017). Naranjo, Lorenzo ; Lopez, Matias ; Cortazar, Gonzalo. In: Energy Economics. RePEc:eee:eneeco:v:67:y:2017:i:c:p:182-201.

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2019Pricing dynamics of natural gas futures. (2019). Li, Bingxin. In: Energy Economics. RePEc:eee:eneeco:v:78:y:2019:i:c:p:91-108.

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2017The impacts of oil price shocks on small oil-importing economies: Time series evidence for Liberia. (2017). Repha, Isaac Yak ; Wesseh, Presley K ; Wang, Zhen ; Gbatu, Abimelech Paye. In: Energy. RePEc:eee:energy:v:139:y:2017:i:c:p:975-990.

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2017Dynamic spillover effects across petroleum spot and futures volatilities, trading volume and open interest. (2017). Tsouknidis, Dimitris ; Magkonis, Georgios. In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:104-118.

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2018How sensitive is corporate debt to swings in commodity prices?. (2018). Donders, Pablo ; Wagner, Rodrigo ; Jara, Mauricio. In: Journal of Financial Stability. RePEc:eee:finsta:v:39:y:2018:i:c:p:237-258.

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2017Stockpiling cash when it takes time to build: Exploring price differentials in a commodity boom. (2017). Hansen, Erwin ; Wagner, Rodrigo. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:77:y:2017:i:c:p:197-212.

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2017A two-factor cointegrated commodity price model with an application to spread option pricing. (2017). Necula, Ciprian ; Huitema, Robert ; Gourier, Elise ; Farkas, Walter . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:77:y:2017:i:c:p:249-268.

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2017Do oil futures prices predict stock returns?. (2017). I-Hsuan Ethan Chiang, ; Hughen, Keener W. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:79:y:2017:i:c:p:129-141.

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2018Introduction—special issue on commodity and energy markets in the Journal of Banking and Finance. (2018). Roncoroni, Andrea ; Ronn, Ehud I ; Prokopczuk, Marcel. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:95:y:2018:i:c:p:1-4.

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2018Pricing of long-dated commodity derivatives: Do stochastic interest rates matter?. (2018). Schlogl, Erik ; Nikitopoulos-Sklibosios, Christina ; Cheng, Benjamin. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:95:y:2018:i:c:p:148-166.

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2018Cross-commodity news transmission and volatility spillovers in the German energy markets. (2018). Green, Rikard ; Nilsson, Birger ; Lunina, Veronika ; Larsson, Karl . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:95:y:2018:i:c:p:231-243.

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2019A jump-diffusion model for pricing and hedging with margined options: An application to Brent crude oil contracts. (2019). Hilliard, Jimmy E. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:98:y:2019:i:c:p:137-155.

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2018Carry. (2018). , Ralph ; Vrugt, Evert B ; Pedersen, Lasse Heje ; Moskowitz, Tobias J. In: Journal of Financial Economics. RePEc:eee:jfinec:v:127:y:2018:i:2:p:197-225.

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2019Gold, platinum, and expected stock returns. (2019). Kilic, Mete ; Huang, Darien. In: Journal of Financial Economics. RePEc:eee:jfinec:v:132:y:2019:i:3:p:50-75.

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2019Real option valuation of open pit mines with two processing methods. (2019). Guzman, Juan Ignacio ; Sia, Matias. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:13:y:2019:i:c:p:30-39.

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2019Jumps in commodity markets. (2019). Prokopczuk, Marcel ; Benno, Duc Binh. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:13:y:2019:i:c:p:55-70.

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2018Latent jump diffusion factor estimation for commodity futures. (2018). Tang, KE ; Medova, Elena ; Dempster, M. A. H., . In: Journal of Commodity Markets. RePEc:eee:jocoma:v:9:y:2018:i:c:p:35-54.

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2017Valuation of a hypothetical mining project under commodity price and exchange rate uncertainties by using numerical methods. (2017). Aminrostamkolaee, Behnam ; Pourkazemi, Mohammad Hossein ; Mohammadi, Teymour ; Safdari-Vaighani, Ali ; Borghei, Matin Sadat ; Scroggs, Jeffrey S. In: Resources Policy. RePEc:eee:jrpoli:v:52:y:2017:i:c:p:296-307.

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2018Oil consumption, economic growth, and oil futures: The impact of long-run oil supply uncertainty on asset prices. (2018). Ready, Robert C. In: Journal of Monetary Economics. RePEc:eee:moneco:v:94:y:2018:i:c:p:1-26.

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2018Financialized Commodities and Stock Indices Volatilities. (2018). Handika, Rangga ; Ashraf, Sania. In: European Research Studies Journal. RePEc:ers:journl:v:xx:y:2017:i:3b:p:153-164.

