8
H index
6
i10 index
274
Citations
Neil Michael Kellard : Citation Profile
University of Essex | RESEARCH PRODUCTION: 25 Articles 12 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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21 years (1996 - 2017). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Neil Michael Kellard. | Is cited by:
| Cites to:
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Main data
Where Neil Michael Kellard has published?
| Journals with more than one article published | # docs |
|---|---|
| Journal of Empirical Finance | 4 |
| Journal of Banking & Finance | 3 |
| Journal of Futures Markets | 2 |
| Economics Letters | 2 |
| Applied Financial Economics | 2 |
| Journal of Agricultural Economics | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Computing in Economics and Finance 2006 / Society for Computational Economics | 3 |
Recent works citing Neil Michael Kellard (2018 and 2017)
| Year | Title of citing document |
|---|---|
| 2017 | Investigating Properties of Commodity Price Responses to Real and Nominal Shocks. (2017). Kim, Hyeongwoo ; Zhang, Yunxiao . In: Auburn Economics Working Paper Series. RePEc:abn:wpaper:auwp2017-02. Full description at Econpapers || Download paper |
| 2018 | On the evolution of comparative advantage: path-dependent versus path-defying changes. (2018). Coniglio, Nicola ; Clara, Michele ; Cantore, Nicola ; Vurchio, Davide. In: SERIES. RePEc:bai:series:series_wp_01-2018. Full description at Econpapers || Download paper |
| 2017 | Commodity Dependence and Human Development. (2017). Nkurunziza, Janvier D ; Cazzaniga, Sofia ; Tsowou, Komi. In: African Development Review. RePEc:bla:afrdev:v:29:y:2017:i:s1:p:27-41. Full description at Econpapers || Download paper |
| 2018 | RESOURCE ENDOWMENT AND EXPORT DIVERSIFICATION: IMPLICATIONS FOR GROWTH IN NIGERIA. (2018). SAIBU, Olufemi ; Mesagan, Ekundayo ; Muibi, Saibu ; Ayobola, Charles. In: Studies in Business and Economics. RePEc:blg:journl:v:13:y:2018:i:1:p:29-40. Full description at Econpapers || Download paper |
| 2017 | Free Falling Terms of Trade Despite Industrialization: The Case of Bangladesh. (2017). Gunter, Bernhard ; Sejas, Valeria Vargas. In: Bangladesh Development Research Working Paper Series (BDRWPS). RePEc:bnr:wpaper:33. Full description at Econpapers || Download paper |
| 2017 | Lags, Costs and Shocks: An Equilibrium Model of the Oil Industry. (2017). Bornstein, Gideon ; Rebelo, Sergio ; Krusell, Per. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12047. Full description at Econpapers || Download paper |
| 2018 | Tourism in Iceland: Persistence and seasonality. (2018). Gil-Alana, Luis ; Huijbens, Edward H. In: Annals of Tourism Research. RePEc:eee:anture:v:68:y:2018:i:c:p:20-29. Full description at Econpapers || Download paper |
| 2018 | Unit roots, flexible trends, and the Prebisch-Singer hypothesis. (2018). Winkelried, Diego. In: Journal of Development Economics. RePEc:eee:deveco:v:132:y:2018:i:c:p:1-17. Full description at Econpapers || Download paper |
| 2017 | Assessing efficiency and investment opportunities in commodities: A time series and portfolio simulations approach. (2017). Ftiti, Zied ; JAWADI, Fredj ; Hdia, Mouna . In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:567-588. Full description at Econpapers || Download paper |
| 2017 | Two simple tests of the trend hypothesis under time-varying variance. (2017). Yang, Yang ; Wang, Shaoping. In: Economics Letters. RePEc:eee:ecolet:v:156:y:2017:i:c:p:123-128. Full description at Econpapers || Download paper |
| 2017 | Predicting international stock returns with conditional price-to-fundamental ratios. (2017). Lawrenz, Jochen ; Zorn, Josef. In: Journal of Empirical Finance. RePEc:eee:empfin:v:43:y:2017:i:c:p:159-184. Full description at Econpapers || Download paper |
| 2017 | Noncausality and the commodity currency hypothesis. (2017). Nyberg, Henri ; Lof, Matthijs. In: Energy Economics. RePEc:eee:eneeco:v:65:y:2017:i:c:p:424-433. Full description at Econpapers || Download paper |
