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

16

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CITATIONS
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20

Scholarly Papers (16)

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

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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
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 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)

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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

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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

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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)

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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 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)

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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
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 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
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 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)

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