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Is idiosyncratic volatility priced in commodity futures markets?

Fernandez-Perez, Adrian; Fuertes, Ana María; Miffre, … - In: International review of financial analysis 46 (2016), pp. 219-226

Persistent link: https://www.econbiz.de/10011581812

A comprehensive appraisal of style-integration methods

Fernandez-Perez, Adrian; Fuertes, Ana María; Miffre, … - In: Journal of banking & finance 105 (2019), pp. 134-150

Persistent link: https://www.econbiz.de/10012163830

Commodity markets, long-run predictability, and intertemporal pricing

Fernandez-Perez, Adrian; Fuertes, Ana María; Miffre, … - In: Review of finance : journal of the European Finance … 21 (2017) 3, pp. 1159-1188

Persistent link: https://www.econbiz.de/10011803799

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

Fear of hazards in commodity futures markets

Fernandez-Perez, Adrian; Fuertes, Ana María; … - In: Journal of banking & finance 119 (2020), pp. 1-18

Persistent link: https://www.econbiz.de/10012521191

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

The risk premia of energy futures

Fernandez-Perez, Adrian; Fuertes, Ana María; Miffre, … - In: Energy economics 102 (2021), pp. 1-13

Persistent link: https://www.econbiz.de/10013162273

The negative pricing of the May 2020 WTI Contract

Fernandez-Perez, Adrian; Fuertes, Ana María; Miffre, … - In: The energy journal 44 (2023) 1, pp. 119-142

Persistent link: https://www.econbiz.de/10013542016

Newswire Tone-Overlay Commodity Portfolios

Fernandez-Perez, Adrian; Fuertes, Ana-Maria; Miffre, Joëlle - 2023

We propose a method to overlay the tone of commodity-specific newswires upon the commodity characteristics traditionally used in long-short portfolio allocations. Implementing the tone-overlay strategy on 26 commodities generates substantial risk-adjusted profitability gains relative to the...

Persistent link: https://www.econbiz.de/10014349994

Newswire Tone-Overlay Commodity Portfolios

Fuertes, Ana-Maria; Fernandez-Perez, Adrian; Miffre, Joëlle - 2023

Persistent link: https://www.econbiz.de/10014352541