User profiles for Joëlle Miffre
Joëlle MiffreProfessor of Finance, Audencia Business School Verified email at audencia.com Cited by 2816 |
Momentum strategies in commodity futures markets
J Miffre, G Rallis - Journal of Banking & Finance, 2007 - Elsevier
The article tests for the presence of short-term continuation and long-term reversal in commodity
futures prices. While contrarian strategies do not work, the article identifies 13 profitable …
futures prices. While contrarian strategies do not work, the article identifies 13 profitable …
Long-short commodity investing: A review of the literature
J Miffre - Journal of Commodity Markets, 2016 - Elsevier
This article reviews recent academic studies that analyze the performance of long-short
strategies in commodity futures markets. Special attention is devoted to the strategies based on …
strategies in commodity futures markets. Special attention is devoted to the strategies based on …
Tactical allocation in commodity futures markets: Combining momentum and term structure signals
AM Fuertes, J Miffre, G Rallis - Journal of Banking & Finance, 2010 - Elsevier
This paper examines the combined role of momentum and term structure signals for the design
of profitable trading strategies in commodity futures markets. With significant annualized …
of profitable trading strategies in commodity futures markets. With significant annualized …
Capturing the risk premium of commodity futures: The role of hedging pressure
D Basu, J Miffre - Journal of Banking & Finance, 2013 - Elsevier
We construct long–short factor mimicking portfolios that capture the hedging pressure risk
premium of commodity futures. We consider single sorts based on the open interests of …
premium of commodity futures. We consider single sorts based on the open interests of …
[PDF][PDF] Conditional correlation and volatility in commodity futures and traditional asset markets
The article studies the conditional correlations between 25 commodity futures and 13 stock
and fixed-income indices. Conditional correlations with equity returns fell over time, a sign …
and fixed-income indices. Conditional correlations with equity returns fell over time, a sign …
Momentum profits and time-varying unsystematic risk
This study assesses whether the widely documented momentum profits can be attributed to
time-varying risk as described by a GJR-GARCH(1,1)-M model. We reveal that momentum …
time-varying risk as described by a GJR-GARCH(1,1)-M model. We reveal that momentum …
Commodity strategies based on momentum, term structure, and idiosyncratic volatility
AM Fuertes, J Miffre… - Journal of Futures …, 2015 - Wiley Online Library
This article demonstrates that momentum, term structure, and idiosyncratic volatility signals
in commodity futures markets are not overlapping, which inspires a novel triple‐screen …
in commodity futures markets are not overlapping, which inspires a novel triple‐screen …
Country-specific ETFs: An efficient approach to global asset allocation
J Miffre - Journal of asset management, 2007 - Springer
The paper shows that country-specific exchange traded funds (hereafter ETFs) enhance
global asset allocation strategies. Because ETFs can be sold short even on a downtick, global …
global asset allocation strategies. Because ETFs can be sold short even on a downtick, global …
Do long-short speculators destabilize commodity futures markets?
This paper contributes to the debate on the effects of the financialization of commodity futures
markets by studying the conditional volatility of long–short commodity portfolios and their …
markets by studying the conditional volatility of long–short commodity portfolios and their …
Conditional correlations and real estate investment trusts
The paper studies the temporal variations in the conditional correlations between real
estate investment trust (REIT) returns and equity, bond, and commodity returns. The findings …
estate investment trust (REIT) returns and equity, bond, and commodity returns. The findings …