Adrian Fernandez-Perez

Auckland University of Technology

Research Fellow

AUT City Campus

Private Bag 92006

Auckland, 1142

New Zealand

SCHOLARLY PAPERS

14

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Scholarly Papers (14)

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 1,292 (13,796)

Abstract:

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commodity futures, momentum, term structure, idiosyncratic volatility

2.

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, Cass Business School, City University of London and Audencia Nantes School of Management
Downloads 888 (24,246)

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Skewness; Commodities; Futures pricing; Selective hedging

3.

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 790 (28,634)

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

4.

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, Cass Business School, City University of London and Audencia Nantes School of Management
Downloads 536 (47,944)

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Commodity futures; Idiosyncratic volatility; Backwardation; Contango

5.

A Comprehensive Appraisal of Style-Integration Methods

Number of pages: 41 Posted: 24 Jul 2017 Last Revised: 19 Dec 2018
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 509 (51,248)

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Style integration; Futures markets; Long-short asset allocation

6.

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 303 (94,807)

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arbitrage, foreign exchange market, genetic algorithm

7.

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, Cass Business School, City University of London and Audencia Nantes School of Management
Downloads 297 (96,852)

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

8.

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 294 (97,933)

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VIX, Seasonality, Intraday data

9.

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 278 (103,953)

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VIX, VIX Futures, FOMC Announcement, Intraday data

10.

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 272 (106,382)

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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 119 (223,415)

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

12.

Speculative Pressure

Number of pages: 41 Posted: 02 Dec 2018
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 103 (247,807)

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Speculative pressure, Futures markets, Risk premium, Pricing

13.

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 93 (265,248)

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Term structure of interest rates, Stock returns, Trading strategies

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 27 (460,253)

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