Items where City Author is "Fuertes, A."
Article
de Almeida, D., Fuertes, A-M. 
ORCID: 0000-0001-6468-9845 & Hotta, L. K. ORCID: 0000-0002-1005-602X (2025).
Out-of-Sample Predictability of the Equity Risk Premium.
Mathematics, 13(2),
article number 257.
doi: 10.3390/math13020257
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