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Miffre, Joelle's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
17,838 |
Total
Citations
90 |
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1.
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Momentum Strategies in Commodity Futures Markets
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Miffre, Joelle
EDHEC Business School Rallis, Georgios
City University of London - Sir John Cass Business School
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Posted:
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20 Apr 05
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Last Revised:
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27 May 08
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3,952
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Miffre, Joelle
EDHEC Business School Rallis, Georgios
City University of London - Sir John Cass Business School
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Commodity futures, Momentum, Backwardation, Contango, Diversification
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Miffre, Joelle
EDHEC Business School Rallis, Georgios
City University of London - Sir John Cass Business School
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3,952
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Commodity futures, Momentum, Backwardation, Contango, Diversification
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2.
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Fuertes, Ana-Maria
Cass Business School, City University London Miffre, Joelle
EDHEC Business School Rallis, Georgios
City University of London - Sir John Cass Business School
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30 Apr 08
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Last Revised:
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26 Jul 10
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3,839
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11
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Commodity Futures, Momentum, Term Structure, Backwardation, Contango, Double-sort strategy
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3.
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The Impact of Non-Normality Risks and Tactical Trading on Hedge Fund Alphas
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Kat, Harry M.
Miffre, Joelle
EDHEC Business School
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Posted:
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03 Aug 03
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Last Revised:
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28 May 08
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1,892
(3,093)
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12
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Kat, Harry M.
Miffre, Joelle
EDHEC Business School
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Hedge funds, performance evaluation, alpha, systematic skewness, systematic kurtosis, tactical asset allocation
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Kat, Harry M.
Miffre, Joelle
EDHEC Business School
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1,892
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12
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Hedge funds, performance evaluation, alpha, systematic skewness, systematic kurtosis, tactical asset allocation
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4.
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Basu, Devraj
Skema Business School Miffre, Joelle
EDHEC Business School
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12 Feb 09
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Last Revised:
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09 Jan 13
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1,347
(5,628)
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5
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Commodity, Risk premium, Hedging pressure, Term structure, Momentum
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5.
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Chong, James
California State University, Northridge - Department of Finance, Real Estate, & Insurance Miffre, Joelle
EDHEC Business School
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20 Oct 05
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Last Revised:
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26 Apr 09
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1,181
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10
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Commodity Futures, Traditional Assets, Correlation, Volatility, DCC Model
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6.
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Li, Xiafei
Nottingham University Business School Brooks, Chris
University of Reading - ICMA Centre Miffre, Joelle
EDHEC Business School
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10 Aug 07
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Last Revised:
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19 May 09
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918
(10,578)
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3
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Momentum profits, Transaction costs, Low-cost strategy
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7.
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Basu, Devraj
Skema Business School Miffre, Joelle
EDHEC Business School
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04 Mar 09
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Last Revised:
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01 Apr 09
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806
(12,958)
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1
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Commodity futures, Hedging pressure, Active strategies
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8.
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Fuertes, Ana-Maria
Cass Business School, City University London Miffre, Joelle
EDHEC Business School Tan, Wooi Hou
Cyberring Ltd.
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15 Jul 05
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Last Revised:
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05 May 08
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716
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1
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Momentum strategy, Abnormal returns, Skewness, Conditional asset pricing
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9.
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Brooks, Chris
University of Reading - ICMA Centre Cerny, Ales
Cass Business School Miffre, Joelle
EDHEC Business School
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20 Mar 08
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Last Revised:
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22 Apr 10
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571
(21,307)
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1
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utility-based hedging, OLS, non-normality risk, commodity futures, skewness, kurtosis
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10.
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Fuertes, Ana-Maria
Cass Business School, City University London Miffre, Joelle
EDHEC Business School Fernández-Pérez, Adrián
University of Las Palmas de Gran Canaria - Department of Quantitative Methods in Economics
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14 Dec 11
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Last Revised:
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20 Feb 13
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466
(27,897)
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commodity futures, momentum, term structure, idiosyncratic volatility
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11.
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Miffre, Joelle
EDHEC Business School Fernández-Pérez, Adrián
University of Las Palmas de Gran Canaria - Department of Quantitative Methods in Economics
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01 Sep 11
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Last Revised:
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11 Sep 12
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452
(29,051)
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Commodity futures, Conditional volatility, Conditional correlation, Long-short portfolios, Professional money managers, Financialization
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12.
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Li, Xiafei
Nottingham University Business School Brooks, Chris
University of Reading - ICMA Centre Miffre, Joelle
EDHEC Business School
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359
(38,801)
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Momentum profits, Transaction costs, bid-ask spreads, trading volume
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13.
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The Value Premium and Time-Varying Volatility
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Show Abstracts |
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Versions (1)
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Export Bibliographic Info |
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Li, Xiafei
Nottingham University Business School Brooks, Chris
University of Reading - ICMA Centre Miffre, Joelle
EDHEC Business School
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Posted:
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02 May 07
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Last Revised:
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16 Mar 09
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327
(43,317)
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3
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Li, Xiafei
Nottingham University Business School Brooks, Chris
University of Reading - ICMA Centre Miffre, Joelle
EDHEC Business School
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02 May 07
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Last Revised:
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16 Mar 09
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327
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3
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Value premium, CAPM, GJR-GARCH(1,1)-M, Conditional unsystematic risk
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14.
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Rallis, Georgios
City University of London - Sir John Cass Business School Miffre, Joelle
EDHEC Business School Fuertes, Ana-Maria
Cass Business School, City University London
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27 Jul 10
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Last Revised:
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01 May 12
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319
(44,744)
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2
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Long-only commodity indices, Time-to-maturity, Momentum, Term structure
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15.
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Miffre, Joelle
EDHEC Business School
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194
(76,947)
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Commodity indices, Backwardation, Contango, Long, Short
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16.
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Li, Xiafei
Nottingham University Business School Miffre, Joelle
EDHEC Business School Brooks, Chris
University of Reading - ICMA Centre
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181
(82,205)
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10
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Momentum profits, Common unsystematic risk, GJR-GARCH(1,1)-M
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17.
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Miffre, Joelle
EDHEC Business School Fuertes, Ana-Maria
Cass Business School, City University London Fernández-Pérez, Adrián
University of Las Palmas de Gran Canaria - Department of Quantitative Methods in Economics
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| Posted: |
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01 Aug 12
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Last Revised:
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26 Oct 12
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139
(104,381)
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Commodity futures, Idiosyncratic volatility, Backwardation, Contango.
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18.
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Miffre, Joelle
EDHEC Business School Brooks, Chris
University of Reading - ICMA Centre Li, Xiafei
Nottingham University Business School
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| Posted: |
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03 Jun 11
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Last Revised:
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22 Apr 13
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104
(132,239)
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1
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idiosyncratic risk, cross-sectional variation in stock returns, CAPM, conditional volatility, risk premium
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19.
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Miffre, Joelle
EDHEC Business School Brooks, Chris
University of Reading - ICMA Centre
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62
(180,424)
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Financialization, Commodity markets, Speculators, Volatility, Correlation
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20.
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Miffre, Joelle
EDHEC Business School
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13
(299,697)
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2
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21.
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Miffre, Joelle
EDHEC Business School
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FTSE 100 Futures Contract, Efficiency, Time-varying Risk, Risk Premia
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