Momentum strategies in commodity futures markets J Miffre, G Rallis Journal of Banking & Finance 31 (6), 1863-1886, 2007 | 563 | 2007 |
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 | 237 | 2010 |
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 | 227 | 2013 |
Conditional correlation and volatility in commodity futures and traditional asset markets J Chong, J Miffre Journal of Alternative Investments 12 (3), 61, 2010 | 211 | 2010 |
The skewness of commodity futures returns A Fernandez-Perez, B Frijns, AM Fuertes, J Miffre Journal of Banking & Finance 86, 143-158, 2018 | 130 | 2018 |
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 | 107 | 2008 |
Country-specific ETFs: An efficient approach to global asset allocation J Miffre Journal of asset management 8, 112-122, 2007 | 93 | 2007 |
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 | 82 | 2015 |
Conditional return correlations between commodity futures and traditional assets J Chong, J Miffre Journal of Alternative Investments 12 (3), 61-75, 2010 | 80 | 2010 |
Conditional OLS minimum variance hedge ratios J Miffre Journal of Futures Markets: Futures, Options, and Other Derivative Products …, 2004 | 75 | 2004 |
Normal backwardation is normal J Miffre Journal of Futures Markets: Futures, Options, and Other Derivative Products …, 2000 | 69 | 2000 |
Long-short commodity investing: A review of the literature J Miffre Journal of Commodity Markets 1 (1), 3-13, 2016 | 63 | 2016 |
Do long-short speculators destabilize commodity futures markets? J Miffre, C Brooks International Review of Financial Analysis 30, 230-240, 2013 | 59 | 2013 |
The value premium and time‐varying volatility X Li, C Brooks, J Miffre Journal of Business Finance & Accounting 36 (9‐10), 1252-1272, 2009 | 59 | 2009 |
Conditional correlations and real estate investment trusts J Chong, J Miffre, S Stevenson Journal of Real Estate Portfolio Management 15 (2), 173-184, 2009 | 59 | 2009 |
Performance evaluation and conditioning information: The case of hedge funds HM Kat, J Miffre EFA 2003 Annual Conference Paper 159, 2003 | 47 | 2003 |
The impact of non-normality risks and tactical trading on hedge fund alphas HM Kat, J Miffre Journal of Alternative Investments 10 (4), 8, 2008 | 45 | 2008 |
Optimal hedging with higher moments C Brooks, A Černý, J Miffre Journal of Futures Markets 32 (10), 909-944, 2012 | 41 | 2012 |
Strategic and tactical roles of enhanced commodity indices G Rallis, J Miffre, AM Fuertes Journal of Futures Markets 33 (10), 965-992, 2013 | 39 | 2013 |
Commodity markets, long-run predictability, and intertemporal pricing A Fernandez-Perez, AM Fuertes, J Miffre Review of Finance 21 (3), 1159-1188, 2017 | 38 | 2017 |