Gonzalo Cortazar Sanz | Ingeniería UC

Cortázar G., Ortega H., Romero R. (2022)

How Valuable Is Market-and Firm-Specific Information for Calculating Bond Spreads in an Emerging Market?

Emerging Markets Finance and Trade 1-16

Cortázar G., Liedtke P., Ortega H., Schwartz E. (2022)

Time-Varying Term Structure of Oil Risk Premia

Energy Journal 43 5 71-91

Cortazar G., Ortega H., Rojas M., Schwartz E. (2021)

Commodity Index Risk Premium

Journal of Commodity Markets 22 June 100156

Cortazar G., Ortega H., Valencia C. (2021)

How good are analyst forecasts of oil prices?

Energy Economics 102 October 105500

Cortázar G., Naranjo L., Sainz F. (2021)

Optimal decision policy for real options under general Markovian dynamics

European Journal of Operational Research 288 2 634-647

Cifuentes S., Cortazar G., Ortega H., Schwartz E.S. (2020)

Expected prices, futures prices and time-varying risk premiums: The case of copper

Resources Policy 69

Bernales A., Cortázar G., Salamunic L. and Skiadopoulos G. (2020)

Learning and Index Option Returns

Journal of Business & Economic Statistics 38 2 327-339

Cortázar G., Millard C., Ortega H. and Schwartz E.S. (2019)

Commodity Price Forecasts, Futures Prices and Pricing Models

Management Science 65 9 4141-4155

Cortázar G., López M. and Naranjo L. (2017)

A multifactor stochastic volatility model of commodity price

Energy Economics 67 182-201

Campos I., Cortázar G. and Reyes T. (2017)

Modeling and predicting oil VIX: Internet search volume versus traditional macro-finance variables

Energy Economics 66 194-204

Cortázar G., Gutiérrez S. and Ortega H. (2016)

Empirical Performance of Commodity Pricing Models: When is it Worthwhile to Use a Stochastic Volatility Specification?

Journal of Futures Markets 36 5 457-487

Cortázar G., Kovacevic I. and Schwartz E. (2015)

Expected commodity returns and pricing models

Energy Economics 49 60-71

Bernales A., Beuermann D.W., Cortázar G. (2014)

Thinly traded securities and risk management

Estudios de Economia 41 1 5-48

Cortázar G., Schwartz E. and Tapia C. (2012)

Credit spreads in illiquid markets: Model and implementation.

Emerging Markets Finance and Trade 48 6 5372

Cortazar, G. and Eterovic, F. (2010)

Can oil prices help estimate commodity futures prices? the cases of copper and silver. http://dx.doi.org/10.1016/j.resourpol.2010.07.004

Resources Policy 35 4 283-291

Cortázar G., Milla C. and Severino F. (2008)

A multicommodity model of futures prices: Using futures prices of one commodity to estimate the stochastic process of another. http://dx.doi.org/10.1002/fut.20322

Journal of Futures Markets 28 6 537-560

Cortázar G., Gravet M. and Urzúa J. (2008)

The valuation of multidimensional American real options using the LSM simulation method. http://dx.doi.org/10.1016/j.cor.2006.02.016

Computers & Operations Research 35 1 113-129

Cortázar G., Schwartz E.S. and Naranjo L.F. (2007)

Term-structure estimation in markets with infrequent trading. http://dx.doi.org/10.1002/ijfe.317

International Journal of Finance & Economics 12 4 353-369

Cortázar G., Naranjo L. (2006)

An N-factor Gaussian model of oil futures prices

Journal of Futures Markets 26 243-268

Cortazar, G., Naranjo, L. (2005) An N-Factor Gaussian Model of Oil Futures Prices 2005 FMA Annual Meeting, Chicago, October 12-15, http://www.fma.org/Chicago/ChicagoProgram.htm (2005)

An N-Factor Gaussian Model of Oil Futures Prices

Cortazar, G., Gravet, M., Urzua, J (2005) The Valuation of Multidimensional American Real Options using the LSM Simulation Method 9th Annual International Conference Real Options: Theory Meets Practice, Real Options Group and EDC Paris, Paris, June 23-25, http://www.realoptions.org/AcademicProgram/academicprogram2005.html (2005)

The Valuation of Multidimensional American Real Options using the LSM Simulation Method

Cortazar, Schwartz, Naranjo (2004) Term Structure Estimation in Low-Frequency Transaction Markets: A Kalman Filter Approach with Incomplete Panel-Data August 18th to 21st, 2004 in Maastricht, The Netherlands 31st Annual Meeting of the European Finance Association (2004)

Term Structure Estimation in Low-Frequency Transaction Markets: A Kalman Filter Approach with Incomplete Panel-Data

"Cortazar, G., Naranjo, L. (2003) ""A Multi-factor stochastic modelestimation procedure for the valuation and hedging of commodity contingent claims EURO-INFORMS 2003, Istanbul, July 6-10" (2003)

"""A Multi-factor stochastic model and estimation procedure for the valuation and hedging of commodity contingent claims"

Cortázar G., Schwartz E. (2003)

Implementing a stochastic model for oil futures prices

Energy Economics 25 3 215-238

Cortazar, G., Schwartz, E, Naranjo, L. (2003) Term Structure Estimation in Low-Frequency Transaction Markets: A Kalman Filter Approach with Incomplete Panel-Data UCLA-Working Papers In Finance, # 6-03 (2003)

Term Structure Estimation in Low-Frequency Transaction Markets: A Kalman Filter Approach with Incomplete Panel-Data

"Cortazar, G. (2002) ""Evaluating Real Options in Natural Resource Investments by Simulation IFORS 2002, University of Edinburgh UK July 8-12, 151-152" (2002)

"""Evaluating Real Options in Natural Resource Investments by Simulation"

151-152

"Cortazar, G., Schwartz, E., Casassus J. (2002) ""Optimal Exploration Investments under Geological Uncertainty Real R&D Options: Theory, Practice and Implementation, Paxson (Ed.) Butterworth-Heinemann, June 2002" (2002)

"""Optimal Exploration Investments under Geological Uncertainty"

Cortázar G., Schwartz E., Casassus J. (2001)

Optimal exploration investments under price and geological uncertainty: a real options model

R & D Management 31 2 181-189

Cortazar, G., Reyes, A. (2001) Option Markets and the Stochastic Behavior of Commodity Prices 5th Annual Conference Real Options: Theory Meets Practice International, UCLA/ROG Los Angeles, July 13-14 (2001)

Option Markets and the Stochastic Behavior of Commodity Prices

Cortázar G., Schwartz E., Salinas M. (1998)

Evaluation Environmental Investments: A Real Options Approach.

Management Science 44 8 1059-1070

Cortázar G., Casassus J. (1998)

Optimal timing of a mine expansion: Implementing a real options model

The Quarterly Review of Economics and Finance 38 755-769

Cortázar G., Schwartz E. (1993)

A compound option model of production and intermediate inventories

Journal of Business 66 4 517-540