Neil Michael Kellard : Citation Profile


Are you Neil Michael Kellard?

University of Essex

8

H index

5

i10 index

239

Citations

RESEARCH PRODUCTION:

25

Articles

12

Papers

RESEARCH ACTIVITY:

   21 years (1996 - 2017). See details.
   Cites by year: 11
   Journals where Neil Michael Kellard has often published
   Relations with other researchers
   Recent citing documents: 38.    Total self citations: 13 (5.16 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pke322
   Updated: 2017-11-18    RAS profile: 2017-05-02    
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Relations with other researchers


Works with:

Wohar, Mark (3)

Snaith, Stuart (3)

Madsen, Jakob (2)

Vinogradov, Dmitri (2)

Coakley, Jerry (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Neil Michael Kellard.

Is cited by:

Frankel, Jeffrey (17)

arezki, rabah (12)

Ghoshray, Atanu (11)

Hadri, Kaddour (8)

Tansuchat, Roengchai (7)

Loungani, Prakash (7)

Wohar, Mark (7)

Chang, Chia-Lin (7)

McAleer, Michael (7)

Nielsen, Morten (6)

Otero, Jesus (6)

Cites to:

Perron, Pierre (31)

Wohar, Mark (16)

Reinhart, Carmen (15)

Phillips, Peter (14)

O'Rourke, Kevin (13)

Bollerslev, Tim (12)

Velasco, Carlos (11)

Diebold, Francis (10)

Maynard, Alex (10)

Baillie, Richard (10)

Bai, Jushan (10)

Main data


Where Neil Michael Kellard has published?


Journals with more than one article published# docs
Journal of Empirical Finance4
Journal of Banking & Finance3
Applied Financial Economics2
Journal of Agricultural Economics2
Journal of Futures Markets2
Economics Letters2

Working Papers Series with more than one paper published# docs
Computing in Economics and Finance 2006 / Society for Computational Economics3

Recent works citing Neil Michael Kellard (2017 and 2016)


YearTitle of citing document
2017Investigating 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.

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2017Free 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.

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2016Are Commodity Price Booms an Opportunity to Diversify? Evidence from Resource-dependent Countries. (2016). Anne, Clement . In: Working Papers. RePEc:cdi:wpaper:1825.

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2017Lags, 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.

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2016Lewis revisited : tropical polities competing on the world market 1830-1938. (2016). Tena-Junguito, Antonio ; Federico, Giovanni . In: IFCS - Working Papers in Economic History.WH. RePEc:cte:whrepe:23305.

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2016The Glosten-Jagannathan-Runkle-Generalized Autoregressive Conditional Heteroscedastic approach to investigating the foreign exchange forward premium volatility. (2016). Hamzaoui, Nessrine ; Regaieg, Boutheina . In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2016-04-42.

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2016Revisiting the long memory dynamics of the implied–realized volatility relationship: New evidence from the wavelet regression. (2016). Baruník, Jozef ; Hlinkova, Michaela ; Barunik, Jozef . In: Economic Modelling. RePEc:eee:ecmode:v:54:y:2016:i:c:p:503-514.

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2017Assessing efficiency and investment opportunities in commodities: A time series and portfolio simulations approach. (2017). Ftiti, Zied ; Hdia, Mouna ; Jawadi, Fredj . In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:567-588.

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2016Fractional integration in daily stock market indices at Jordans Amman stock exchange. (2016). Al-Shboul, Mohammad ; Anwar, Sajid . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:37:y:2016:i:c:p:16-37.

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2016Global patterns of metal extractivism, 1950–2010: Providing the bones for the industrial societys skeleton. (2016). Krausmann, Fridolin ; Eisenmenger, Nina ; Mayer, Andreas ; Schaffartzik, Anke . In: Ecological Economics. RePEc:eee:ecolec:v:122:y:2016:i:c:p:101-110.

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2017Two 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.

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2016How regular are directional movements in commodity and asset prices? A Wald test. (2016). Kleppe, Tore ; Oglend, Atle . In: Journal of Empirical Finance. RePEc:eee:empfin:v:38:y:2016:i:pa:p:290-306.

