Joëlle Miffre

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Citations	2867	1265
h-index	26	17
i10-index	40	27

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Co-authors

Ana-Maria FuertesCass Business School, City, University of LondonVerified email at city.ac.uk
Adrian Fernandez-PerezSenior Research FellowVerified email at aut.ac.nz
Chris BrooksHenley Business School, University of ReadingVerified email at reading.ac.uk
Xiafei LiKeele UniversityVerified email at keele.ac.uk
James ChongProfessor of Finance, California State University, NorthridgeVerified email at csun.edu
Bart FrijnsOpen University of the NetherlandsVerified email at ou.nl
Hossein RadUniversity of Queensland Business SchoolVerified email at business.uq.edu.au
Rand (Kwong Yew) LowBlackRockVerified email at blackrock.com
Robert FaffProfessor of Finance, The University of QueenslandVerified email at business.uq.edu.au
MARCOS GONZÁLEZ FERNÁNDEZUniversidad de LeónVerified email at unileon.es
Simon StevensonOld Dominion UniversityVerified email at odu.edu
Aleš ČernýProfessor of Finance, Bayes Business School, City, University of LondonVerified email at city.ac.uk
John Hua FanGriffith UnviersityVerified email at griffith.edu.au
Niall O'SullivanUniversity College CorkVerified email at ucc.ie
Robert J. BianchiGriffith UniversityVerified email at griffith.edu.au
Tingxi ZhangCurtin UniversityVerified email at curtin.edu.au
Emilios GALARIOTIS, PhdManagement Board (I.A.P.R. Hellenic Republic) - Senior Research Fellow FEL, TUC - Visit. Prof. UoAVerified email at tuc.gr
Benoît SéviAssociate Professor of Economics (Professeur des Universités), Université de Nantes-FranceVerified email at univ-nantes.fr

Joëlle Miffre

Professor of Finance, Audencia Business School

Verified email at audencia.com

Asset pricing Asset management Commodities Risk management


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Momentum strategies in commodity futures markets J Miffre, G Rallis Journal of Banking & Finance 31 (6), 1863-1886, 2007	560	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	238	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	215	2010
The skewness of commodity futures returns A Fernandez-Perez, B Frijns, AM Fuertes, J Miffre Journal of Banking & Finance 86, 143-158, 2018	137	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	101	2008
Country-specific ETFs: An efficient approach to global asset allocation J Miffre Journal of asset management 8, 112-122, 2007	94	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	81	2010
Conditional OLS minimum variance hedge ratios J Miffre Journal of Futures Markets: Futures, Options, and Other Derivative Products …, 2004	77	2004
Long-short commodity investing: A review of the literature J Miffre Journal of Commodity Markets 1 (1), 3-13, 2016	71	2016
Normal backwardation is normal J Miffre Journal of Futures Markets: Futures, Options, and Other Derivative Products …, 2000	69	2000
Do long-short speculators destabilize commodity futures markets? J Miffre, C Brooks International Review of Financial Analysis 30, 230-240, 2013	60	2013
Conditional correlations and real estate investment trusts J Chong, J Miffre, S Stevenson Journal of Real Estate Portfolio Management 15 (2), 173-184, 2009	60	2009
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
Performance evaluation and conditioning information: The case of hedge funds HM Kat, J Miffre EFA 2003 Annual Conference Paper 159, 2003	48	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	44	2008
Optimal hedging with higher moments C Brooks, A Černý, J Miffre Journal of Futures Markets 32 (10), 909-944, 2012	42	2012
Commodity markets, long-run predictability, and intertemporal pricing A Fernandez-Perez, AM Fuertes, J Miffre Review of Finance 21 (3), 1159-1188, 2017	39	2017
Strategic and tactical roles of enhanced commodity indices G Rallis, J Miffre, AM Fuertes Journal of Futures Markets 33 (10), 965-992, 2013	38	2013

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