Adrian Fernandez-Perez

Auckland University of Technology

Research Fellow

AUT City Campus

Private Bag 92006

Auckland, 1142

New Zealand

SCHOLARLY PAPERS

16

DOWNLOADS
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5,542

CITATIONS
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SSRN RANKINGS

Top 22,227

in Total Papers Citations

20

Scholarly Papers (16)

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 Nantes School of Management and Auckland University of Technology
Downloads 1,343 (13,608)
Citation 7

Abstract:

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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, Auckland University of Technology - Faculty of Business & Law, Cass Business School, City University of London and Audencia Nantes School of Management
Downloads 1,088 (18,834)
Citation 4

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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 Nantes School of Management
Downloads 549 (48,546)
Citation 3

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Commodity futures; Idiosyncratic volatility; Backwardation; Contango

4.

A Comprehensive Appraisal of Style-Integration Methods

Journal of Banking and Finance, Forthcoming
Number of pages: 54 Posted: 24 Jul 2017 Last Revised: 22 May 2019
Adrian Fernandez-Perez, Ana-Maria Fuertes and Joëlle Miffre
Auckland University of Technology, Cass Business School, City University of London and Audencia Nantes School of Management
Downloads 539 (49,678)
Citation 1

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Style integration; Futures markets; Long-short asset allocation

5.

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 UCM Institute for Economic Analysis
Downloads 313 (95,033)

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arbitrage, foreign exchange market, genetic algorithm

6.

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 311 (95,716)

Abstract:

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VIX, Seasonality, Intraday data

7.

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 Nantes School of Management
Downloads 303 (98,444)

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

8.

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 293 (102,051)
Citation 7

Abstract:

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VIX, VIX Futures, FOMC Announcement, Intraday data

9.

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 Nantes School of Management and University of Reading - ICMA Centre
Downloads 277 (108,389)
Citation 1

Abstract:

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

10.

Speculative Pressure

Number of pages: 43 Posted: 02 Dec 2018 Last Revised: 28 Feb 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 Nantes School of Management
Downloads 185 (161,765)

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Speculative pressure, Futures markets, Risk premium, Pricing

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 121 (228,715)

Abstract:

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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
Auckland University of Technology, University of Las Palmas de Gran Canaria - Faculty of Economic Science and UCM Institute for Economic Analysis
Downloads 96 (268,828)
Citation 2

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Term structure of interest rates, Stock returns, Trading strategies

13.

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 Nantes School of Management
Downloads 58 (357,968)

Abstract:

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

14.

Time Connectedness of Fear

Number of pages: 42 Posted: 20 Oct 2018
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 38 (426,887)

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

15.

Hazard Fear in Commodity Markets

Number of pages: 65 Posted: 30 Jun 2019
Auckland University of Technology, Cass Business School, City University of London, Universidad de León and Audencia Nantes School of Management
Downloads 28 (476,022)

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Commodity futures; Long-short portfolios; Supply and Demand; Hazards; Fear; Search activity; Sentiment

16.

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 Nantes School of Management and Auckland University of Technology
Downloads 0 (661,222)

Abstract:

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