| 2017 | International stock return predictability: Evidence from new statistical tests. (2017). Kim, Jae ; Darné, Olivier ; Charles, Amelie ; Darne, Olivier. In: International Review of Financial Analysis. RePEc:eee:finana:v:54:y:2017:i:c:p:97-113. Full description at Econpapers || Download paper |
| 2018 | An analysis of time-varying commodity market price discovery. (2018). Narayan, Paresh Kumar ; Sharma, Susan Sunila. In: International Review of Financial Analysis. RePEc:eee:finana:v:57:y:2018:i:c:p:122-133. Full description at Econpapers || Download paper |
| 2018 | Modelling time varying volatility spillovers and conditional correlations across commodity metal futures. (2018). Karanasos, Menelaos ; Nath, Rajat ; Margaronis, Zannis ; Ali, Faek Menla. In: International Review of Financial Analysis. RePEc:eee:finana:v:57:y:2018:i:c:p:246-256. Full description at Econpapers || Download paper |
| 2018 | Information demand and stock return predictability. (2018). Vlastakis, Nikolaos ; Papadimitriou, Fotios I ; Chronopoulos, Dimitris K. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:80:y:2018:i:c:p:59-74. Full description at Econpapers || Download paper |
| 2018 | The optimisation rule for investment in mining projects. (2018). Salim, Ruhul ; Bloch, Harry ; Foo, Nam . In: Resources Policy. RePEc:eee:jrpoli:v:55:y:2018:i:c:p:123-132. Full description at Econpapers || Download paper |
| 2018 | Structural changes and out-of-sample prediction of realized range-based variance in the stock market. (2018). Lin, Boqiang ; Gong, XU. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:494:y:2018:i:c:p:27-39. Full description at Econpapers || Download paper |
| 2017 | Realized volatility forecast of agricultural futures using the HAR models with bagging and combination approaches. (2017). Yang, KE ; Li, Steven ; Chen, Langnan ; Tian, Fengping . In: International Review of Economics & Finance. RePEc:eee:reveco:v:49:y:2017:i:c:p:276-291. Full description at Econpapers || Download paper |
| 2017 | Structural breaks in international tourism demand: Are they caused by crises or disasters?. (2017). Cro, Susana ; Martins, Antonio Miguel . In: Tourism Management. RePEc:eee:touman:v:63:y:2017:i:c:p:3-9. Full description at Econpapers || Download paper |
| 2018 | On the evolution of comparative advantage: path-dependent versus path-defying changes. (2018). Coniglio, Nicola ; Clara, Michele ; Cantore, Nicola ; Vurchio, Davide. In: Papers in Evolutionary Economic Geography (PEEG). RePEc:egu:wpaper:1818. Full description at Econpapers || Download paper |
| 2017 | Policy responses to terms of trade shocks. (2017). Jacquet, Pierre ; Lisser, Marwan ; Atlani, Alexis. In: Working Papers. RePEc:fdi:wpaper:4047. Full description at Econpapers || Download paper |
| 2017 | Policy responses to terms of trade shocks. (2017). Jacquet, Pierre ; Lisser, Marwan ; Atlani, Alexis. In: Working Papers. RePEc:fdi:wpaper:4050. Full description at Econpapers || Download paper |
| 2017 | International Stock Return Predictability: Evidence from New Statistical Tests. (2017). Kim, Jae ; Darné, Olivier ; Darne, Olivier ; Charles, Amelie. In: Post-Print. RePEc:hal:journl:hal-01626101. Full description at Econpapers || Download paper |
| 2017 | The affine styled-facts price dynamics for the natural gas: evidence from daily returns and option prices. (2017). Hsu, Chih-Chen ; Chen, Ting-Fu ; Lin, Shih-Kuei. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:48:y:2017:i:3:d:10.1007_s11156-016-0569-x. Full description at Econpapers || Download paper |
| 2017 | Lags, Costs, and Shocks: An Equilibrium Model of the Oil Industry. (2017). Krusell, Per ; Rebelo, Sergio ; Bornstein, Gideon. In: NBER Working Papers. RePEc:nbr:nberwo:23423. Full description at Econpapers || Download paper |
| 2017 | Inflation Persistence Before and After Inflation Targeting: A Fractional Integration Approach. (2017). Miller, Stephen ; Canarella, Giorgio. In: Eastern Economic Journal. RePEc:pal:easeco:v:43:y:2017:i:1:d:10.1057_eej.2015.36. Full description at Econpapers || Download paper |
