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Items where City Author is "Fuertes, A."

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Fuertes, A-M. ORCID: 0000-0001-6468-9845 & Zhao, N. (2023). A Bayesian perspective on commodity style integration. Journal of Commodity Markets, 30, article number 100328. doi: 10.1016/j.jcomm.2023.100328

Fernandez-Perez, A., Fuertes, A-M. ORCID: 0000-0001-6468-9845 & Miffre, J. (2023). The Negative Pricing of the May 2020 WTI Contract. The Energy Journal, 44(1), pp. 119-142. doi: 10.5547/01956574.44.1.afer

Fuertes, A-M. ORCID: 0000-0001-6468-9845, Liu, Z. & Tang, W. (2022). Risk-neutral skewness and commodity futures pricing. Journal of Futures Markets, 42(4), pp. 751-785. doi: 10.1002/fut.22308

Fernandez-Perez, A., Fuertes, A-M. ORCID: 0000-0001-6468-9845 & Miffre, J. (2021). The risk premia of energy futures. Energy Economics, 102, article number 105460. doi: 10.1016/j.eneco.2021.105460

Fuertes, A-M. ORCID: 0000-0001-6468-9845 & Robles, M-D. (2021). Bank credit risk events and peers' equity value. International Review of Financial Analysis, 75, article number 101668. doi: 10.1016/j.irfa.2021.101668

Fernandez-Perez, A., Fuertes, A-M. ORCID: 0000-0001-6468-9845, Gonzalez-Fernandez, M. & Miffre, J. (2020). Fear of hazards in commodity futures markets. Journal of Banking and Finance, 119, article number 105902. doi: 10.1016/j.jbankfin.2020.105902

Fan, J. H., Fernandez-Perez, A., Fuertes, A-M. ORCID: 0000-0001-6468-9845 & Miffre, J. (2019). Speculative Pressure. Journal of Futures Markets, 40(4), pp. 575-597. doi: 10.1002/fut.22085

Crook, J., Bellotti, T., Mues, C. & Fuertes, A-M. ORCID: 0000-0001-6468-9845 (2019). Preface to the papers on 'Credit risk modelling'. Journal of the Royal Statistical Society Series A, 182(4), pp. 1139-1142. doi: 10.1111/rssa.12525

Fuertes, A-M. ORCID: 0000-0001-6468-9845, Phylaktis, K. ORCID: 0000-0001-9392-1682 & Yan, C. (2019). Uncovered Equity “Disparity” in Emerging Markets. Journal of International Money and Finance, 98, article number 102066. doi: 10.1016/j.jimonfin.2019.102066

Fernandez-Perez, A., Fuertes, A-M. ORCID: 0000-0001-6468-9845 & Miffre, J. (2019). A Comprehensive Appraisal of Style-Integration Methods. Journal of Banking and Finance, 105, pp. 134-150. doi: 10.1016/j.jbankfin.2019.05.016

Audzeyeva, A. & Fuertes, A-M. ORCID: 0000-0001-6468-9845 (2018). On the predictability of emerging market sovereign credit spreads. Journal of International Money and Finance, 88, pp. 140-157. doi: 10.1016/j.jimonfin.2018.07.005

Fernandez-Perez, A., Frijns, B., Fuertes, A-M. ORCID: 0000-0001-6468-9845 & Miffre, J. (2018). The Skewness of Commodity Futures Returns. Journal of Banking and Finance, 86, pp. 143-158. doi: 10.1016/j.jbankfin.2017.06.015

Fei, F., Fuertes, A-M. ORCID: 0000-0001-6468-9845 & Kalotychou, E. (2017). Dependence in Credit Default Swap and Equity Markets: Dynamic Copula with Markov Switching. International Journal of Forecasting, 33(3), pp. 662-678. doi: 10.1016/j.ijforecast.2017.01.006

Pappas, V., Ongena, S., Izzeldin, M. & Fuertes, A-M. ORCID: 0000-0001-6468-9845 (2017). A Survival Analysis of Islamic and Conventional Banks. Journal of Financial Services Research, 51(2), pp. 221-256. doi: 10.1007/s10693-016-0239-0

Yan, C., Phylaktis, K. & Fuertes, A-M. ORCID: 0000-0001-6468-9845 (2016). On Cross-Border Bank Credit and the U.S. Financial Crisis Transmission to Equity Markets. Journal of International Money and Finance, 69, pp. 108-134. doi: 10.1016/j.jimonfin.2016.06.014

Fuertes, A-M. ORCID: 0000-0001-6468-9845 & Olmo, J. (2016). On Setting Day-Ahead Equity Trading Risk Limits: VaR Prediction at Market Close or Open?. Journal of Risk and Financial Management, 9(3), article number 10. doi: 10.3390/jrfm9030010

Brun-Aguerre, R., Fuertes, A-M. ORCID: 0000-0001-6468-9845 & Greenwood-Nimmo, M. (2016). Heads I Win, Tails You Lose: Asymmetry in Exchange Rate Pass-Through into Import Prices. Journal of the Royal Statistical Society Series A: Statistics in Society, 180(2), pp. 587-612. doi: 10.1111/rssa.12213

