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Economic activity and time variation in expected futures returns

Miffre, Joëlle - In: Economics letters 73 (2001) 1, pp. 73-79

Persistent link: https://www.econbiz.de/10001613334

The cross section of expected futures returns and the Keynesian hypothesis

Miffre, Joëlle - In: Applied financial economics 13 (2003) 10, pp. 731-739

Persistent link: https://www.econbiz.de/10001777214

The predictability of futures returns : rational variation in required returns or market inefficiency?

Miffre, Joëlle - In: Applied financial economics 12 (2002) 10, pp. 715-724

Persistent link: https://www.econbiz.de/10001702510

Economic significance of the predictable movements in futures returns

Miffre, Joëlle - In: Economic notes : economic review of Banca Monte dei … 31 (2002) 1, pp. 125-142

Persistent link: https://www.econbiz.de/10001669373

Normal backwardation is normal

Miffre, Joëlle - In: The journal of futures markets 20 (2000) 9, pp. 803-821

Persistent link: https://www.econbiz.de/10001525965

Tactical allocation in commodity futures markets : combining momentum and term structure signals

Fuertes, Ana María; Miffre, Joëlle; Rallis, Georgios - In: Journal of banking & finance 34 (2010) 10, pp. 2530-2548

Persistent link: https://www.econbiz.de/10008858295

A comprehensive appraisal of style-integration methods

Fernandez-Perez, Adrian; Fuertes, Ana María; Miffre, … - In: Journal of banking & finance 105 (2019), pp. 134-150

Persistent link: https://www.econbiz.de/10012163830

The skewness of commodity futures returns

Fernandez-Perez, Adrian; Frijns, Bart; Fuertes, Ana María - In: Journal of banking & finance 86 (2018), pp. 127-142

Persistent link: https://www.econbiz.de/10011962440

Do spot market auction data help price discovery?

Fernandez-Perez, Adrian; Miffre, Joëlle; Schoen, Tilman; … - In: Journal of commodity markets 31 (2023), pp. 1-18

Persistent link: https://www.econbiz.de/10014477748

Tactical Allocation in Commodity Futures Markets : Combining Momentum and Term Structure Signals

Fuertes, Ana María; Miffre, Joëlle; Rallis, Georgios - 2019

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 alphas of 10.14% and 12.66% respectively, the momentum and term structure strategies appear profitable when...

Persistent link: https://www.econbiz.de/10014218449