| 2017 | Commodity Price Co-movement: Heterogeneity and the Time Varying Impact of Fundamentals. (2017). Xu, Bing ; Sakemoto, Ryuta ; Byrne, Joseph. In: MPRA Paper. RePEc:pra:mprapa:80791. Full description at Econpapers || Download paper |
| 2018 | Long Run Trends and Fluctuations In Cotton Prices. (2018). MacDonald, Stephen ; Meyer, Leslie . In: MPRA Paper. RePEc:pra:mprapa:84484. Full description at Econpapers || Download paper |
| 2017 | Do Bivariate Multifractal Models Improve Volatility Forecasting in Financial Time Series? An Application to Foreign Exchange and Stock Markets. (2017). Wohar, Mark ; GUPTA, RANGAN ; Demirer, Riza ; Liu, Ruipeng. In: Working Papers. RePEc:pre:wpaper:201728. Full description at Econpapers || Download paper |
| 2018 | Persistence in Trends and Cycles of Gold and Silver Prices: Evidence from Historical Data. (2018). GUPTA, RANGAN ; Gil-Alana, Luis ; Cunado, Juncal. In: Working Papers. RePEc:pre:wpaper:201816. Full description at Econpapers || Download paper |
| 2018 | Do International Relative Commodity Prices Support the Prebisch-Singer Hypothesis? A Nonlinear Panel Unit Root Testing. (2018). Aslan, Murat ; Nazlioglu, Saban. In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2018:i:1:p:76-92. Full description at Econpapers || Download paper |
| 2017 | Dynamic responses and tail-dependence among commodities, the US real interest rate and the dollar. (2017). Huang, Wanling ; Nguyen, Khoa Huu ; Mollick, Andre Varella. In: Empirical Economics. RePEc:spr:empeco:v:53:y:2017:i:3:d:10.1007_s00181-016-1165-6. Full description at Econpapers || Download paper |
| 2017 | Modelling the volatility of commodities prices using a stochastic volatility model with random level shifts. (2017). RodrÃguez, Gabriel ; Alvaro, Dennis ; Guillen, Angel . In: Review of World Economics (Weltwirtschaftliches Archiv). RePEc:spr:weltar:v:153:y:2017:i:1:d:10.1007_s10290-016-0271-z. Full description at Econpapers || Download paper |
| 2017 | Does investor attention matter? The attention-return relation in gold futures market. (2017). Yin, Libo ; Han, Liyan ; Xu, Yang. In: Economics Discussion Papers. RePEc:zbw:ifwedp:201737. Full description at Econpapers || Download paper |
Works by Neil Michael Kellard:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2012 | Trends and Cycles in Real Commodity Prices: 1650-2010 In: CEH Discussion Papers. [Full Text][Citation analysis] | paper | 3 |
| 2000 | Long-Run Drift, Co-Movement and Persistence in Real Wheat and Maize Prices In: Journal of Agricultural Economics. [Full Text][Citation analysis] | article | 4 |
| 2002 | Evaluating Commodity Market Efficiency: Are Cointegration Tests Appropriate? In: Journal of Agricultural Economics. [Full Text][Citation analysis] | article | 6 |
| 2015 | Introduction to the JTSA John Nankervis Memorial Issue In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 0 |
| 2008 | THE PURCHASING POWER PARITY PERSISTENCE PUZZLE: EVIDENCE FROM BLACK MARKET REAL EXCHANGE RATES In: Manchester School. [Full Text][Citation analysis] | article | 3 |
| 2003 | Trends and Persistence in Primary Commodity Prices In: Royal Economic Society Annual Conference 2003. [Full Text][Citation analysis] | paper | 1 |
| 2008 | The role of long memory in hedging effectiveness In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 10 |
| 2006 | On the prevalence of trends in primary commodity prices In: Journal of Development Economics. [Full Text][Citation analysis] | article | 65 |
| 2015 | Trade openness, export diversification, and political regimes In: Economics Letters. [Full Text][Citation analysis] | article | 5 |
| 2005 | The PPP debate: Price matters! In: Economics Letters. [Full Text][Citation analysis] | article | 13 |
| 2008 | Can exchange rate volatility explain persistence in the forward premium? In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 7 |
