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Joëlle Miffre

22 works· latest 2020· 4 institutionscluster: provisionalORCID 0000-0002-4729-9199

h-index22

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Citations1,969

Works here22

Most cited in this library

Momentum strategies in commodity futures markets2007 · 461 citations
Tactical allocation in commodity futures markets: Combining momentum and term structure signals2010 · 211 citations
Capturing the risk premium of commodity futures: The role of hedging pressure2013 · 203 citations
Conditional Correlation and Volatility in CommodityFutures and Traditional Asset Markets2009 · 175 citations
The skewness of commodity futures returns2017 · 147 citations

Works

22 shown

Fear of hazards in commodity futures markets

Journal of Banking & Finance·2020·4 authors·Open access

54citations

A comprehensive appraisal of style-integration methods

Journal of Banking & Finance·2019·3 authors

31citations

Speculative Pressure

Journal of Futures Markets·2018·4 authors·Open access

24citations

The skewness of commodity futures returns

Journal of Banking & Finance·2017·4 authors·Open access

147citations

Commodity Markets, Long-Run Predictability, and Intertemporal Pricing

European Finance Review·2016·3 authors·Open access

44citations

Is idiosyncratic volatility priced in commodity futures markets?

International Review of Financial Analysis·2016·3 authors·Open access

Long-Short Commodity Investing: A Review of the Literature

Journal of commodity markets·2015·1 author·Open access

62citations

Commodity Strategies Based on Momentum, Term Structure, and Idiosyncratic Volatility

Journal of Futures Markets·2014·3 authors

73citations

Capturing the risk premium of commodity futures: The role of hedging pressure

Journal of Banking & Finance·2013·1 author·Open access

203citations

Strategic and Tactical Roles of Enhanced Commodity Indices

Journal of Futures Markets·2012·3 authors·Open access

32citations

Optimal hedging with higher moments

Journal of Futures Markets·2011·3 authors

64citations

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

Journal of Banking & Finance·2010·3 authors·Open access

211citations

Conditional Correlation and Volatility in CommodityFutures and Traditional Asset Markets

The Journal of Alternative Investments·2009·2 authors

175citations

The Value Premium and Time‐Varying Volatility

Journal of Business Finance &amp Accounting·2009·3 authors·Open access

31citations

Low-cost momentum strategies

Journal of Asset Management·2009·3 authors·Open access

22citations

Conditional Correlations and Real Estate Investment Trusts

Journal of Real Estate Portfolio Management·2009·3 authors

42citations

The Impact of Non-normality Risks and Tactical Trading on Hedge Fund Alphas

The Journal of Alternative Investments·2008·2 authors·Open access

45citations

Momentum profits and time-varying unsystematic risk

Journal of Banking & Finance·2007·4 authors·Open access

72citations

Country-specific ETFs: An efficient approach to global asset allocation

Journal of Asset Management·2007·1 author

63citations

Momentum strategies in commodity futures markets

Journal of Banking & Finance·2007·2 authors·Open access

461citations

Conditional OLS minimum variance hedge ratios

Journal of Futures Markets·2004·1 author

41citations

Performance Evaluation and Conditioning Information: The case of Hedge Funds

RePEc: Research Papers in Economics·2002·2 authors·preprint

40citations