Adrian Fernandez-Perez

Auckland University of Technology

Research Fellow

AUT City Campus

Private Bag 92006

Auckland, 1142

New Zealand

SCHOLARLY PAPERS

20

DOWNLOADS
Rank 7,295

SSRN RANKINGS

Top 7,295

in Total Papers Downloads

6,569

SSRN CITATIONS
Rank 31,163

SSRN RANKINGS

Top 31,163

in Total Papers Citations

13

CROSSREF CITATIONS

10

Scholarly Papers (20)

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

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, 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

Abstract:

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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)

Abstract:

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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
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
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
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)

Abstract:

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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
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)

Abstract:

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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