Blackrock, Co. Dublin
Ireland
http://https://people.ucd.ie/adrian.fernandez-perez
University College Dublin (UCD) - Department of Banking & Finance
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Skewness; Commodities; Futures pricing; Selective hedging
Investor Sentiment, Investor Mood, Behavioral Finance
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commodity futures, momentum, term structure, idiosyncratic volatility
Style integration; Futures markets; Long-short asset allocation
Commodity futures; Idiosyncratic volatility; Backwardation; Contango
Speculative Pressure, Futures Markets, Risk Premium, Pricing
WTI crude oil futures contract; Negative price; Contango; Cash and carry; Index trackers; Disinformation
VIX, Seasonality, Intraday data
VIX, VIX Futures, FOMC Announcement, Intraday data
arbitrage, foreign exchange market, genetic algorithm
Long-only commodity portfolio, term structure portfolio, commodity risk, cross-section of equity returns
Textual analysis, Sentiment, Commodity futures, Tactical allocation, Mispricing, Newswire tone-overlay portfolio, Salience
Commodities; Backwardation; Contango; Long-Run Predictability; Intertemporal Pricing
Coronavirus, COVID-19, Pandemic, Culture, Disaster, Abnormal Return, Volatility
Commodity futures; Fear; Attention; Hazards; Internet searches; Sentiment; Long-short portfolios
Cross-asset predictability; Crude oil market; International stock markets; OVX; Time-series momentum
China; Futures markets; Internationalization; Market quality; PTA; Iron ore
Energy futures markets, Risk premium, Long-short portfolios, Integration
behavioral finance, stock market bubbles, emotion, sentiment
Investor sentiment, Mutual funds, Fund flows, Sustainable investments, Risk aversion
investor sentiment, music, behavioral finance
Foreign exchange rates, currency return, commodity return, Russian invasion, Ukraine war, geographic distance
Price discovery; Auction data; Dairy products; Spot and futures markets
Implied volatility indices, Financial market Linkages, Connectedness, Vector Autoregression, Variance Decomposition.
Exchange Rates, Cryptocurrencies, Connectedness, Time-Varying Parameters, Stepwise Regressions
Term structure of interest rates, Stock returns, Trading strategies
Implied Volatility Indices, Financial Market Linkages, Connectedness, Vector Autoregression, Variance Decomposition
commodity currency, political risk, rare disaster risk, geopolitical risk, foreign exchange rate, commodity return
commodity currency, political risk, rare disaster risk, Geopolitical risk, foreign exchange rate, commodity return
Bubbles, Contagion, Commodity, Futures market, China
Bubbles; Contagion; Commodity; Futures market; China.
JEL Classification: G11, G12 Water Usage, Climate Finance, Sustainable Investing, Stock Market, Water usage
Water Usage, Climate finance, Sustainable investing, Stock Market
Water Usage, Climate Finance, sustainable investing, Stock Market
Analyst, Forecast, Crowdsourcing, Natural Gas Inventory, EIA
Bubbles, Local Projections, Contagion, Real Estate Markets. JEL Classification Codes: R31
Bubbles, Local Projections, Contagion, Real Estate Markets.
Liquidity, Credit risk, EMU sovereign bonds, MTS bond market, Dynamic connectedness
Commodity futures, Conditional volatility, Conditional correlation, Long-short portfolios, Professional money managers, Financialization
