Jaime Casassus : Citation Profile


Are you Jaime Casassus?

Pontificia Universidad Católica de Chile

6

H index

6

i10 index

304

Citations

RESEARCH PRODUCTION:

9

Articles

9

Papers

EDITOR:

1

Series edited

RESEARCH ACTIVITY:

   20 years (1998 - 2018). See details.
   Cites by year: 15
   Journals where Jaime Casassus has often published
   Relations with other researchers
   Recent citing documents: 25.    Total self citations: 10 (3.18 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pca681
   Updated: 2022-11-19    RAS profile: 2019-05-23    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

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 (11)

Nikitopoulos-Sklibosios, Christina (8)

Tang, Ke (6)

Vacha, Lukas (6)

Kočenda, Evžen (6)

Baruník, Jozef (6)

Wagner, Rodrigo (5)

Grüning, Patrick (4)

Hansen, Erwin (4)

Lombardi, Marco (4)

Baum, Christopher (4)

Cites to:

Hamilton, James (16)

Kilian, Lutz (12)

Singleton, Kenneth (10)

Duffie, Darrell (9)

merton, robert (7)

Pindyck, Robert (7)

Wei, Chao (6)

Gertler, Mark (5)

Campbell, John (5)

Herrera, Ana María (5)

Bernanke, Ben (5)

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 (2022 and 2021)


YearTitle of citing document
2022Handling the discontinuity in futures prices when time series modeling of commodity cash and futures prices. (2022). Brorsen, B ; Maples, Joshua G. In: Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie. RePEc:bla:canjag:v:70:y:2022:i:2:p:139-152.

Full description at Econpapers || Download paper

2021Risk Hedging for Production Planning. (2021). Yao, David D ; Wang, Liao. In: Production and Operations Management. RePEc:bla:popmgt:v:30:y:2021:i:6:p:1825-1837.

Full description at Econpapers || Download paper

2021How Do Subnational Governments React to Shocks to Different Revenue Sources? Evidence from Hydrocarbon-Producing Provinces in Argentina. (2021). Besfamille, Martin ; Sanguinetti, Pablo ; Manzano, Osmel ; Jorrat, Diego. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9251.

Full description at Econpapers || Download paper

2022Real options, risk aversion and markets: A corporate finance perspective. (2022). Ewald, Christian-Oliver ; Taub, Bart. In: Journal of Corporate Finance. RePEc:eee:corfin:v:72:y:2022:i:c:s0929119922000074.

Full description at Econpapers || Download paper

2021Optimal decision policy for real options under general Markovian dynamics. (2021). Sainz, Felipe ; Naranjo, Lorenzo ; Cortazar, Gonzalo. In: European Journal of Operational Research. RePEc:eee:ejores:v:288:y:2021:i:2:p:634-647.

Full description at Econpapers || Download paper

2021Analytic formulas for futures and options for a linear quadratic jump diffusion model with seasonal stochastic volatility and convenience yield: Do fish jump?. (2021). Zou, Yihan ; Ewald, Christian. In: European Journal of Operational Research. RePEc:eee:ejores:v:294:y:2021:i:2:p:801-815.

Full description at Econpapers || Download paper

2022Is normal backwardation normal? Valuing financial futures with a local index-rate covariance. (2022). ZIMMERMANN, Paul ; Raimbourg, Philippe. In: European Journal of Operational Research. RePEc:eee:ejores:v:298:y:2022:i:1:p:351-367.

Full description at Econpapers || Download paper

2022Price discovery under model uncertainty. (2022). Linn, Scott ; Kim, Jaeho. In: Energy Economics. RePEc:eee:eneeco:v:107:y:2022:i:c:s0140988322000202.

Full description at Econpapers || Download paper

2022A note on the spot-forward parity under stochastic cost of carry. (2022). Guiotto, Paolo. In: Energy Economics. RePEc:eee:eneeco:v:112:y:2022:i:c:s0140988322003206.

Full description at Econpapers || Download paper

2021Stochastic volatility, jumps and leverage in energy and stock markets: Evidence from high frequency data. (2021). Baum, Christopher ; Chen, Liyuan ; Zerilli, Paola. In: Energy Economics. RePEc:eee:eneeco:v:93:y:2021:i:c:s0140988319302622.

Full description at Econpapers || Download paper

2021Electricity price modelling with stochastic volatility and jumps: An empirical investigation. (2021). Ignatieva, Katja ; Gudkov, Nikolay. In: Energy Economics. RePEc:eee:eneeco:v:98:y:2021:i:c:s0140988321001651.

Full description at Econpapers || Download paper

2021Self-exciting jumps in the oil market: Bayesian estimation and dynamic hedging. (2021). Sgarra, Carlo ; Gonzato, Luca. In: Energy Economics. RePEc:eee:eneeco:v:99:y:2021:i:c:s0140988321001845.

Full description at Econpapers || Download paper

2021Predicting equity premium by conditioning on macroeconomic variables: A prediction selection strategy using the price of crude oil. (2021). Nonejad, Nima. In: Finance Research Letters. RePEc:eee:finlet:v:41:y:2021:i:c:s1544612320316068.

Full description at Econpapers || Download paper

2021Basis-momentum strategies and ranking periods. (2021). Yun, Jaesun ; Kang, Jangkoo ; Kwon, Kyung Yoon. In: Finance Research Letters. RePEc:eee:finlet:v:43:y:2021:i:c:s1544612321000787.

Full description at Econpapers || Download paper

2022Oil volatility risk. (2022). Xu, Lai ; Shaliastovich, Ivan ; Hitzemann, Steffen ; Gao, Lin. In: Journal of Financial Economics. RePEc:eee:jfinec:v:144:y:2022:i:2:p:456-491.

