[go: up one dir, main page]
IDEAS home Printed from https://ideas.repec.org/f/pke322.html
   My authors  Follow this author

Neil Michael Kellard

Personal Details

First Name:Neil
Middle Name:Michael
Last Name:Kellard
Suffix:
RePEc Short-ID:pke322
http://www.essex.ac.uk/ebs/staff/profile.aspx?ID=597

Affiliation

Essex Finance Center
Essex Business School
University of Essex

Colchester, United Kingdom
https://www.essex.ac.uk/departments/essex-business-school/research/finance-group
RePEc:edi:fcessuk (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Kellard, Neil & Madsen, Jakob B & Snaith, Stuart, 2023. "Long-Run Movements in Real Exchange Rates: 1264 to 2020," Essex Finance Centre Working Papers 35634, University of Essex, Essex Business School.
  2. Manac, Radu-Dragomir & Banti, Chiara & Kellard, Neil, 2021. "How does standardization affect OTC markets? Evidence from the Small Bang reform in the CDS market," Essex Finance Centre Working Papers 30946, University of Essex, Essex Business School.
  3. Vlastakis, Nikolaos & Triantafyllou, Athanasios & Kellard, Neil, 2020. "Measuring Oil Price Shocks," Essex Finance Centre Working Papers 27498, University of Essex, Essex Business School.
  4. Vlastakis, Nikolaos & Triantafyllou, Athanasios & Kellard, Neil, 2020. "Oil price uncertainty as a predictor of stock market volatility," Essex Finance Centre Working Papers 26566, University of Essex, Essex Business School.
  5. Triantafyllou, Athanasios & Vlastakis, Nikolaos & Kellard, Neil, 2019. "Oil Price Uncertainty and the Macroeconomy," Essex Finance Centre Working Papers 24735, University of Essex, Essex Business School.
  6. Banti, Chiara & Kellard, Neil & Manac, Radu-Dragomir, 2018. "Credit Default Swap Spreads: Funding Liquidity Matters!," Essex Finance Centre Working Papers 23321, University of Essex, Essex Business School.
  7. Kellard, Neil M & Kontonikas, Alexandros & Lamla, Michael J & Maiani, Stefano & Wood, Geoffrey, 2018. "Risk, Financial Stability and FDI," Essex Finance Centre Working Papers 23409, University of Essex, Essex Business School.
  8. Kellard, Neil & Millo, Yuval & Simon, Jan & Engel, Ofer, 2017. "Close communications: hedge funds, brokers and the emergence of herding," LSE Research Online Documents on Economics 64766, London School of Economics and Political Science, LSE Library.
  9. Snaith, S & Kellard, NM & Ahmad, N, 2015. "Open outcry versus electronic trading: tests of market efficiency on crude palm oil futures," Essex Finance Centre Working Papers 15373, University of Essex, Essex Business School.
  10. David Harvey & Neil Kellard & Jakob Madsen & Mark Wohar, 2012. "Trends and Cycles in Real Commodity Prices: 1650-2010," CEH Discussion Papers 010, Centre for Economic History, Research School of Economics, Australian National University.
  11. Neil Kellard & John Nankervis & Fotis Papadimitriou, 2007. "Predicting the UK Equity Premium with Dividend Ratios: An Out-Of-Sample Recursive Residuals Graphical Approach," Money Macro and Finance (MMF) Research Group Conference 2006 129, Money Macro and Finance Research Group.
  12. Jerry Coakley & Jian Dollery & Neil Kellard, 2006. "Long Memory and Structural Breaks in Commodity Futures Basis and Market," Computing in Economics and Finance 2006 523, Society for Computational Economics.
  13. Stuart Snaith & Neil Kellard & Jerry Coakley, 2006. "The Forward Premium Anomaly at Long Horizons," Computing in Economics and Finance 2006 474, Society for Computational Economics.
  14. Alfonso Gutierrez & Jerry Coakley & Neil Kellard, 2006. "Threshold Autoregressive Models of the Commodities Futures Basis," Computing in Economics and Finance 2006 323, Society for Computational Economics.
  15. Mario Cerrato & Neil Kellard & Nicholas Sarantis, 2005. "The Purchasing Power Parity Persistence Paradigm: Evidence from Black Currency Markets," Money Macro and Finance (MMF) Research Group Conference 2005 34, Money Macro and Finance Research Group.
  16. Kellard, Neil & Mark E Wohar, 2003. "Trends and Persistence in Primary Commodity Prices," Royal Economic Society Annual Conference 2003 118, Royal Economic Society.
  17. P. Newbold, & A.J. Rayner, & N. Kellard & C. Ennew,, 1997. "Long-Run Price Behaviour of Wheat and Maize: Trend Stationarity or Difference-Stationarity?," Discussion Papers 97/7, University of Nottingham, School of Economics.
  18. P. Newbold, A & .J. Rayner, & N. Kellard & C. Ennew,, 1997. "Is the Dollar/ECU Exchange A Random Walk?," Discussion Papers 97/8, University of Nottingham, School of Economics.
  19. C. Ennew, & N. Kellard, & P. Newbold, A. J. Rayner & M. E. Wohar,, 1996. "Two Puzzles in the Analysis of Foreign Exchange Market Efficiency," Discussion Papers 96/18, University of Nottingham, School of Economics.
  20. C. Ennew, & N. Kellard, & P. Newbold & A.J. Rayner,, 1996. "Testing for Efficiency in Commodity Futures Markets," Discussion Papers 96/11, University of Nottingham, School of Economics.

