Adrian Fernandez-Perez

Auckland University of Technology

Research Fellow

AUT City Campus

Private Bag 92006

Auckland, 1142

New Zealand

  • Auckland University of Technology

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    • Tel: +64 9 921 9999
    • Fax: +64 9 921 9940
SCHOLARLY PAPERS

20

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Top 31,163

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13

CROSSREF CITATIONS

10

Scholarly Papers (20)

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1.

Commodity Strategies Based on Momentum, Term Structure and Idiosyncratic Volatility

Journal of Futures Markets, 2015, 35, 3, 274-297
Number of pages: 41 Posted: 14 Dec 2011 Last Revised: 10 Nov 2015
Ana-Maria Fuertes, Joëlle Miffre and Adrian Fernandez-Perez
Cass Business School, City University of London, Audencia Business School and Auckland University of Technology
Downloads 1,411 (14,006)
Citation 2

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commodity futures, momentum, term structure, idiosyncratic volatility

2.

The Skewness of Commodity Futures Returns

Journal of Banking and Finance, 2018, 86, 143-158
Number of pages: 43 Posted: 08 Oct 2015 Last Revised: 20 May 2019
Adrian Fernandez-Perez, Bart Frijns, Ana-Maria Fuertes and Joëlle Miffre
Auckland University of Technology, Open University of the Netherlands, Cass Business School, City University of London and Audencia Business School
Downloads 1,359 (14,852)
Citation 9

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Skewness; Commodities; Futures pricing; Selective hedging

3.

Is Idiosyncratic Volatility Priced in Commodity Futures Markets?

International Review of Financial Analysis, 2016, 46, 219-226
Number of pages: 30 Posted: 01 Aug 2012 Last Revised: 20 May 2019
Adrian Fernandez-Perez, Ana-Maria Fuertes and Joëlle Miffre
Auckland University of Technology, Cass Business School, City University of London and Audencia Business School
Downloads 579 (49,857)
Citation 6

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Commodity futures; Idiosyncratic volatility; Backwardation; Contango

4.

A Comprehensive Appraisal of Style-Integration Methods

Journal of Banking and Finance, Volume 105, August 2019, pages 134-150
Number of pages: 54 Posted: 24 Jul 2017 Last Revised: 20 Feb 2020
Adrian Fernandez-Perez, Ana-Maria Fuertes and Joëlle Miffre
Auckland University of Technology, Cass Business School, City University of London and Audencia Business School
Downloads 575 (50,314)
Citation 4

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Style integration; Futures markets; Long-short asset allocation

5.

The Intraday Properties of the VIX and the VXO

Number of pages: 31 Posted: 14 Dec 2016
Adrian Fernandez-Perez, Bart Frijns, Alireza Tourani-Rad and Robert I. Webb
Auckland University of Technology, Open University of the Netherlands, Auckland University of Technology - Faculty of Business & Law and University of Virginia - McIntire School of Commerce
Downloads 352 (91,419)

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VIX, Seasonality, Intraday data

6.

Speculative Pressure

Journal of Futures Markets, Forthcoming
Number of pages: 39 Posted: 02 Dec 2018 Last Revised: 02 Dec 2019
John Hua Fan, Adrian Fernandez-Perez, Ana-Maria Fuertes and Joëlle Miffre
Griffith University - Department of Accounting, Finance and Economics, Auckland University of Technology, Cass Business School, City University of London and Audencia Business School
Downloads 348 (92,287)

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Speculative Pressure, Futures Markets, Risk Premium, Pricing

7.

When No News is Good News – The Decrease in Investor Fear after the FOMC Announcement

Number of pages: 41 Posted: 17 Nov 2014 Last Revised: 18 Nov 2014
Adrian Fernandez-Perez, Bart Frijns and Alireza Tourani-Rad
Auckland University of Technology, Open University of the Netherlands and Auckland University of Technology - Faculty of Business & Law
Downloads 345 (93,169)
Citation 5

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VIX, VIX Futures, FOMC Announcement, Intraday data

8.

Genetic Algorithm for Arbitrage with More than Three Currencies

DEFI Working Paper No. 12-04
Number of pages: 13 Posted: 19 Jul 2012
Adrian Fernandez-Perez, Fernando Fernández Rodríguez and Simon Sosvilla-Rivero
Auckland University of Technology, University of Las Palmas de Gran Canaria - Faculty of Economic Science and UCM Institute for Economic Analysis
Downloads 328 (98,531)

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arbitrage, foreign exchange market, genetic algorithm

9.

Commodity Markets, Long-Run Predictability and Intertemporal Pricing

Review of Finance, 2017, 21, 3, 1159-1188
Number of pages: 36 Posted: 07 May 2014 Last Revised: 20 May 2019
Adrian Fernandez-Perez, Ana-Maria Fuertes and Joëlle Miffre
Auckland University of Technology, Cass Business School, City University of London and Audencia Business School
Downloads 315 (103,155)
Citation 1

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Commodities; Backwardation; Contango; Long-Run Predictability; Intertemporal Pricing

10.