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2017Commodity Spot, Forward, and Futures Prices with a Firms Optimal Strategy. (2017). Katsushi, Nakajima . In: Discussion papers. RePEc:eti:dpaper:17008.

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2017Information Flows across the Futures Term Structure: Evidence from Crude Oil Prices. (2017). Robe, Michel ; Raynaud, Franck ; Lautier, Delphine. In: Post-Print. RePEc:hal:journl:hal-01781761.

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2017Shocks propagation across the futures term structure : evidence from crude oil prices. (2017). Robe, Michel ; Raynaud, Franck ; Lautier, Delphine. In: Post-Print. RePEc:hal:journl:hal-01781765.

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2017Jumps in Commodity Markets. (2017). Prokopczuk, Marcel ; Benno, Duc Binh. In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-615.

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2017Pricing Option on Commodity Futures under String Shock. (2017). Deepak, Bisht ; Laha, A K. In: IIMA Working Papers. RePEc:iim:iimawp:14573.

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2017A four-factor stochastic volatility model of commodity prices. (2017). Schone, Max F ; Spinler, Stefan. In: Review of Derivatives Research. RePEc:kap:revdev:v:20:y:2017:i:2:d:10.1007_s11147-016-9126-y.

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2017The affine styled-facts price dynamics for the natural gas: evidence from daily returns and option prices. (2017). Hsu, Chih-Chen ; Chen, Ting-Fu ; Lin, Shih-Kuei. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:48:y:2017:i:3:d:10.1007_s11156-016-0569-x.

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2017Investigating the effect of price process selection on the value of a metal mining asset portfolio. (2017). Collan, Mikael ; Luukka, Pasi ; Savolainen, Jyrki. In: Mineral Economics. RePEc:spr:minecn:v:30:y:2017:i:2:d:10.1007_s13563-017-0102-2.

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2017Pricing and Hedging of Long-Dated Commodity Derivatives. (2017). Chun, Benjamin Tin. In: PhD Thesis. RePEc:uts:finphd:37.

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2019The quantile dependence of commodity futures markets on news sentiment. (2019). Todorova, Neda ; Omura, Akihiro. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:7:p:818-837.

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2017Does investor attention matter? The attention-return relation in gold futures market. (2017). Yin, Libo ; Han, Liyan ; Xu, Yang. In: Economics Discussion Papers. RePEc:zbw:ifwedp:201737.

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Jaime Casassus is editor of


Journal
FinanceUC Working Paper Series

Works by Jaime Casassus:


YearTitleTypeCited
2012Consumption and Hedging in Oil†Importing Developing Countries In: European Financial Management.
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article0
2005Stochastic Convenience Yield Implied from Commodity Futures and Interest Rates In: Journal of Finance.
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article142
0000Equilibrium Commodity Prices with Irreversible Investment and Non-Linear Technologies, In: GSIA Working Papers.
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paper9
2018Equilibrium commodity prices with irreversible investment and non-linear technologies.(2018) In: Journal of Banking & Finance.
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This paper has another version. Agregated cites: 9
article
2005Unspanned stochastic volatility and fixed income derivatives pricing In: Journal of Banking & Finance.
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article11
2010Correlation structure between inflation and oil futures returns: An equilibrium approach In: Resources Policy.
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article2
2010Correlation Structure between Inflation and Oil Futures Returns: An Equilibrium Approach.(2010) In: Documentos de Trabajo.
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This paper has another version. Agregated cites: 2
paper
1998Optimal Timing of a Mine Expansion: Implementing a Real Options Model In: The Quarterly Review of Economics and Finance.
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article16
2010Consumption and Hedging in Oil Importing Developing Countries In: Documentos de Trabajo.
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paper0
2011Relative Scarcity of Commodities with a Long-Term Economic Relationship and the Correlation of Futures Returns In: Documentos de Trabajo.
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paper1
2011Stock Return Predictability and Oil Prices In: Documentos de Trabajo.
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paper5
2013The Economic Impact of Oil on Industry Portfolios In: Documentos de Trabajo.
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paper1
2013Adjusted Moneys Worth Ratios in Life Annuities In: Documentos de Trabajo.
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paper0
2014Maximal Gaussian Affine Models for Multiple Commodities: A Note In: Documentos de Trabajo.
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paper0
2015Maximal Gaussian Affine Models for Multiple Commodities: A Note.(2015) In: Journal of Futures Markets.
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This paper has another version. Agregated cites: 0
article
2005Equilibrium Commodity Prices with Irreversible Investment and Non-Linear Technology In: NBER Working Papers.
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paper11
2013Economic Linkages, Relative Scarcity, and Commodity Futures Returns In: Review of Financial Studies.
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article20
2012Short-horizon return predictability and oil prices In: Quantitative Finance.
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article3

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