Dr Adrian Fernandez Perez

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Research Fellow

Email: adrian.fernandez@aut.ac.nz

ORCID: ORCID logo https://orcid.org/0000-0002-9433-7194

Links to relevant web pages:

Research outputs:

Journal articles

  • Fernandez-Perez, A., Frijns, B., Tourani-Rad, A., & Webb, R. I. (2019). Does increased hedging lead to decreased price efficiency? The case of VIX ETPs and VIX futures. Financial Review, 54(3), 477-500. doi:10.1111/fire.12195

  • Fernandez Perez, A., Frijns, B., Tourani Rad, A., & Weisskopf, J. P. (2019). Behavioural heterogeneity in wine investments. Applied Economics, 51(30), 3236-3255. doi:10.1080/00036846.2019.1566686

  • Fernandez Perez, A., Frijns, B., Gallatullina, I., & Tourani Rad, A. (2019). Properties and predictive power of implied volatility in the New Zealand dairy market. Journal of Futures Markets, 39(5), 612-631. doi:10.1002/fut.21994

  • Fernandez Perez, A., Frijns, B., Indriawan, I., & Tourani Rad, A. (2019). Surprise and dispersion: informational impact of USDA announcements. Agricultural Economics, 50(1), 113-126. doi:10.1111/agec.12470

  • Fernandez Perez, A., Frijns, B., Gafiatullina, I., & Tourani-Rad, A. (2018). Determinants of intraday price discovery in VIX exchange traded notes. The Journal of Futures Markets, 38(5). doi:10.1002/fut.21907

  • Andrada-Félix, J., Fernandez Perez, A., & Sosvilla-Rivero, S. (2018). Fear connectedness among asset classes. Applied Economics, 50(39). doi:10.1080/00036846.2018.1441521

  • Fernandez Perez, A., Frijns, B., Fuertes, A. M., & Miffre, J. (2018). The skewness of commodity futures returns. Journal of Banking and Finance, 86. doi:10.1016/j.jbankfin.2017.06.015

  • Fernandez-Perez, A., Fuertes, A. -M., & Miffre, J. (2016). Commodity markets, long-run predictability, and intertemporal pricing. Review of Finance, 21(3). doi:10.1093/rof/rfw034

  • Fernandez Perez, A., Fuertes, A-M., & Miffre, J.. (2016). Is idiosyncratic volatility priced in commodity futures markets?. International Review of Financial Analysis, 46. doi:10.1016/j.irfa.2016.06.002

  • Brooks, C.., Fernandez Perez, A., Miffre, J.., & Nneji, O.. (2016). Commodity risks and the cross-section of equity returns. British Accounting Review, 48(2). doi:10.1016/j.bar.2016.03.001

  • Fernandez Perez, A., Frijns, B., & Tourani Rad, A. (2016). Contemporaneous interactions among fuel, biofuel and agricultural commodities. Energy Economics, 58. doi:10.1016/j.eneco.2016.05.014

  • Andrada-Felix, J., Fernandez Perez, A., & Fernandez-Rodriguez, F. (2015). Fixed income strategies based on the prediction of parameters in the NS model for the Spanish public debt market. SERIEs, 6(2). doi:10.1007/s13209-015-0123-4

  • Fernandez Perez, A., Fernandez-Rodriquez, F., & Andrada-Felix, J. (2015). Fixed income technical strategies based on the prediction of parameters in the Nelson and Siegel Model. SERIEs : Journal of the Spanish Economic Association, 6.

  • Fernandez Perez, A., Frijns, B., & Tourani Rad, A. (2015). Understanding causality: What came first - the chicken or the egg?. Applied Finance Letters, 4(1&2).

  • Miffre, J.., & Fernandez Perez, A. (2015). The case for long-short commodity investing. The Journal of Alternative Investments, 18(1). doi:10.3905/jai.2015.18.1.092

  • Fuertes, A. -M., Miffre, J., & Fernandez-Perez, A. (2015). Commodity strategies based on momentum, term structure, and idiosyncratic volatility. The Journal of Futures Markets, 35(3). doi:10.1002/fut.21656

  • Andrada-Félix, J., Fernández-Pérez, A., & Fernández-Rodríguez, F. (2014). The term structure of interest rates: Negotiation strategies on fixed income. Cuadernos de Economia, 37(105). doi:10.1016/j.cesjef.2013.09.001

  • Fernandez-Perez, A., Fernández-Rodríguez, F., & Sosvilla-Rivero, S. (2014). The term structure of interest rates as predictor of stock returns: Evidence for the IBEX 35 during a bear market. International Review of Economics and Finance, 31. doi:10.1016/j.iref.2013.12.004

  • Andrada-Félix, J., Fernández-Pérez, A., & Fernández-Rodríguez, F. (2013). The term structure of interest rates: Concepts and an estimation procedure. Cuadernos de Economia, 36(101). doi:10.1016/S0210-0266(13)70041-4

  • Fernandez Perez, A., Fernández-Rodríguez,, F., & Sosvilla-Rivero, S. (2012). Genetic algorithm for arbitrage with more than three currencies. Technology and Investment, 3(3).

  • Fernández-Pérez, A., Fernández-Rodríguez, F., & Sosvilla-Rivero, S. (2012). Exploiting trends in the foreign exchange markets. Applied Economics Letters, 19(6). doi:10.1080/13504851.2011.589801

  • Fernández-Pérez, A., Fernández-Rodríguez, F., & Sosvilla-Rivero, S. (2012). Detecting trends in the foreign exchange markets. Applied Economics Letters, 19(5). doi:10.1080/13504851.2011.587757

  • Fernandez Perez, A., Fernandez-Rodriguez, F., & Andrada-Felix, J. (2011). Stock market trends during the crisis: An analysis based on Taylor’s methodology. International Journal of Humanities and Social Science, 1(5).

Other outputs

  • Fernandez Perez, A., Frijns, B.., Miffre, J.., & Fuertes, A-M. (2015). Does skewness matter to the pricing of commodity futures?. Retrieved from http://www.risk.net/

  • Fernandez Perez, A., Miffre, J.., & Fuertes, A-M.. (2014). Investment and Pension Europe, EDHEC-Risk Institute Research Insights. (Iss. Summer 2014). EDHEC-Risk Institute. Retrieved from http://www.edhec-risk.com/

  • Fernandez Perez, A., Fernandez-Rodriguez, F., & Sosvilla-Rivero, S. (2013). La predicción de tendencias bajistas en el IBEX 35 y los tipos de interés.
    The term structure of interest rates as predictor of stock returns: Evidence for the IBEX 35 during a bear market. Revista de Bolsas y Mercados Espanoles. Retrieved from http://www.bolsasymercados.es/aspx/RevOnLine/Documento.aspx?id=4769

  • Fernandez Perez, A., Fuertes, A. -M., & Miffre, J. (2013). Triple Scoring of Commodities: Momentum, Term Structure and Idiosyncratic Volatility. Hedge Fund Review. Retrieved from http://www.risk.net/