Neil Michael Kellard : Citation Profile


Are you Neil Michael Kellard?

University of Essex

10

H index

10

i10 index

395

Citations

RESEARCH PRODUCTION:

25

Articles

12

Papers

RESEARCH ACTIVITY:

   21 years (1996 - 2017). See details.
   Cites by year: 18
   Journals where Neil Michael Kellard has often published
   Relations with other researchers
   Recent citing documents: 33.    Total self citations: 13 (3.19 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pke322
   Updated: 2021-02-20    RAS profile: 2017-05-02    
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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:

Frankel, Jeffrey (17)

Ghoshray, Atanu (17)

arezki, rabah (13)

GUPTA, RANGAN (9)

Wohar, Mark (8)

Nielsen, Morten (8)

Xu, Ke (7)

Kim, Hyeongwoo (7)

McAleer, Michael (7)

Chang, Chia-Lin (7)

Gil-Alana, Luis (7)

Cites to:

Perron, Pierre (32)

Wohar, Mark (16)

Reinhart, Carmen (15)

Phillips, Peter (14)

O'Rourke, Kevin (13)

Bollerslev, Tim (12)

Velasco, Carlos (11)

Diebold, Francis (10)

Baillie, Richard (10)

Bai, Jushan (10)

Campbell, John (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 Agricultural Economics2
Economics Letters2
Applied Financial Economics2
Journal of Futures Markets2

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 (2021 and 2020)


YearTitle of citing document
2020Systemic Risk in Market Microstructure of Crude Oil and Gasoline Futures Prices: A Hawkes Flocking Model Approach. (2020). Lee, Kyungsub ; Jang, Hyun Jin. In: Papers. RePEc:arx:papers:2012.04181.

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2020High-frequency dynamics of the implied volatility surface. (2020). Baldacci, Bastien. In: Papers. RePEc:arx:papers:2012.10875.

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2020Consumption, asset wealth, equity premium, term spread, and flight to quality. (2020). Sousa, Ricardo ; Costantini, Mauro. In: European Financial Management. RePEc:bla:eufman:v:26:y:2020:i:3:p:778-807.

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2020Characterizing Monetary and Fiscal Policy Rules and Interactions when Commodity Prices Matter. (2020). Middleditch, Paul ; Chuku, Chuku. In: Manchester School. RePEc:bla:manchs:v:88:y:2020:i:3:p:373-404.

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2020Anything but gold. The golden constant revisited. (2020). Carpantier, Jean-François. In: LIDAM Discussion Papers IRES. RePEc:ctl:louvir:2020036.

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2020Investigating properties of commodity price responses to real and nominal shocks. (2020). Kim, Hyeongwoo ; Zhang, Yunxiao. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818305151.

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2020Intraday-of-the-week effects: What do the exchange rate data tell us?. (2020). Narayan, Paresh Kumar ; Khademalomoom, Siroos. In: Emerging Markets Review. RePEc:eee:ememar:v:43:y:2020:i:c:s1566014119302031.

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2020Date-stamping multiple bubble regimes. (2020). Whitehouse, Emily ; Leybourne, Stephen J ; Harvey, David I. In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:226-246.

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2020Equity premium prediction and the state of the economy. (2020). Tsiakas, Ilias ; Zhang, Haibin ; Li, Jiahan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:75-95.

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2020Beta dispersion and market timing. (2020). Kuntz, Laura-Chloe. In: Journal of Empirical Finance. RePEc:eee:empfin:v:59:y:2020:i:c:p:235-256.

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2020Time-varying persistence in real oil prices and its determinant. (2020). Wegener, Christoph ; Kruse, Robinson. In: Energy Economics. RePEc:eee:eneeco:v:85:y:2020:i:c:s0140988319300805.

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2020A new way of measuring the WTI – Brent spread. Globalization, shock persistence and common trends.. (2020). Golpe, Antonio ; Bravo, Jose Manuel ; Vides, Jose Carlos ; Iglesias, Jesus. In: Energy Economics. RePEc:eee:eneeco:v:85:y:2020:i:c:s014098831930341x.

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2020Mild explosivity in recent crude oil prices. (2020). Paraskevopoulos, Ioannis ; McCrorie, Roderick J ; Figuerola-Ferretti, Isabel. In: Energy Economics. RePEc:eee:eneeco:v:87:y:2020:i:c:s0140988319301471.

