Adrian Fernandez-Perez

Auckland University of Technology

Research Fellow

AUT City Campus

Private Bag 92006

Auckland, 1142

New Zealand

SCHOLARLY PAPERS

12

DOWNLOADS
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Top 7,979

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4,768

CITATIONS

0

Scholarly Papers (12)

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
City University London - Faculty of Finance, Audencia Nantes School of Management and Auckland University of Technology
Downloads 833 (14,484)

Abstract:

commodity futures, momentum, term structure, idiosyncratic volatility

2.

The Case for Long-Short Commodity Investing

Journal of Alternative Investments, Vol. 18, No. 9, 2015
Number of pages: 37 Posted: 01 Sep 2011 Last Revised: 11 Nov 2015
Joëlle Miffre and Adrian Fernandez-Perez
Audencia Nantes School of Management and Auckland University of Technology
Downloads 591 (26,518)

Abstract:

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

3.

Is Idiosyncratic Volatility Priced in Commodity Futures Markets?

International Review of Financial Analysis, Forthcoming
Number of pages: 30 Posted: 01 Aug 2012 Last Revised: 03 Jun 2016
Adrian Fernandez-Perez, Ana-Maria Fuertes and Joëlle Miffre
Auckland University of Technology, City University London - Faculty of Finance and Audencia Nantes School of Management
Downloads 320 (49,523)

Abstract:

Commodity futures; Idiosyncratic volatility; Backwardation; Contango

4.

Genetic Algorithm for Arbitrage with More than Three Currencies

DEFI Working Paper No. 12-04
Number of pages: 13 Posted: 19 Jul 2012
Auckland University of Technology, University of Las Palmas de Gran Canaria - Faculty of Economic Science and Complutense Institute for International Studies
Downloads 161 (98,326)

Abstract:

arbitrage, foreign exchange market, genetic algorithm

5.

Commodity Risks and the Cross-Section of Equity Returns

Number of pages: 38 Posted: 02 Sep 2014 Last Revised: 04 Jul 2015
Chris Brooks, Adrian Fernandez-Perez, Joëlle Miffre and Ogonna Nneji
University of Reading - ICMA Centre, Auckland University of Technology, Audencia Nantes School of Management and University of Reading - ICMA Centre
Downloads 155 (102,563)

Abstract:

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

6.

Commodity Markets, Long-Run Predictability and Intertemporal Pricing

Review of Finance, Forthcoming
Number of pages: 36 Posted: 07 May 2014 Last Revised: 23 Nov 2015
Adrian Fernandez-Perez, Ana-Maria Fuertes and Joëlle Miffre
Auckland University of Technology, City University London - Faculty of Finance and Audencia Nantes School of Management
Downloads 128 (98,326)

Abstract:

Commodities; Backwardation; Contango; Long-Run Predictability; Intertemporal 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, Auckland University of Technology - Faculty of Business & Law and Auckland University of Technology - Faculty of Business & Law
Downloads 127 (108,338)

Abstract:

VIX, VIX Futures, FOMC Announcement, Intraday data

8.

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
Auckland University of Technology, University of Las Palmas de Gran Canaria - Faculty of Economic Science and Complutense Institute for International Studies
Downloads 68 (242,655)

Abstract:

Term structure of interest rates, Stock returns, Trading strategies

9.

Harvesting Commodity Styles: An Integrated Framework

Number of pages: 53 Posted: 24 Jul 2017 Last Revised: 19 Oct 2017
Adrian Fernandez-Perez, Ana-Maria Fuertes and Joëlle Miffre
Auckland University of Technology, City University London - Faculty of Finance and Audencia Nantes School of Management
Downloads 0 (81,688)

Abstract:

Style integration, Commodity markets, Long-short investment, Asset allocation, Portfolio choice

10.

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 Simón Sosvilla Rivero
University of Las Palmas de Gran Canaria - Faculty of Economic Science, Auckland University of Technology and Complutense Institute for International Studies
Downloads 0 (224,765)

Abstract:

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

11.

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, Auckland University of Technology - Faculty of Business & Law, Auckland University of Technology - Faculty of Business & Law and University of Virginia - McIntire School of Commerce
Downloads 0 (100,785)

Abstract:

VIX, Seasonality, Intraday data

12.

The Skewness of Commodity Futures Returns

Journal of Banking and Finance (Forthcoming)
Number of pages: 43 Posted: 08 Oct 2015 Last Revised: 05 Jul 2017
Adrian Fernandez-Perez, Bart Frijns, Ana-Maria Fuertes and Joëlle Miffre
Auckland University of Technology, Auckland University of Technology - Faculty of Business & Law, City University London - Faculty of Finance and Audencia Nantes School of Management
Downloads 0 (33,458)

Abstract:

Skewness; Commodities; Futures pricing; Selective hedging