Articles

  1. Astill, Sam & Taylor, A.M. Robert & Kellard, Neil & Korkos, Ioannis, 2023. "Using covariates to improve the efficacy of univariate bubble detection methods," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 342-366.
  2. Liao, Yixin & Coakley, Jerry & Kellard, Neil, 2022. "Index tracking and beta arbitrage effects in comovement," International Review of Financial Analysis, Elsevier, vol. 83(C).
  3. Kellard, Neil M. & Kontonikas, Alexandros & Lamla, Michael J. & Maiani, Stefano & Wood, Geoffrey, 2022. "Risk, financial stability and FDI," Journal of International Money and Finance, Elsevier, vol. 120(C).
  4. Ivan, Miruna-Daniela & Banti, Chiara & Kellard, Neil, 2022. "Prime money market funds regulation, global liquidity, and the crude oil market," Journal of International Money and Finance, Elsevier, vol. 127(C).
  5. Usman Zafar & Neil Kellard & Dmitri Vinogradov, 2022. "Multistage optimization filter for trend‐based short‐term forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(2), pages 345-360, March.
  6. Ying Jiang & Neil Kellard & Xiaoquan Liu, 2020. "Night trading and market quality: Evidence from Chinese and US precious metal futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(10), pages 1486-1507, October.
  7. Akyildirim, Erdinc & Corbet, Shaen & Katsiampa, Paraskevi & Kellard, Neil & Sensoy, Ahmet, 2020. "The development of Bitcoin futures: Exploring the interactions between cryptocurrency derivatives," Finance Research Letters, Elsevier, vol. 34(C).
  8. Yousef Makhlouf & Neil M. Kellard & Dmitri V. Vinogradov, 2020. "Finance‐Inequality Nexus: The Long And The Short Of It," Economic Inquiry, Western Economic Association International, vol. 58(4), pages 1977-1994, October.
  9. Jerry Coakley & Claudia Girardone & Neil Kellard, 2020. "Banks and financial markets in times of uncertainty," The European Journal of Finance, Taylor & Francis Journals, vol. 26(10), pages 893-896, July.
  10. Stuart Snaith & Neil M. Kellard & Norzalina Ahmad, 2018. "Open outcry versus electronic trading: Tests of market efficiency on crude palm oil futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(6), pages 673-695, June.
  11. Makhlouf, Yousef & Kellard, Neil M. & Vinogradov, Dmitri, 2017. "Child mortality, commodity price volatility and the resource curse," Social Science & Medicine, Elsevier, vol. 178(C), pages 144-156.
  12. Harvey, David I. & Kellard, Neil M. & Madsen, Jakob B. & Wohar, Mark E., 2017. "Long-Run Commodity Prices, Economic Growth, and Interest Rates: 17th Century to the Present Day," World Development, Elsevier, vol. 89(C), pages 57-70.
  13. Daniel Tsvetanov & Jerry Coakley & Neil Kellard, 2016. "Is news related to GDP growth a risk factor for commodity futures returns?," Quantitative Finance, Taylor & Francis Journals, vol. 16(12), pages 1887-1899, December.
  14. Tsvetanov, Daniel & Coakley, Jerry & Kellard, Neil, 2016. "Bubbling over! The behaviour of oil futures along the yield curve," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 516-533.
  15. Kellard, Neil & Taylor, A.M. Robert, 2016. "Special issue of the Journal of Empirical Finance Guest Editors' introduction," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 513-515.
  16. Jerry Coakley & Neil Kellard & Jian Wang, 2016. "Commodity futures returns: more memory than you might think!," The European Journal of Finance, Taylor & Francis Journals, vol. 22(14), pages 1457-1483, November.
  17. Kellard, Neil M. & Jiang, Ying & Wohar, Mark, 2015. "Spurious long memory, uncommon breaks and the implied–realized volatility puzzle," Journal of International Money and Finance, Elsevier, vol. 56(C), pages 36-54.
  18. Neil Kellard & Denise Osborn & Jerry Coakley & Neil Kellard & Denise Osborn & Jerry Coakley, 2015. "Introduction to the JTSA John Nankervis Memorial Issue," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(5), pages 601-602, September.
  19. Makhlouf, Yousef & Kellard, Neil M. & Vinogradov, Dmitri, 2015. "Trade openness, export diversification, and political regimes," Economics Letters, Elsevier, vol. 136(C), pages 25-27.
  20. Snaith, Stuart & Coakley, Jerry & Kellard, Neil, 2013. "Does the forward premium puzzle disappear over the horizon?," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3681-3693.
  21. Dunis, Christian & Kellard, Neil M. & Snaith, Stuart, 2013. "Forecasting EUR–USD implied volatility: The case of intraday data," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 4943-4957.
  22. Jerry Coakley & Jian Dollery & Neil Kellard, 2011. "Long memory and structural breaks in commodity futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 31(11), pages 1076-1113, November.
  23. Kellard, Neil & Dunis, Christian & Sarantis, Nicholas, 2010. "Foreign exchange, fractional cointegration and the implied-realized volatility relation," Journal of Banking & Finance, Elsevier, vol. 34(4), pages 882-891, April.
  24. Kellard, Neil M. & Nankervis, John C. & Papadimitriou, Fotios I., 2010. "Predicting the equity premium with dividend ratios: Reconciling the evidence," Journal of Empirical Finance, Elsevier, vol. 17(4), pages 539-551, September.
  25. David I. Harvey & Neil M. Kellard & Jakob B. Madsen & Mark E. Wohar, 2010. "The Prebisch-Singer Hypothesis: Four Centuries of Evidence," The Review of Economics and Statistics, MIT Press, vol. 92(2), pages 367-377, May.
  26. Coakley, Jerry & Dollery, Jian & Kellard, Neil, 2008. "The role of long memory in hedging effectiveness," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 3075-3082, February.
  27. Kellard, Neil & Sarantis, Nicholas, 2008. "Can exchange rate volatility explain persistence in the forward premium?," Journal of Empirical Finance, Elsevier, vol. 15(4), pages 714-728, September.
  28. Mario Cerrato & Neil Kellard & Nicholas Sarantis, 2008. "The Purchasing Power Parity Persistence Puzzle: Evidence From Black Market Real Exchange Rates," Manchester School, University of Manchester, vol. 76(4), pages 405-423, July.
  29. Kellard, Neil & Wohar, Mark E., 2006. "On the prevalence of trends in primary commodity prices," Journal of Development Economics, Elsevier, vol. 79(1), pages 146-167, February.
  30. Kellard, Neil, 2006. "On the robustness of cointegration tests when assessing market efficiency," Finance Research Letters, Elsevier, vol. 3(1), pages 57-64, March.
  31. Coakley, Jerry & Kellard, Neil & Snaith, Stuart, 2005. "The PPP debate: Price matters!," Economics Letters, Elsevier, vol. 88(2), pages 209-213, August.
  32. Neil Kellard, 2002. "Evaluating Commodity Market Efficiency: Are Cointegration Tests Appropriate?," Journal of Agricultural Economics, Wiley Blackwell, vol. 53(3), pages 513-529, November.
  33. Paul Newbold & Tony Rayner & Neil Kellard, 2000. "Long‐Run Drift, Co‐Movement and Persistence in Real Wheat and Maize Prices," Journal of Agricultural Economics, Wiley Blackwell, vol. 51(1), pages 106-121, January.
  34. Neil Kellard & Paul Newbold & Tony Rayner & Christine Ennew, 1999. "The relative efficiency of commodity futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 19(4), pages 413-432, June.
  35. Newbold, Paul & Wohar, Mark E. & Rayner, Tony & Kellard, Neil & Ennew, Christine, 1998. "Two puzzles in the analysis of foreign exchange market efficiency," International Review of Financial Analysis, Elsevier, vol. 7(2), pages 95-111.