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2020Commodity price pass-through and inflation regimes. (2020). Lan, Hao ; Abbas, Syed. In: Energy Economics. RePEc:eee:eneeco:v:92:y:2020:i:c:s0140988320303170.

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2020Commodity prices and GDP growth. (2020). Tang, KE ; Ge, Yiqing. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521920301563.

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2020Regulatory reform and market efficiency: The case of Indian agricultural commodity futures markets. (2020). Mishra, Sibanjan ; Mohanty, Sunil K. In: Research in International Business and Finance. RePEc:eee:riibaf:v:52:y:2020:i:c:s0275531918308109.

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2020Uneven development and the balance of payments constrained model: Terms of trade, economic cycles, and productivity catching-up. (2020). Spinola, Danilo. In: Structural Change and Economic Dynamics. RePEc:eee:streco:v:54:y:2020:i:c:p:220-232.

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2020Dynamic linkages between transport, logistics, foreign direct Investment, and economic growth: Empirical evidence from developing countries. (2020). Shahbaz, Muhammad ; Akhtar, Pervaiz ; Mefteh, Haifa ; Mani, Venkatesh ; Saidi, Samir. In: Transportation Research Part A: Policy and Practice. RePEc:eee:transa:v:141:y:2020:i:c:p:277-293.

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2020Effects of Agricultural, Manufacturing, and Mineral Exports on Angola’s Economic Growth. (2020). Zayone, Titus Isaiah ; Henneberry, Shida Rastegari ; Radmehr, Riza. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:6:p:1494-:d:335448.

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2020Commodity Prices in Empirical Research. (2020). Carpantier, Jean-Franois. In: Working Papers. RePEc:hal:wpaper:hal-02497404.

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2020Unprecedented but not Unpredictable: Effects of the COVID-19 Crisis on Commodity-Dependent Countries. (2020). Kublbock, Karin ; Troster, Bernhard. In: The European Journal of Development Research. RePEc:pal:eurjdr:v:32:y:2020:i:5:d:10.1057_s41287-020-00313-9.

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2020Another look at the implied and realised volatility relation: a copula-based approach. (2020). Pérez-Rodríguez, Jorge ; Perez-Rodriguez, Jorge V. In: Risk Management. RePEc:pal:risman:v:22:y:2020:i:1:d:10.1057_s41283-019-00054-y.

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2020Resource rents and happiness on a global perspective: The resource curse revisited. (2020). MIGNAMISSI, DIEUDONNE ; Kuete, Flora Yselle. In: MPRA Paper. RePEc:pra:mprapa:99928.

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2020The Behavior of Real Interest Rates: New Evidence from a ``Suprasecular Perspective. (2020). Gil-Alana, Luis ; Gupta, Rangan ; Canarella, Giorgio ; Miller, Stephen M. In: Working Papers. RePEc:pre:wpaper:202093.

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2021Multivariate Fractional Integration Tests allowing for Conditional Heteroskedasticity with an Application to Return Volatility and Trading Volume. (2021). Taylor, Robert ; Rodrigues, Paulo ; Rubia, Antonio ; Balboa, Marina. In: Working Papers. RePEc:ptu:wpaper:w202102.

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2020Technical analysis based on high and low stock prices forecasts: evidence for Brazil using a fractionally cointegrated VAR model. (2020). MacIel, Leandro . In: Empirical Economics. RePEc:spr:empeco:v:58:y:2020:i:4:d:10.1007_s00181-018-1603-8.

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2020Sustainable development and openness in oil-exporting countries: green growth and brown growth. (2020). Mohamad Taghvaee, Vahid ; Arani, Abbas Assari ; Nasiri, Mohamad ; Shirazi, Jalil Khodaparast. In: Journal of Economic Structures. RePEc:spr:jecstr:v:9:y:2020:i:1:d:10.1186_s40008-020-00216-2.

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2020Uneven development and the balance of payments constrained model: Terms of trade, economic cycles, and productivity catching-up. (2020). Spinola, Danilo. In: MERIT Working Papers. RePEc:unm:unumer:2020003.

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2020Night trading and market quality: Evidence from Chinese and US precious metal futures markets. (2020). Liu, Xiaoquan ; Kellard, Neil ; Jiang, Ying. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:10:p:1486-1507.

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2020Forecasting bitcoin volatility: Evidence from the options market. (2020). Baur, Dirk G ; Hoang, Lai T. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:10:p:1584-1602.

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2020Systemic risk in market microstructure of crude oil and gasoline futures prices: A Hawkes flocking model approach. (2020). Lee, Kiseop ; Jang, Hyun Jin. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:2:p:247-275.

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2020Return predictability of variance differences: A fractionally cointegrated approach. (2020). Li, Zhenxiong ; Yao, Xingzhi ; Izzeldin, Marwan. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:7:p:1072-1089.

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2020Beta dispersion and market timing. (2020). Kuntz, Laura-Chloe. In: Discussion Papers. RePEc:zbw:bubdps:462020.

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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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paper3
2000Long‐Run Drift, Co‐Movement and Persistence in Real Wheat and Maize Prices In: Journal of Agricultural Economics.
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article4
2002Evaluating Commodity Market Efficiency: Are Cointegration Tests Appropriate? In: Journal of Agricultural Economics.
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article6
2015Introduction to the JTSA John Nankervis Memorial Issue In: Journal of Time Series Analysis.
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article0
2008THE PURCHASING POWER PARITY PERSISTENCE PUZZLE: EVIDENCE FROM BLACK MARKET REAL EXCHANGE RATES* In: Manchester School.
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article3
2003Trends and Persistence in Primary Commodity Prices In: Royal Economic Society Annual Conference 2003.
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paper1
2008The role of long memory in hedging effectiveness In: Computational Statistics & Data Analysis.
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article11
2006On the prevalence of trends in primary commodity prices In: Journal of Development Economics.
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article88
2015Trade openness, export diversification, and political regimes In: Economics Letters.
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article5
2005The PPP debate: Price matters! In: Economics Letters.
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article15
2008Can exchange rate volatility explain persistence in the forward premium? In: Journal of Empirical Finance.
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article7
2010Predicting the equity premium with dividend ratios: Reconciling the evidence In: Journal of Empirical Finance.
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article23
2016Special issue of the Journal of Empirical Finance Guest Editors introduction In: Journal of Empirical Finance.
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article0
2016Bubbling over! The behaviour of oil futures along the yield curve In: Journal of Empirical Finance.
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article6
1998Two puzzles in the analysis of foreign exchange market efficiency In: International Review of Financial Analysis.
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article17
1996Two Puzzles in the Analysis of Foreign Exchange Market Efficiency..(1996) In: Discussion Papers.
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This paper has another version. Agregated cites: 17
paper
2006On the robustness of cointegration tests when assessing market efficiency In: Finance Research Letters.
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article2
2010Foreign exchange, fractional cointegration and the implied-realized volatility relation In: Journal of Banking & Finance.
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article16
2013Forecasting EUR–USD implied volatility: The case of intraday data In: Journal of Banking & Finance.
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article6
2013Does the forward premium puzzle disappear over the horizon? In: Journal of Banking & Finance.
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article3
2015Spurious long memory, uncommon breaks and the implied–realized volatility puzzle In: Journal of International Money and Finance.
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article7
2017Child mortality, commodity price volatility and the resource curse In: Social Science & Medicine.
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article1
2017Long-Run Commodity Prices, Economic Growth, and Interest Rates: 17th Century to the Present Day In: World Development.
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article11
2015Open outcry versus electronic trading: tests of market efficiency on crude palm oil futures In: Essex Finance Centre Working Papers.
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paper1
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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paper1
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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paper0
1996Testing for Efficiency in Commodity Futures Markets. In: Discussion Papers.
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paper0
1997Long-Run Price Behaviour of Wheat and Maize: Trend Stationarity or Difference-Stationarity? In: Discussion Papers.
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paper0
1997Is the Dollar/ECU Exchange A Random Walk? In: Discussion Papers.
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paper0
2006Threshold Autoregressive Models of the Commodities Futures Basis In: Computing in Economics and Finance 2006.
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paper0
2006The Forward Premium Anomaly at Long Horizons In: Computing in Economics and Finance 2006.
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paper0
2006Long Memory and Structural Breaks in Commodity Futures Basis and Market In: Computing in Economics and Finance 2006.
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paper0
2001Evaluating currency market efficiency: are cointegration tests appropriate? In: Applied Financial Economics.
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article4
1998Is the dollar/ECU exchange rate a random walk? In: Applied Financial Economics.
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article4
2010The Prebisch-Singer Hypothesis: Four Centuries of Evidence In: The Review of Economics and Statistics.
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article117
1999The relative efficiency of commodity futures markets In: Journal of Futures Markets.
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article20
2011Long memory and structural breaks in commodity futures markets In: Journal of Futures Markets.
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article13

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