Joelle Miffre
Joelle Miffre
Audencia Business School
Geverifieerd e-mailadres voor audencia.com
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Momentum strategies in commodity futures markets
J Miffre, G Rallis
Journal of Banking & Finance 31 (6), 1863-1886, 2007
4312007
Tactical allocation in commodity futures markets: Combining momentum and term structure signals
AM Fuertes, J Miffre, G Rallis
Journal of Banking & Finance 34 (10), 2530-2548, 2010
1882010
Conditional correlation and volatility in commodityfutures and traditional asset markets
J Chong, J Miffre
The Journal of Alternative Investments 12 (3), 061-075, 2009
1762009
Capturing the risk premium of commodity futures: The role of hedging pressure
D Basu, J Miffre
Journal of Banking & Finance 37 (7), 2652-2664, 2013
1612013
Momentum profits and time-varying unsystematic risk
X Li, J Miffre, C Brooks, N O’Sullivan
Journal of Banking & Finance 32 (4), 541-558, 2008
872008
Country-specific ETFs: An efficient approach to global asset allocation
J Miffre
Journal of asset management 8 (2), 112-122, 2007
852007
Conditional OLS minimum variance hedge ratios
J Miffre
Journal of Futures Markets: Futures, Options, and Other Derivative Products …, 2004
742004
The skewness of commodity futures returns
A Fernandez-Perez, B Frijns, AM Fuertes, J Miffre
Journal of Banking & Finance 86, 143-158, 2018
652018
Commodity strategies based on momentum, term structure, and idiosyncratic volatility
AM Fuertes, J Miffre, A Fernandez‐Perez
Journal of Futures Markets 35 (3), 274-297, 2015
622015
Normal backwardation is normal
J Miffre
Journal of Futures Markets: Futures, Options, and Other Derivative Products …, 2000
582000
Conditional return correlations between commodity futures and traditional assets
J Chong, J Miffre
Journal of Alternative Investments 12 (3), 61-75, 2010
562010
The value premium and time‐varying volatility
X Li, C Brooks, J Miffre
Journal of Business Finance & Accounting 36 (9‐10), 1252-1272, 2009
472009
Performance evaluation and conditioning information: The case of hedge funds
HM Kat, J Miffre
EFA 2003 Annual Conference Paper 159, 2003
442003
Optimal hedging with higher moments
C Brooks, A Černư, J Miffre
Journal of Futures Markets 32 (10), 909-944, 2012
43*2012
Conditional correlations and real estate investment trusts
J Chong, J Miffre, S Stevenson
Journal of Real Estate Portfolio Management 15 (2), 173-184, 2009
432009
Long-short commodity investing: A review of the literature
J Miffre
Journal of Commodity Markets 1 (1), 3-13, 2016
422016
Do long-short speculators destabilize commodity futures markets?
J Miffre, C Brooks
International Review of Financial Analysis 30, 230-240, 2013
422013
The impact of non-normality risks and tactical trading on hedge fund alphas
HM Kat, J Miffre
The Journal of Alternative Investments 10 (4), 8-21, 2008
422008
Optimal hedging with higher moments
C Brooks, A Černư, J Miffre
Journal of Futures Markets 32 (10), 909-944, 2012
332012
Strategic and tactical roles of enhanced commodity indices
G Rallis, J Miffre, AM Fuertes
Journal of Futures Markets 33 (10), 965-992, 2013
322013
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Artikelen 1–20