Jaime Casassus

Pontificia Universidad Catolica de Chile

Associate Professor of Financial Economics

Av. Vicuna Mackenna 4860

Instituto de Economia

Santiago

Chile

http://economia.uc.cl/profesor/jaime-casassus/

SCHOLARLY PAPERS

8

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CITATIONS
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38

Scholarly Papers (8)

1.

'Maximal' Convenience Yield Model Implied by Commodity Futures

EFA 2002 Berlin Meetings Presented Paper; Carnegie Mellon University Working Paper
Number of pages: 36 Posted: 27 Feb 2002
Jaime Casassus and Pierre Collin-Dufresne
Pontificia Universidad Catolica de Chile and Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne
Downloads 1,458 (8,660)
Citation 1

Abstract:

Commodity prices, Futures Prices, Convenience Yields, Risk-Premia, Term Structure of Interest rates, Affine Models

2.

Optimal Exploration Investments under Price and Geological-Technical Uncertainty: A Real Options Model

EFMA 2000 Athens
Number of pages: 29 Posted: 31 Dec 2000
Pontificia Universidad Catolica de Chile, University of California, Los Angeles (UCLA) - Finance Area and Pontificia Universidad Catolica de Chile
Downloads 952 (16,991)
Citation 8

Abstract:

3.

Economic Linkages, Relative Scarcity, and Commodity Futures Returns

Number of pages: 50 Posted: 26 Nov 2008 Last Revised: 31 Jul 2012
Jaime Casassus, Peng Liu and Ke Tang
Pontificia Universidad Catolica de Chile, Cornell University and Institute of Economics, School of Social Science, Tsinghua University
Downloads 614 (32,672)
Citation 1

Abstract:

commodity futures, economic linkages, relative scarcity, correlation term structure, convenience yields, spread options

4.

Equilibrium Commodity Prices with Irreversible Investment and Non-Linear Technologies

Number of pages: 50 Posted: 20 Mar 2005 Last Revised: 01 Jul 2011
Pontificia Universidad Catolica de Chile, Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne and Carnegie Mellon University - David A. Tepper School of Business
Downloads 470 (42,820)
Citation 12

Abstract:

Commodity prices, Futures prices, Convenience yield, Scarcity, Investment, Irreversibility, General equilibrium, Simulated Method of Moments (SMM), Regime-switching model, risk premium

5.

Maximal Affine Models for Multiple Commodities: A Note

Number of pages: 17 Posted: 09 Sep 2012
Jaime Casassus, Peng Liu and Ke Tang
Pontificia Universidad Catolica de Chile, Cornell University and Institute of Economics, School of Social Science, Tsinghua University
Downloads 98 (201,867)

Abstract:

maximal affine models, multiple commodities, futures prices

6.

Equilibrium Commodity Prices with Irreversible Investment and Non-Linear Technology

NBER Working Paper No. w11864
Number of pages: 74 Posted: 09 Mar 2006
Pontificia Universidad Catolica de Chile, Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne and Carnegie Mellon University - David A. Tepper School of Business
Downloads 43 (320,648)
Citation 13

Abstract:

7.

Consumption and Hedging in Oil‐Importing Developing Countries

European Financial Management, Vol. 18, Issue 5, pp. 896-928, 2012
Number of pages: 33 Posted: 20 Oct 2012
Felipe Aldunate and Jaime Casassus
affiliation not provided to SSRN and Pontificia Universidad Catolica de Chile
Downloads 1 (521,734)
Citation 3

Abstract:

crude oil prices, convenience yields, risk management, emerging markets, government policy, two‐sector economies

8.

Optimal Timing of a Mine Expansion: Implementing a Real Options Model

1998 Special Issue of the The Quarterly Review Of Economics And Finance, III. Issues in Application
Posted: 05 Nov 1998
Gonzalo Cortazar and Jaime Casassus
Pontificia Universidad Catolica de Chile and Pontificia Universidad Catolica de Chile

Abstract: