Neil Michael Kellard : Citation Profile

Are you Neil Michael Kellard?

University of Essex

9

H index

8

i10 index

292

Citations

RESEARCH PRODUCTION:

25

Articles

12

Papers

RESEARCH ACTIVITY:

   21 years (1996 - 2017). See details.
   Cites by year: 13
   Journals where Neil Michael Kellard has often published
   Relations with other researchers
   Recent citing documents: 44.    Total self citations: 13 (4.26 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pke322
   Updated: 2018-10-13    RAS profile: 2017-05-02    
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Relations with other researchers

Works with:

Snaith, Stuart (3)

Wohar, Mark (2)

Coakley, Jerry (2)

Vinogradov, Dmitri (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)

Ghoshray, Atanu (14)

arezki, rabah (12)

Wohar, Mark (8)

Hadri, Kaddour (8)

Nielsen, Morten (8)

Loungani, Prakash (7)

Tansuchat, Roengchai (7)

McAleer, Michael (7)

Chang, Chia-Lin (7)

GUPTA, RANGAN (6)

Cites to:

Perron, Pierre (32)

Wohar, Mark (16)

Reinhart, Carmen (15)

Phillips, Peter (14)

O'Rourke, Kevin (13)

Bollerslev, Tim (12)

Velasco, Carlos (11)

Campbell, John (11)

Maynard, Alex (10)

Diebold, Francis (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
Journal of Futures Markets2
Applied Financial Economics2
Journal of Agricultural Economics2
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 (2018 and 2017)

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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2018Food Price Variability and Import Dependence: A Country Panel Analysis. (2018). Chen, Bowen ; Villoria, Nelson B. In: 2018 Annual Meeting, August 5-7, Washington, D.C.. RePEc:ags:aaea18:274285.

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2017Economic significance of commodity return forecasts from the fractionally cointegrated VAR model. (2017). Nielsen, Morten ; Xu, KE ; Narayan, Paresh Kumar ; Dolatabadi, Sepideh. In: Queen's Economics Department Working Papers. RePEc:ags:quedwp:274663.

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2018On 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.

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2017Commodity 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.

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2018RESOURCE 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.

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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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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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2018Testing the predictability of commodity prices in stock returns: A new perspective. (2018). Salisu, Afees ; Raheem, Ibrahim D ; Isah, Kazeem . In: Working Papers. RePEc:cui:wpaper:0061.

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2018Tourism 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.

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2018Unit 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.

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2017Assessing 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.

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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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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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2018Mapping algorithms, agricultural futures, and the relationship between commodity investment flows and crude oil futures prices. (2018). Yan, Lei ; Sanders, Dwight R ; Irwin, Scott H. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:486-504.

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2017International 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.

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2018An 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.

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2018Modelling 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.

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2018Information 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.

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2018The 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.

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2018Structural 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.

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2018Poverty and the resource curse: Evidence from a global panel of countries. (2018). Apergis, Nicholas ; Katsaiti, Marina-Selini. In: Research in Economics. RePEc:eee:reecon:v:72:y:2018:i:2:p:211-223.

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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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2017Structural 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.

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2018On 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.

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2017Policy responses to terms of trade shocks. (2017). Jacquet, Pierre ; Lisser, Marwan ; Atlani, Alexis. In: Working Papers. RePEc:fdi:wpaper:4047.

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2017Policy responses to terms of trade shocks. (2017). Jacquet, Pierre ; Lisser, Marwan ; Atlani, Alexis. In: Working Papers. RePEc:fdi:wpaper:4050.

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2018The Relationship Between Prices of Various Metals, Oil and Scarcity. (2018). Popp, Jozsef ; Mate, Domician ; Lakner, Zoltan ; Fekete, Maria Farkas ; Olah, Judit. In: Energies. RePEc:gam:jeners:v:11:y:2018:i:9:p:2392-:d:169104.

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2017International 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.

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2018Forward Unbiasedness in the Short End of the Interest Rate Market. (2018). Azar, Samih Antoine. In: International Business Research. RePEc:ibn:ibrjnl:v:11:y:2018:i:2:p:70-78.

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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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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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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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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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2018Long Run Trends and Fluctuations In Cotton Prices. (2018). MacDonald, Stephen ; Meyer, Leslie. In: MPRA Paper. RePEc:pra:mprapa:84484.

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2018Income terms of trade and economic convergence: Evidence from Latin America. (2018). Trofimov, Ivan D. In: MPRA Paper. RePEc:pra:mprapa:87598.

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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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2018Persistence 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.

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2018Do 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.

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2017Dynamic responses and tail-dependence among commodities, the US real interest rate and the dollar. (2017). Mollick, Andre ; Nguyen, Khoa Huu ; Huang, Wanling . In: Empirical Economics. RePEc:spr:empeco:v:53:y:2017:i:3:d:10.1007_s00181-016-1165-6.