    RePEc:taf:apfiec:v:8:y:1998:i:6:p:553-558 is not listed on IDEAS
    RePEc:taf:apfiec:v:11:y:2001:i:6:p:681-691 is not listed on IDEAS

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 11 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ENE: Energy Economics (3) 2019-06-10 2020-02-03 2020-05-18
  2. NEP-BAN: Banking (2) 2018-10-29 2021-09-06
  3. NEP-FMK: Financial Markets (2) 2006-03-05 2020-02-03
  4. NEP-FOR: Forecasting (2) 2007-04-09 2020-02-03
  5. NEP-MAC: Macroeconomics (2) 2019-06-10 2020-05-18
  6. NEP-MST: Market Microstructure (2) 2015-12-08 2021-09-06
  7. NEP-RMG: Risk Management (2) 2020-02-03 2020-05-18
  8. NEP-CFN: Corporate Finance (1) 2021-09-06
  9. NEP-ECM: Econometrics (1) 2007-04-09
  10. NEP-HIS: Business, Economic and Financial History (1) 2023-06-12
  11. NEP-IFN: International Finance (1) 2006-03-05
  12. NEP-INT: International Trade (1) 2018-11-19
  13. NEP-ISF: Islamic Finance (1) 2021-09-06
  14. NEP-MON: Monetary Economics (1) 2023-06-12
  15. NEP-OPM: Open Economy Macroeconomics (1) 2023-06-12
  16. NEP-SEA: South East Asia (1) 2018-04-02

Corrections

All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. For general information on how to correct material on RePEc, see these instructions.

To update listings or check citations waiting for approval, Neil Michael Kellard should log into the RePEc Author Service.

To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.

To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.

Please note that most corrections can take a couple of weeks to filter through the various RePEc services.

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.