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Do long-short speculators destabilize commodity futures markets?

Miffre, Joëlle; Brooks, Chris - In: International review of financial analysis 30 (2013), pp. 230-240

Persistent link: https://www.econbiz.de/10010460310

Is Idiosyncratic Volatility Priced in Commodity Futures Markets?

Fernandez-Perez, Adrian - 2019

This article investigates the relationship between expected returns and past idiosyncratic volatility in commodity futures markets. Measuring the idiosyncratic volatility of 27 commodity futures contracts with traditional pricing models that fail to account for backwardation and contango leads...

Persistent link: https://www.econbiz.de/10012905579

The skewness of commodity futures returns

Fernandez-Perez, Adrian; Frijns, Bart; Fuertes, Ana María - In: Journal of banking & finance 86 (2018), pp. 127-142

Persistent link: https://www.econbiz.de/10011962440

Conditional correlation and volatility in commodity futures and traditional asset markets

Chong, James; Miffre, Joëlle - In: The journal of alternative investments 12 (2009/10) 3, pp. 61-75

Persistent link: https://www.econbiz.de/10003938283

Tactical allocation in commodity futures markets : combining momentum and term structure signals

Fuertes, Ana María; Miffre, Joëlle; Rallis, Georgios - In: Journal of banking & finance 34 (2010) 10, pp. 2530-2548

Persistent link: https://www.econbiz.de/10008858295

The case for long-short commodity investing

Miffre, Joëlle; Fernandez-Perez, Adrian - In: The journal of alternative investments 18 (2015/2016) 1, pp. 92-104

Persistent link: https://www.econbiz.de/10011307946

Commodity, strategies based on momentum, term structure, and idiosyncratic volatility

Fuertes, Ana María; Miffre, Joëlle; Fernandez-Perez, … - In: The journal of futures markets 35 (2015) 3, pp. 274-297

Persistent link: https://www.econbiz.de/10011348423

Capturing the risk premium of commodity futures : the role of hedging pressure

Basu, Devraj; Miffre, Joëlle - In: Journal of banking & finance 37 (2013) 7, pp. 2652-2664

Persistent link: https://www.econbiz.de/10009760567

Commodity risks and the cross-section of equity returns

Brooks, Chris; Miffre, Joëlle; Nneji, Ogonna - In: The British accounting review : the journal of the … 48 (2016) 2, pp. 134-150

Persistent link: https://www.econbiz.de/10011520867

Did long-short investors destabilize commodity markets

Miffre, Joëlle; Brooks, Chris - 2013

Persistent link: https://www.econbiz.de/10009782761