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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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2018Re-testing Prebisch–Singer hypothesis: new evidence using Fourier quantile unit root test. (2018). Ranjbar, Omid ; Chang, Tsangyao ; Bahmani-Oskooee, Mohsen ; Elmi, Zahra. In: Applied Economics. RePEc:taf:applec:v:50:y:2018:i:4:p:441-454.

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2017Does 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.

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Works by Neil Michael Kellard:

YearTitleTypeCited
2012Trends and Cycles in Real Commodity Prices: 1650-2010 In: CEH Discussion Papers.
[Full Text][Citation analysis]		paper3
2000Long-Run Drift, Co-Movement and Persistence in Real Wheat and Maize Prices In: Journal of Agricultural Economics.
[Full Text][Citation analysis]		article4
2002Evaluating Commodity Market Efficiency: Are Cointegration Tests Appropriate? In: Journal of Agricultural Economics.
[Full Text][Citation analysis]		article6
2015Introduction to the JTSA John Nankervis Memorial Issue In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article0
2008THE PURCHASING POWER PARITY PERSISTENCE PUZZLE: EVIDENCE FROM BLACK MARKET REAL EXCHANGE RATES In: Manchester School.
[Full Text][Citation analysis]		article3
2003Trends and Persistence in Primary Commodity Prices In: Royal Economic Society Annual Conference 2003.
[Full Text][Citation analysis]		paper1
2008The role of long memory in hedging effectiveness In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article10
2006On the prevalence of trends in primary commodity prices In: Journal of Development Economics.
[Full Text][Citation analysis]		article71
2015Trade openness, export diversification, and political regimes In: Economics Letters.
[Full Text][Citation analysis]		article5
2005The PPP debate: Price matters! In: Economics Letters.
[Full Text][Citation analysis]		article14
2008Can exchange rate volatility explain persistence in the forward premium? In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article7
2010Predicting the equity premium with dividend ratios: Reconciling the evidence In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article14
2016Special issue of the Journal of Empirical Finance Guest Editors introduction In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article0
2016Bubbling over! The behaviour of oil futures along the yield curve In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article1
1998Two puzzles in the analysis of foreign exchange market efficiency In: International Review of Financial Analysis.
[Full Text][Citation analysis]		article16
1996Two Puzzles in the Analysis of Foreign Exchange Market Efficiency..(1996) In: Discussion Papers.
[Citation analysis]
This paper has another version. Agregated cites: 16		paper
2006On the robustness of cointegration tests when assessing market efficiency In: Finance Research Letters.
[Full Text][Citation analysis]		article2
2010Foreign exchange, fractional cointegration and the implied-realized volatility relation In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article10
2013Forecasting EUR–USD implied volatility: The case of intraday data In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article1
2013Does the forward premium puzzle disappear over the horizon? In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article2
2015Spurious long memory, uncommon breaks and the implied–realized volatility puzzle In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article5
2017Child mortality, commodity price volatility and the resource curse In: Social Science & Medicine.
[Full Text][Citation analysis]		article0
2017Long-Run Commodity Prices, Economic Growth, and Interest Rates: 17th Century to the Present Day In: World Development.
[Full Text][Citation analysis]		article1
2015Open outcry versus electronic trading: tests of market efficiency on crude palm oil futures In: Essex Finance Centre Working Papers.
[Full Text][Citation analysis]		paper0
2005The Purchasing Power Parity Persistence Paradigm: Evidence from Black Currency Markets In: Money Macro and Finance (MMF) Research Group Conference 2005.
[Full Text][Citation analysis]		paper2
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.
[Full Text][Citation analysis]		paper0
1996Testing for Efficiency in Commodity Futures Markets. In: Discussion Papers.
[Citation analysis]		paper0
1997Long-Run Price Behaviour of Wheat and Maize: Trend Stationarity or Difference-Stationarity? In: Discussion Papers.
[Citation analysis]		paper0
1997Is the Dollar/ECU Exchange A Random Walk? In: Discussion Papers.
[Citation analysis]		paper0
2006Threshold Autoregressive Models of the Commodities Futures Basis In: Computing in Economics and Finance 2006.
[Citation analysis]		paper0
2006The Forward Premium Anomaly at Long Horizons In: Computing in Economics and Finance 2006.
[Citation analysis]		paper0
2006Long Memory and Structural Breaks in Commodity Futures Basis and Market In: Computing in Economics and Finance 2006.
[Citation analysis]		paper0
2001Evaluating currency market efficiency: are cointegration tests appropriate? In: Applied Financial Economics.
[Full Text][Citation analysis]		article4
1998Is the dollar/ECU exchange rate a random walk? In: Applied Financial Economics.
[Full Text][Citation analysis]		article4
2010The Prebisch-Singer Hypothesis: Four Centuries of Evidence In: The Review of Economics and Statistics.
[Full Text][Citation analysis]		article87
1999The relative efficiency of commodity futures markets In: Journal of Futures Markets.
[Full Text][Citation analysis]		article9
2011Long memory and structural breaks in commodity futures markets In: Journal of Futures Markets.
[Full Text][Citation analysis]		article10

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