Jaime Casassus, Ph.D.
Affiliations: | 2004 | Carnegie Mellon University, Pittsburgh, PA |
Area:
Finance, Industrial EngineeringGoogle:
"Jaime Casassus"Parents
Sign in to add mentor| Pierre Collin-Dufresne | grad student | 2004 | Carnegie Mellon | |
| (Stochastic behavior of spot and futures commodity prices: Theory and evidence.) | ||||
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Publications
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| Casassus J, Collin-Dufresne P, Routledge BR. (2018) Equilibrium commodity prices with irreversible investment and non-linear technologies Journal of Banking and Finance. 95: 128-147 |
| Casassus J, Liu P, Tang K. (2014) Maximal Gaussian Affine Models for Multiple Commodities: A Note Journal of Futures Markets. 35: 75-86 |
| Casassus J, Liu P, Tang K. (2013) Economic Linkages, Relative Scarcity, and Commodity Futures Returns Review of Financial Studies. 26: 1324-1362 |
| Aldunate F, Casassus J. (2012) Consumption and Hedging in Oil‐Importing Developing Countries European Financial Management. 18: 896-928 |
| Casassus J, Higuera F. (2012) Short-horizon return predictability and oil prices Quantitative Finance. 12: 1909-1934 |
| Casassus J, Ceballos D, Higuera F. (2010) Correlation structure between inflation and oil futures returns: An equilibrium approach Resources Policy. 35: 301-310 |
| Casassus J, Collin-Dufresne P, Routledge BR. (2005) Equilibrium Commodity Prices with Irreversible Investment and Non-Linear Technology National Bureau of Economic Research |
| Casassus J, Collin-Dufresne P. (2005) Stochastic Convenience Yield Implied from Commodity Futures and Interest Rates Journal of Finance. 60: 2283-2331 |
| Casassus J, Collin-Dufresne P, Goldstein B. (2005) Unspanned stochastic volatility and fixed income derivatives pricing Journal of Banking & Finance. 29: 2723-2749 |
| Cortazar G, Schwartz ES, Casassus J. (2001) Optimal Exploration Investments under Price and Geological-Technical Uncertainty: A Real Options Model R & D Management. 31: 181-189 |