10
H index
10
i10 index
395
Citations
University of Essex | 10 H index 10 i10 index 395 Citations RESEARCH PRODUCTION: 25 Articles 12 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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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: |
Journals with more than one article published | # docs |
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Journal of Empirical Finance | 4 |
Journal of Banking & Finance | 3 |
Journal of Agricultural Economics | 2 |
Economics Letters | 2 |
Applied Financial Economics | 2 |
Journal of Futures Markets | 2 |
Working Papers Series with more than one paper published | # docs |
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Computing in Economics and Finance 2006 / Society for Computational Economics | 3 |
Year | Title of citing document |
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2020 | Systemic 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. Full description at Econpapers || Download paper |
2020 | High-frequency dynamics of the implied volatility surface. (2020). Baldacci, Bastien. In: Papers. RePEc:arx:papers:2012.10875. Full description at Econpapers || Download paper |
2020 | Consumption, 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. Full description at Econpapers || Download paper |
2020 | Characterizing 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. Full description at Econpapers || Download paper |
2020 | Anything but gold. The golden constant revisited. (2020). Carpantier, Jean-François. In: LIDAM Discussion Papers IRES. RePEc:ctl:louvir:2020036. Full description at Econpapers || Download paper |
2020 | Investigating 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. Full description at Econpapers || Download paper |
2020 | Intraday-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. Full description at Econpapers || Download paper |
2020 | Date-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. Full description at Econpapers || Download paper |
2020 | Equity 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. Full description at Econpapers || Download paper |
2020 | Beta 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. Full description at Econpapers || Download paper |
2020 | Time-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. Full description at Econpapers || Download paper |
2020 | A 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. Full description at Econpapers || Download paper |
2020 | Mild 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. Full description at Econpapers || Download paper |
2020 | Commodity price pass-through and inflation regimes. (2020). Lan, Hao ; Abbas, Syed. In: Energy Economics. RePEc:eee:eneeco:v:92:y:2020:i:c:s0140988320303170. Full description at Econpapers || Download paper |
2020 | Commodity 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. Full description at Econpapers || Download paper |
2020 | Regulatory 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. Full description at Econpapers || Download paper |
2020 | Uneven 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. Full description at Econpapers || Download paper |
2020 | Dynamic 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. Full description at Econpapers || Download paper |
2020 | Effects 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. Full description at Econpapers || Download paper |
2020 | Commodity Prices in Empirical Research. (2020). Carpantier, Jean-Franois. In: Working Papers. RePEc:hal:wpaper:hal-02497404. Full description at Econpapers || Download paper |
2020 | Unprecedented 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. Full description at Econpapers || Download paper |
2020 | Another look at the implied and realised volatility relation: a copula-based approach. (2020). Pérez-RodrÃÂguez, Jorge ; Perez-Rodriguez, Jorge V. In: Risk Management. RePEc:pal:risman:v:22:y:2020:i:1:d:10.1057_s41283-019-00054-y. Full description at Econpapers || Download paper |
2020 | Resource rents and happiness on a global perspective: The resource curse revisited. (2020). MIGNAMISSI, DIEUDONNE ; Kuete, Flora Yselle. In: MPRA Paper. RePEc:pra:mprapa:99928. Full description at Econpapers || Download paper |
2020 | The 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. Full description at Econpapers || Download paper |
2021 | Multivariate 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. Full description at Econpapers || Download paper |
2020 | Technical 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. Full description at Econpapers || Download paper |
2020 | Sustainable 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. Full description at Econpapers || Download paper |
2020 | Uneven 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. Full description at Econpapers || Download paper |
2020 | Night 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. Full description at Econpapers || Download paper |
2020 | Forecasting 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. Full description at Econpapers || Download paper |
2020 | Systemic 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. Full description at Econpapers || Download paper |
2020 | Return 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. Full description at Econpapers || Download paper |
2020 | Beta dispersion and market timing. (2020). Kuntz, Laura-Chloe. In: Discussion Papers. RePEc:zbw:bubdps:462020. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2012 | Trends and Cycles in Real Commodity Prices: 1650-2010 In: CEH Discussion Papers. [Full Text][Citation analysis] | paper | 3 |
2000 | Longâ€Run Drift, Coâ€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 | 11 |
2006 | On the prevalence of trends in primary commodity prices In: Journal of Development Economics. [Full Text][Citation analysis] | article | 88 |
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 | 15 |
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 | 23 |
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 | 6 |
1998 | Two puzzles in the analysis of foreign exchange market efficiency In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 17 |
1996 | Two Puzzles in the Analysis of Foreign Exchange Market Efficiency..(1996) In: Discussion Papers. [Citation analysis] This paper has another version. Agregated cites: 17 | 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 | 16 |
2013 | Forecasting EUR–USD implied volatility: The case of intraday data In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 6 |
2013 | Does the forward premium puzzle disappear over the horizon? In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 3 |
2015 | Spurious long memory, uncommon breaks and the implied–realized volatility puzzle In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 7 |
2017 | Child mortality, commodity price volatility and the resource curse In: Social Science & Medicine. [Full Text][Citation analysis] | article | 1 |
2017 | Long-Run Commodity Prices, Economic Growth, and Interest Rates: 17th Century to the Present Day In: World Development. [Full Text][Citation analysis] | article | 11 |
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 | 1 |
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 | 1 |
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 | 4 |
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 | 117 |
1999 | The relative efficiency of commodity futures markets In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 20 |
2011 | Long memory and structural breaks in commodity futures markets In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 13 |
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