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2016A fractionally cointegrated VAR model with deterministic trends and application to commodity futures markets. (2016). Nielsen, Morten ; Xu, KE ; Dolatabadi, Sepideh . In: Journal of Empirical Finance. RePEc:eee:empfin:v:38:y:2016:i:pb:p:623-639.

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2017Predicting 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.

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2017Noncausality 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.

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2017International stock return predictability: Evidence from new statistical tests. (2017). Kim, Jae H ; Charles, Amelie ; Darne, Olivier . In: International Review of Financial Analysis. RePEc:eee:finana:v:54:y:2017:i:c:p:97-113.

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2016Piecewise linear trends and cycles in primary commodity prices. (2016). Winkelried, Diego. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:64:y:2016:i:c:p:196-213.

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2016Environmental Macroeconomics. (2016). Hassler, J ; Smith, A A ; Krusell, P. In: Handbook of Macroeconomics. RePEc:eee:macchp:v2-1893.

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2017Realized 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.

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2016The volatility dynamics of spot and futures gold prices: Evidence from Russia. (2016). Kirkulak, Berna ; Kirkulak-Uludag, Berna ; Lkhamazhapov, Zorikto . In: Research in International Business and Finance. RePEc:eee:riibaf:v:38:y:2016:i:c:p:474-484.

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2016Are Commodity Price Booms an Opportunity to Diversify? Evidence from Resource-dependent Countries. (2016). Anne, Clement . In: Working Papers. RePEc:hal:wpaper:halshs-01381143.

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2016Testing the Persistence of the Forward Premium: Structural Changes or Misspecification?. (2016). Ho, Tsung-Wu ; Mo, Wan-Shin . In: Open Economies Review. RePEc:kap:openec:v:27:y:2016:i:1:d:10.1007_s11079-015-9365-9.

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2017The 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.

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2016Characterizing monetary and fiscal policy rules and interactions when commodity prices matter. (2016). Middleditch, Paul ; Chuku, Chuku. In: Centre for Growth and Business Cycle Research Discussion Paper Series. RePEc:man:cgbcrp:222.

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2016Causes of the 2000s Food Price Surge: New Evidence from Structural VAR. (2016). Grabowski, Daniel . In: MAGKS Papers on Economics. RePEc:mar:magkse:201631.

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2016The Feldstein-Horioka Puzzle in the Presence of Structural Breaks: Evidence from China. (2016). YILDIRIM, Dilem ; Orman, Ethem Erdem . In: ERC Working Papers. RePEc:met:wpaper:1601.

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2017Lags, 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.

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2016Trends and Cycles in Historical Gold and Silver Prices. (2016). GUPTA, RANGAN ; Gil-Alaa, Luis Alberiko . In: NCID Working Papers. RePEc:nva:unnvaa:wp05-2016.

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2017Inflation 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.

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2016The Forward Premium Bias, Carry Trade Return and the Risks of Volatility and Liquidity. (2016). Moore, Michael ; Li, Youwei ; Shehadeh, Ali . In: MPRA Paper. RePEc:pra:mprapa:71709.

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2017Commodity 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.

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2017Do 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.

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2017Dynamic 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.

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2016The regime-switching risk premium in the gold futures market. (2016). Kopchak, Seth J. In: Journal of Economics and Finance. RePEc:spr:jecfin:v:40:y:2016:i:3:d:10.1007_s12197-014-9308-0.

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2017Modelling the volatility of commodities prices using a stochastic volatility model with random level shifts. (2017). Rodríguez, 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.

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2016Inflation Targeting: New Evidence from Fractional Integration and Cointegration. (2016). Miller, Stephen ; Canarella, Giorgio. In: Working papers. RePEc:uct:uconnp:2016-08.

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2016Inflation Persistence and Structural Breaks: The Experience of Inflation Targeting Countries and the US. (2016). Miller, Stephen ; Canarella, Giorgio. In: Working papers. RePEc:uct:uconnp:2016-21.

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2016Do resource-rich countries suffer from a lack of fiscal discipline ?. (2016). Bleaney, Michael Francis ; Halland, Havard . In: Policy Research Working Paper Series. RePEc:wbk:wbrwps:7552.