Commodity Risks and the Cross-Section of Equity Returns

British Accounting Review, Vol. 48, 134-150
Number of pages: 38 Posted: 02 Sep 2014 Last Revised: 20 May 2019
Chris Brooks, Adrian Fernandez-Perez, Joëlle Miffre and Ogonna Nneji
University of Reading - ICMA Centre, Auckland University of Technology, Audencia Business School and University of Reading - ICMA Centre
Downloads 283 (115,642)
Citation 2

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Long-only commodity portfolio, term structure portfolio, commodity risk, cross-section of equity returns

11.

Fear Connectedness Among Asset Classes

Research Institute of Applied Economics Working Paper 2017/03
Number of pages: 42 Posted: 03 Feb 2017
Julián Andrada Félix, Adrian Fernandez-Perez and Simon Sosvilla-Rivero
University of Las Palmas de Gran Canaria - Faculty of Economic Science, Auckland University of Technology and UCM Institute for Economic Analysis
Downloads 126 (240,806)
Citation 1

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Implied volatility indices, Financial market Linkages, Connectedness, Vector Autoregression, Variance Decomposition.

12.

The Term Structure of Interest Rates as Predictor of Stock Returns: Evidence for the IBEX 35 During a Bear Market

Number of pages: 29 Posted: 17 Jun 2013
Adrian Fernandez-Perez, Fernando Fernández Rodríguez and Simon Sosvilla-Rivero
Auckland University of Technology, University of Las Palmas de Gran Canaria - Faculty of Economic Science and UCM Institute for Economic Analysis
Downloads 101 (282,171)

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Term structure of interest rates, Stock returns, Trading strategies

13.

Fear of Hazards in Commodity Futures Markets

Number of pages: 62 Posted: 30 Jun 2019 Last Revised: 12 May 2020
Adrian Fernandez-Perez, Ana-Maria Fuertes, Marcos González-Fernández and Joëlle Miffre
Auckland University of Technology, Cass Business School, City University of London, Universidad de León and Audencia Business School
Downloads 93 (297,653)

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Commodity futures; Fear; Attention; Hazards; Internet searches; Sentiment; Long-short portfolios

14.

Music Sentiment and Stock Returns

Number of pages: 20 Posted: 06 May 2020
Adrian Fernandez-Perez, Alexandre Garel and Ivan Indriawan
Auckland University of Technology, Audencia Business School and Auckland University of Technology - Department of Finance
Downloads 86 (312,473)

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investor sentiment, music, behavioral finance

15.

Capturing Energy Risk Premia

Number of pages: 31 Posted: 07 May 2019
Adrian Fernandez-Perez, Ana-Maria Fuertes and Joëlle Miffre
Auckland University of Technology, Cass Business School, City University of London and Audencia Business School
Downloads 86 (312,473)

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Energy futures markets, Risk premium, Long-short portfolios, Integration

16.

Distant or Close Cousins: Connectedness Between Cryptocurrencies and Traditional Currencies Volatilities

Research Institute of Applied Economics, Working Paper 2019/12, 1/74
Number of pages: 74 Posted: 07 Aug 2019
Julián Andrada Félix, Adrian Fernandez-Perez and Simon Sosvilla-Rivero
University of Las Palmas de Gran Canaria - Faculty of Economic Science, Auckland University of Technology and UCM Institute for Economic Analysis
Downloads 67 (360,733)

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Exchange Rates, Cryptocurrencies, Connectedness, Time-Varying Parameters, Stepwise Regressions

17.

Time Connectedness of Fear

Number of pages: 42 Posted: 20 Oct 2018
Julián Andrada Félix, Adrian Fernandez-Perez, Fernando Fernández Rodríguez and Simon Sosvilla-Rivero
University of Las Palmas de Gran Canaria - Faculty of Economic Science, Auckland University of Technology, University of Las Palmas de Gran Canaria - Faculty of Economic Science and UCM Institute for Economic Analysis
Downloads 50 (414,927)

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Implied Volatility Indices, Financial Market Linkages, Connectedness, Vector Autoregression, Variance Decomposition

18.

Internationalization of Futures Markets: Lessons from China

Number of pages: 51 Posted: 15 Nov 2019 Last Revised: 30 Apr 2020
John Hua Fan, Adrian Fernandez-Perez, Ivan Indriawan and Neda Todorova
Griffith University - Department of Accounting, Finance and Economics, Auckland University of Technology, Auckland University of Technology - Department of Finance and Griffith University
Downloads 46 (429,686)

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China; Futures markets; Internationalization; Market quality; PTA; Iron ore

19.

Natural Gas Storage Forecasts: Is the Crowd Wiser?

Number of pages: 38 Posted: 19 Dec 2019 Last Revised: 07 Mar 2020
Adrian Fernandez-Perez, Alexandre Garel and Ivan Indriawan
Auckland University of Technology, Audencia Business School and Auckland University of Technology - Department of Finance
Downloads 19 (563,985)

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Analyst, Forecast, Crowdsourcing, Natural Gas Inventory, EIA

20.

The Case for Long-Short Commodity Investing

Journal of Alternative Investments, Vol. 18, No. 9, 2015, https://doi.org/10.3905/jai.2015.18.1.092
Posted: 01 Sep 2011 Last Revised: 22 May 2019
Joëlle Miffre and Adrian Fernandez-Perez
Audencia Business School and Auckland University of Technology
Downloads 0 (712,002)

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Commodity futures, Conditional volatility, Conditional correlation, Long-short portfolios, Professional money managers, Financialization