Full description at Econpapers || Download paper

2021Price overreactions in the commodity futures market: An intraday analysis of the Covid-19 pandemic impact. (2021). Czudaj, Robert ; van Hoang, Thi Hong ; Borgards, Oliver. In: Resources Policy. RePEc:eee:jrpoli:v:71:y:2021:i:c:s0301420720309946.

Full description at Econpapers || Download paper

2021Incorporating strategic petroleum reserve and welfare losses: A way forward for the policy development of crude oil resources in South Asia. (2021). Sadiq, Muhammad ; Iqbal, Wasim ; Chien, Fengsheng ; Chau, Ka Yin ; Tang, Yuk Ming ; Liu, Zhen. In: Resources Policy. RePEc:eee:jrpoli:v:74:y:2021:i:c:s0301420721003196.

Full description at Econpapers || Download paper

2022Spillovers and interdependency across base metals: Evidence from Chinas futures and spot markets. (2022). Tongurai, Jittima ; Chen, Xiangyu. In: Resources Policy. RePEc:eee:jrpoli:v:75:y:2022:i:c:s0301420721004876.

Full description at Econpapers || Download paper

2021An empirical study on the regulated Chinese agricultural commodity futures market based on skew Ornstein-Uhlenbeck model. (2021). Xue, Cheng ; Bai, Yizhou. In: Research in International Business and Finance. RePEc:eee:riibaf:v:57:y:2021:i:c:s027553192100026x.

Full description at Econpapers || Download paper

2022Equilibrium pricing of commodity spot and forward under incomplete markets with implications on convenience yield. (2022). Nakajima, Katsushi. In: Annals of Finance. RePEc:kap:annfin:v:18:y:2022:i:1:d:10.1007_s10436-021-00402-7.

Full description at Econpapers || Download paper

2022Risk premia in the term structure of crude oil futures: long-run and short-run volatility components. (2022). Liu, Rui ; Boyd, Naomi. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:58:y:2022:i:4:d:10.1007_s11156-021-01032-w.

Full description at Econpapers || Download paper

2021Re-evaluating natural resource investments under uncertainty: An alternative to limited traditional approaches. (2021). Maier, Sebastian. In: Annals of Operations Research. RePEc:spr:annopr:v:299:y:2021:i:1:d:10.1007_s10479-020-03569-w.

Full description at Econpapers || Download paper

2022Pricing commodity futures and determining risk premia in a three factor model with stochastic volatility: the case of Brent crude oil. (2022). Westgaard, Sjur ; Ouyang, Ruolan ; Ewald, Christian ; Chen, Jilong ; Xiao, Xiaoxia. In: Annals of Operations Research. RePEc:spr:annopr:v:313:y:2022:i:1:d:10.1007_s10479-021-04198-7.

Full description at Econpapers || Download paper

2021An Impulse-Regime Switching Game Model of Vertical Competition. (2021). Ludkovski, Mike ; Li, Liangchen ; Campi, Luciano ; Aid, Rene. In: Dynamic Games and Applications. RePEc:spr:dyngam:v:11:y:2021:i:4:d:10.1007_s13235-021-00381-4.

Full description at Econpapers || Download paper

2021Large fluctuations of Chinas commodity prices: Main sources and heterogeneous effects. (2021). Lin, Boqiang ; Xu, Bin. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:2:p:2074-2089.

Full description at Econpapers || Download paper

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.
[Full Text][Citation analysis]
article0
2005Stochastic Convenience Yield Implied from Commodity Futures and Interest Rates In: Journal of Finance.
[Full Text][Citation analysis]
article189
0000Equilibrium Commodity Prices with Irreversible Investment and Non-Linear Technologies, In: GSIA Working Papers.
[Full Text][Citation analysis]
paper20
2018Equilibrium commodity prices with irreversible investment and non-linear technologies.(2018) In: Journal of Banking & Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 20
article
2005Unspanned stochastic volatility and fixed income derivatives pricing In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article14
2010Correlation structure between inflation and oil futures returns: An equilibrium approach In: Resources Policy.
[Full Text][Citation analysis]
article2
2010Correlation Structure between Inflation and Oil Futures Returns: An Equilibrium Approach.(2010) In: Documentos de Trabajo.
[Full Text][Citation analysis]
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.
[Full Text][Citation analysis]
article20
2010Consumption and Hedging in Oil Importing Developing Countries In: Documentos de Trabajo.
[Full Text][Citation analysis]
paper0
2011Relative Scarcity of Commodities with a Long-Term Economic Relationship and the Correlation of Futures Returns In: Documentos de Trabajo.
[Full Text][Citation analysis]
paper1
2011Stock Return Predictability and Oil Prices In: Documentos de Trabajo.
[Full Text][Citation analysis]
paper5
2013The Economic Impact of Oil on Industry Portfolios In: Documentos de Trabajo.
[Full Text][Citation analysis]
paper2
2013Adjusted Moneys Worth Ratios in Life Annuities In: Documentos de Trabajo.
[Full Text][Citation analysis]
paper0
2014Maximal Gaussian Affine Models for Multiple Commodities: A Note In: Documentos de Trabajo.
[Full Text][Citation analysis]
paper0
2015Maximal Gaussian Affine Models for Multiple Commodities: A Note.(2015) In: Journal of Futures Markets.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
article
2005Equilibrium Commodity Prices with Irreversible Investment and Non-Linear Technology In: NBER Working Papers.
[Full Text][Citation analysis]
paper15
2013Economic Linkages, Relative Scarcity, and Commodity Futures Returns In: Review of Financial Studies.
[Full Text][Citation analysis]
article31
2012Short-horizon return predictability and oil prices In: Quantitative Finance.
[Full Text][Citation analysis]
article5

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated November, 1st 2022. Contact: CitEc Team