Publications -Working Papers and Conferences
- Agricultural and Soft Markets in Handbook of Multi-Commodity Markets and Products, Wiley Finance, London, 2015.
- Do Agricultural Commodity Firm Stock Price and Agricultural Commodity Price Move Together? International Journal on Food System Dynamics, 5(3): 120-129, 2014.
- Qualité des prix formés sur les marchés agricoles, Droit, économie et marchés de matières premières agricoles, Paris, 2013.
- Les coopératives agricoles : identité, gouvernance, stratégies, Editions Larcier, Bruxelles, 2013.
- Agricultural price volatility: speculation and regulation. Why and how could regulation of agricultural markets be improved? ". In: Food Value Chain Networks in the 21st Century. Editorial Agricola, Madrid, 2012.
- Do investors price oil price risk?
Evidence from the cross-section of the oil industry- Journal of Energy Markets
forthcoming (with Abderrahim Taamouti, Helena Veiga and Chih-Wei
- The Cyclical Behaviour of Commodities, The European Journal of Finance,
forthcoming (with Pereira, M. and José G. Dias),
- Banking industry performance in the wake of
the global financial crisis”, International
Review of Financial Analysis, with (Bhimjee Diptes and José G. Dias) forthcoming,
- Clustering financial time series: New
insights from an extended hidden Markov model, 2015, European
Journal of Operations Research, 243 (3),
852–864 (with J.G. Dias and J.K. Vermunt)
- An analysis of industry regimes synchronization in the
Eurozone, 2015, Journal of Common Market
Studies, forthcoming, 35 (2), 255-273
(with J.G. Dias)
- Asymmetries and Portfolio Choice, The
Review of Financial Studies, forthcoming, (with Magnus Dahlquist and Adam
- The Long and the Short of the Risk-Return
Tradeoff, The Journal of Econometrics, August 2015, 187(2), 580–592, (with
Marco Bonomo, René Garcia, and Nour Meddahi)
- Real Economic Shocks and
Sovereign Credit Risk, The Journal of Financial and Quantitative Analysis,
forthcoming, (with Patrick Augustin)
- Which Parametric Model for
Conditional Skewness?, The European Journal of Finance, online April 2014,
doi:10.1080/1351847X.2013.877515, (with Bruno Feunou and Mohammad
- Consumption Volatility and
the Cross-Section of Stock Returns, The Review of Finance, March 2015,