Fernandez-Perez, A., Fuertes, A-M. ORCID: 0000-0001-6468-9845 & Miffre, J. (2016). Commodity Markets, Long-Run Predictability and Intertemporal Pricing. Review of Finance, 21(3), doi: 10.1093/rof/rfw034

Fernandez-Perez, A, Fuertes, A-M. ORCID: 0000-0001-6468-9845 & Miffre, J (2016). Is idiosyncratic volatility priced in commodity futures markets?. International Review of Financial Analysis, 46, pp. 219-226. doi: 10.1016/j.irfa.2016.06.002

Osborne, M., Fuertes, A-M. ORCID: 0000-0001-6468-9845 & Milne, A. (2016). In Good Times and in Bad: Bank Capital Ratios and Lending Rates. International Review of Financial Analysis, 51, pp. 102-112. doi: 10.1016/j.irfa.2016.02.005

Andrada-Felix, J., Fernandez-Rodriguez, F. & Fuertes, A-M. ORCID: 0000-0001-6468-9845 (2016). Combining Nearest Neighbor Predictions and Model-Based Predictions of Realized Variance: Does it Pay?. International Journal of Forecasting, 32(3), pp. 695-715. doi: 10.1016/j.ijforecast.2015.10.004

Ahoniemi, K., Fuertes, A-M. ORCID: 0000-0001-6468-9845 & Olmo, J. (2016). Overnight News and Daily Equity Trading Risk Limits. Journal of Financial Econometrics, 14(3), pp. 525-551. doi: 10.1093/jjfinec/nbu032

Saka, O. ORCID: 0000-0002-1822-1309, Fuertes, A-M. ORCID: 0000-0001-6468-9845 & Kalotychou, E. (2015). ECB policy and Eurozone fragility: Was De Grauwe right?. Journal of International Money and Finance, 54, pp. 168-185. doi: 10.1016/j.jimonfin.2015.03.002

Fuertes, A-M. ORCID: 0000-0001-6468-9845, Kalotychou, E. & Saka, O. (2015). How did the ECB save the Eurozone without spending a single euro?. VOX, CEPR’s Policy Portal,

Fuertes, A-M. ORCID: 0000-0001-6468-9845, Miffre, J. & Fernandez-Perez, A. (2015). Commodity strategies based on momentum, term structure, and idiosyncratic volatility. Journal of Futures Markets, 35(3), pp. 274-297. doi: 10.1002/fut.21656

Fuertes, A-M. ORCID: 0000-0001-6468-9845, Kalotychou, E. & Todorovic, N. (2015). Daily volume, intraday and overnight returns for volatility prediction: profitability or accuracy?. Review of Quantitative Finance and Accounting, 45(2), pp. 251-278. doi: 10.1007/s11156-014-0436-6

Fuertes, A-M. ORCID: 0000-0001-6468-9845, Phylaktis, K. & Yan, C. (2014). Hot money in bank credit flows to emerging markets during the banking globalization era. Journal of International Money and Finance, 60, pp. 29-52. doi: 10.1016/j.jimonfin.2014.10.002

Fuertes, A-M. ORCID: 0000-0001-6468-9845, Muradoglu, G. & Ozturkkal, B. (2014). A behavioral analysis of investor diversification. The European Journal of Finance, 20(6), pp. 499-523. doi: 10.1080/1351847x.2012.719829

Fuertes, A-M. ORCID: 0000-0001-6468-9845 (2014). Performance of Idiosyncratic Volatility Strategies in Commodity Markets: Delusion or Reality?. Investment and Pensions Europe, 2014(Summer), pp. 14-17.

Fuertes, A-M. ORCID: 0000-0001-6468-9845 & Olmo, J. (2013). Optimally harnessing inter-day and intra-day information for daily value-at-risk prediction. International Journal of Forecasting, 29(1), pp. 28-42. doi: 10.1016/j.ijforecast.2012.05.005

Rallis, G., Miffre, J. & Fuertes, A-M. ORCID: 0000-0001-6468-9845 (2013). Strategic and Tactical Roles of Enhanced Commodity Indices. Journal of Futures Markets, 33(10), pp. 965-992. doi: 10.1002/fut.21571

Brun-Aguerre, R., Fuertes, A-M. ORCID: 0000-0001-6468-9845 & Phylaktis, K. (2012). Exchange rate pass-through into import prices revisited: What drives it?. Journal of International Money and Finance, 31(4), pp. 818-844. doi: 10.1016/j.jimonfin.2012.01.009

Fuertes, A-M. ORCID: 0000-0001-6468-9845, Miffre, J. & Rallis, G. (2010). Tactical allocation in commodity futures markets: Combining momentum and term structure signals. Journal of Banking & Finance, 34(10), pp. 2530-2548. doi: 10.1016/j.jbankfin.2010.04.009

Fuertes, A-M. ORCID: 0000-0001-6468-9845, Izzeldin, M. & Kalotychou, E. (2009). On forecasting daily stock volatility: The role of intraday information and market conditions. International Journal of Forecasting, 25(2), pp. 259-281. doi: 10.1016/j.ijforecast.2009.01.006

Fuertes, A-M. ORCID: 0000-0001-6468-9845 (2008). Sieve bootstrap t-tests on long-run average parameters. Computational Statistics & Data Analysis, 52(7), pp. 3354-3370. doi: 10.1016/j.csda.2007.11.014

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