Georgios Rallis

City University of London - Sir John Cass Business School

106 Bunhill Row

e-mail: g.rallis@city.ac.uk

London, EC1Y 8TZ

United Kingdom

SCHOLARLY PAPERS

3

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27

CROSSREF CITATIONS

12

Scholarly Papers (3)

1.

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

Journal of Banking and Finance 34, 2530-2548
Number of pages: 48 Posted: 30 Apr 2008 Last Revised: 11 Sep 2019
Ana-Maria Fuertes, Joëlle Miffre and Georgios Rallis
Cass Business School, City University of London, Audencia Business School and City University of London - Sir John Cass Business School
Downloads 8,074 (852)
Citation 14

Abstract:

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Commodity Futures, Momentum, Term Structure, Backwardation, Contango, Double-sort strategy

Momentum Strategies in Commodity Futures Markets

Journal of Banking and Finance, Vol. 31, No. 9, 2007
Number of pages: 34 Posted: 20 Apr 2005 Last Revised: 10 Nov 2015
Joëlle Miffre and Georgios Rallis
Audencia Business School and City University of London - Sir John Cass Business School
Downloads 6,428 (1,291)
Citation 35

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Commodity futures, Momentum, Backwardation, Contango, Diversification

Momentum Strategies in Commodity Futures Markets

Journal of Banking and Finance, Vol. 31, No. 6, 2007
Posted: 27 May 2008
Joëlle Miffre and Georgios Rallis
Audencia Business School and City University of London - Sir John Cass Business School

Abstract:

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Commodity futures, Momentum, Backwardation, Contango, Diversification

3.

Strategic and Tactical Roles of Enhanced-Commodity Indices

Journal of Futures Markets 33(10), 965-992
Number of pages: 38 Posted: 27 Jul 2010 Last Revised: 11 Sep 2019
Georgios Rallis, Joëlle Miffre and Ana-Maria Fuertes
City University of London - Sir John Cass Business School, Audencia Business School and Cass Business School, City University of London
Downloads 479 (72,672)
Citation 1

Abstract:

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Long-only commodity indices, Time-to-maturity, Momentum, Term structure