| 2010 | Predicting the equity premium with dividend ratios: Reconciling the evidence In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 12 |
| 2016 | Special issue of the Journal of Empirical Finance Guest Editors introduction In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 0 |
| 2016 | Bubbling over! The behaviour of oil futures along the yield curve In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 0 |
| 1998 | Two puzzles in the analysis of foreign exchange market efficiency In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 16 |
| 1996 | Two Puzzles in the Analysis of Foreign Exchange Market Efficiency..(1996) In: Discussion Papers. [Citation analysis] This paper has another version. Agregated cites: 16 | paper | |
| 2006 | On the robustness of cointegration tests when assessing market efficiency In: Finance Research Letters. [Full Text][Citation analysis] | article | 2 |
| 2010 | Foreign exchange, fractional cointegration and the implied-realized volatility relation In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 9 |
| 2013 | Forecasting EUR–USD implied volatility: The case of intraday data In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 1 |
| 2013 | Does the forward premium puzzle disappear over the horizon? In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 2 |
| 2015 | Spurious long memory, uncommon breaks and the implied–realized volatility puzzle In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 5 |
| 2017 | Child mortality, commodity price volatility and the resource curse In: Social Science & Medicine. [Full Text][Citation analysis] | article | 0 |
| 2017 | Long-Run Commodity Prices, Economic Growth, and Interest Rates: 17th Century to the Present Day In: World Development. [Full Text][Citation analysis] | article | 1 |
| 2015 | Open outcry versus electronic trading: tests of market efficiency on crude palm oil futures In: Essex Finance Centre Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2005 | The Purchasing Power Parity Persistence Paradigm: Evidence from Black Currency Markets In: Money Macro and Finance (MMF) Research Group Conference 2005. [Full Text][Citation analysis] | paper | 2 |
| 2007 | Predicting the UK Equity Premium with Dividend Ratios: An Out-Of-Sample Recursive Residuals Graphical Approach In: Money Macro and Finance (MMF) Research Group Conference 2006. [Full Text][Citation analysis] | paper | 0 |
| 1996 | Testing for Efficiency in Commodity Futures Markets. In: Discussion Papers. [Citation analysis] | paper | 0 |
| 1997 | Long-Run Price Behaviour of Wheat and Maize: Trend Stationarity or Difference-Stationarity? In: Discussion Papers. [Citation analysis] | paper | 0 |
| 1997 | Is the Dollar/ECU Exchange A Random Walk? In: Discussion Papers. [Citation analysis] | paper | 0 |
| 2006 | Threshold Autoregressive Models of the Commodities Futures Basis In: Computing in Economics and Finance 2006. [Citation analysis] | paper | 0 |
| 2006 | The Forward Premium Anomaly at Long Horizons In: Computing in Economics and Finance 2006. [Citation analysis] | paper | 0 |
| 2006 | Long Memory and Structural Breaks in Commodity Futures Basis and Market In: Computing in Economics and Finance 2006. [Citation analysis] | paper | 0 |
| 2001 | Evaluating currency market efficiency: are cointegration tests appropriate? In: Applied Financial Economics. [Full Text][Citation analysis] | article | 3 |
| 1998 | Is the dollar/ECU exchange rate a random walk? In: Applied Financial Economics. [Full Text][Citation analysis] | article | 4 |
| 2010 | The Prebisch-Singer Hypothesis: Four Centuries of Evidence In: The Review of Economics and Statistics. [Full Text][Citation analysis] | article | 83 |
| 1999 | The relative efficiency of commodity futures markets In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 9 |
| 2011 | Long memory and structural breaks in commodity futures markets In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 8 |
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