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Works by Neil Michael Kellard:


YearTitleTypeCited
2012Trends and Cycles in Real Commodity Prices: 1650-2010 In: CEH Discussion Papers.
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2000Long-Run Drift, Co-Movement and Persistence in Real Wheat and Maize Prices In: Journal of Agricultural Economics.
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2002Evaluating Commodity Market Efficiency: Are Cointegration Tests Appropriate? In: Journal of Agricultural Economics.
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2015Introduction to the JTSA John Nankervis Memorial Issue In: Journal of Time Series Analysis.
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2008THE PURCHASING POWER PARITY PERSISTENCE PUZZLE: EVIDENCE FROM BLACK MARKET REAL EXCHANGE RATES In: Manchester School.
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2003Trends and Persistence in Primary Commodity Prices In: Royal Economic Society Annual Conference 2003.
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2008The role of long memory in hedging effectiveness In: Computational Statistics & Data Analysis.
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2006On the prevalence of trends in primary commodity prices In: Journal of Development Economics.
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article57
2015Trade openness, export diversification, and political regimes In: Economics Letters.
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article2
2005The PPP debate: Price matters! In: Economics Letters.
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article12
2008Can exchange rate volatility explain persistence in the forward premium? In: Journal of Empirical Finance.
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2010Predicting the equity premium with dividend ratios: Reconciling the evidence In: Journal of Empirical Finance.
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2016Special issue of the Journal of Empirical Finance Guest Editors introduction In: Journal of Empirical Finance.
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2016Bubbling over! The behaviour of oil futures along the yield curve In: Journal of Empirical Finance.
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1998Two puzzles in the analysis of foreign exchange market efficiency In: International Review of Financial Analysis.
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1996Two Puzzles in the Analysis of Foreign Exchange Market Efficiency..(1996) In: Discussion Papers.
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2006On the robustness of cointegration tests when assessing market efficiency In: Finance Research Letters.
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2010Foreign exchange, fractional cointegration and the implied-realized volatility relation In: Journal of Banking & Finance.
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2013Forecasting EUR–USD implied volatility: The case of intraday data In: Journal of Banking & Finance.
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2013Does the forward premium puzzle disappear over the horizon? In: Journal of Banking & Finance.
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2015Spurious long memory, uncommon breaks and the implied–realized volatility puzzle In: Journal of International Money and Finance.
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2017Child mortality, commodity price volatility and the resource curse In: Social Science & Medicine.
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2017Long-Run Commodity Prices, Economic Growth, and Interest Rates: 17th Century to the Present Day In: World Development.
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2015Open outcry versus electronic trading: tests of market efficiency on crude palm oil futures In: Essex Finance Centre Working Papers.
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2005The Purchasing Power Parity Persistence Paradigm: Evidence from Black Currency Markets In: Money Macro and Finance (MMF) Research Group Conference 2005.
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2007Predicting 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.
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1996Testing for Efficiency in Commodity Futures Markets. In: Discussion Papers.
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1997Long-Run Price Behaviour of Wheat and Maize: Trend Stationarity or Difference-Stationarity? In: Discussion Papers.
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1997Is the Dollar/ECU Exchange A Random Walk? In: Discussion Papers.
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2006Threshold Autoregressive Models of the Commodities Futures Basis In: Computing in Economics and Finance 2006.
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2006The Forward Premium Anomaly at Long Horizons In: Computing in Economics and Finance 2006.
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2006Long Memory and Structural Breaks in Commodity Futures Basis and Market In: Computing in Economics and Finance 2006.
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2001Evaluating currency market efficiency: are cointegration tests appropriate? In: Applied Financial Economics.
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1998Is the dollar/ECU exchange rate a random walk? In: Applied Financial Economics.
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2010The Prebisch-Singer Hypothesis: Four Centuries of Evidence In: The Review of Economics and Statistics.
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1999The relative efficiency of commodity futures markets In: Journal of Futures Markets.
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2011Long memory and structural breaks in commodity futures markets In: Journal of Futures Markets.
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CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated November, 3 2017. Contact: CitEc Team