12
H index
13
i10 index
559
Citations
Neil Michael Kellard : Citation Profile
University of Essex | RESEARCH PRODUCTION: 37 Articles 20 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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27 years (1996 - 2023). 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?
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Essex Finance Centre Working Papers / University of Essex, Essex Business School | 8 |
| Computing in Economics and Finance 2006 / Society for Computational Economics | 3 |
Recent works citing Neil Michael Kellard (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | Explaining Exchange Rate Forecasts with Macroeconomic Fundamentals Using Interpretive Machine Learning. (2023). M. I. M. Wahab, ; Cevik, Mucahit ; Neghab, Davood Pirayesh. In: Papers. RePEc:arx:papers:2303.16149. Full description at Econpapers || Download paper |
| 2023 | A simulated electronic market with speculative behaviour and bubble formation. (2023). Mosionek-Schweda, Magdalena ; Cofre, Nicolas. In: Papers. RePEc:arx:papers:2311.12247. Full description at Econpapers || Download paper |
| 2023 | Discretization of continuous-time arbitrage strategies in financial markets with fractional Brownian motion. (2023). Auer, Benjamin R ; Lamert, Kerstin ; Wunderlich, Ralf. In: Papers. RePEc:arx:papers:2311.15635. Full description at Econpapers || Download paper |
| 2023 | Excess Asset Returns Predictability in an Emerging Economy: The Case of Colombia. (2023). Sarmiento, Eduardo ; López, Martha. In: Borradores de Economia. RePEc:bdr:borrec:1243. Full description at Econpapers || Download paper |
| 2023 | Price discovery between Bitcoin spot markets and exchange traded products. (2023). Bowden, James ; Franus, Tatiana ; Gemayel, Roland. In: Economics Letters. RePEc:eee:ecolet:v:228:y:2023:i:c:s0165176523001775. Full description at Econpapers || Download paper |
| 2023 | Systemic risk spillovers and the determinants in the stock markets of the Belt and Road countries. (2023). Xie, Chi ; Zhu, You ; Wang, Gang-Jin ; Feng, Yusen. In: Emerging Markets Review. RePEc:eee:ememar:v:55:y:2023:i:c:s1566014123000250. Full description at Econpapers || Download paper |
| 2023 | Time series momentum and reversal: Intraday information from realized semivariance. (2023). Wang, Shixuan ; Li, BO ; Lu, Shanglin ; Liu, Zhenya. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:54-77. Full description at Econpapers || Download paper |
| 2023 | The impact of expected and unexpected events on Bitcoin price development: Introduction of futures market and COVID-19. (2023). Çevik, Emrah ; Yildirim, Durmu Ari ; Dibooglu, Sel ; Gunay, Samet ; Cevik, Emrah Ismail. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323001411. Full description at Econpapers || Download paper |
| 2023 | Dynamic co-movement in major commodity markets during crisis periods: A wavelet local multiple correlation analysis. (2023). Todorova, Neda ; Nekhili, Ramzi ; Bouri, Elie. In: Finance Research Letters. RePEc:eee:finlet:v:55:y:2023:i:pb:s1544612323003689. Full description at Econpapers || Download paper |
| 2023 | The impact of the Bitcoin price on carbon neutrality: Evidence from futures markets. (2023). Ding, Shusheng ; Wu, Xiangling. In: Finance Research Letters. RePEc:eee:finlet:v:56:y:2023:i:c:s1544612323005007. Full description at Econpapers || Download paper |
| 2023 | Psychological price barriers, El Niño, La Niña: New insights for the case of coffee. (2023). Otero, Jesus ; Holmes, Mark. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:31:y:2023:i:c:s2405851323000405. Full description at Econpapers || Download paper |
| 2023 | Infectious diseases and health outcomes’ implications of natural resource curse in Africa. (2023). Saleh, Mamdouh Abdulaziz ; Mohammed, Abubakar ; Ibrahim, Ridwan Lanre ; Ajide, Kazeem Bello. In: Resources Policy. RePEc:eee:jrpoli:v:81:y:2023:i:c:s0301420723001022. Full description at Econpapers || Download paper |
| 2023 | Discerning trends in international metal prices in the presence of nonstationary volatility. (2023). Ghoshray, Atanu ; Addison, Tony. In: Resource and Energy Economics. RePEc:eee:resene:v:71:y:2023:i:c:s0928765522000513. Full description at Econpapers || Download paper |
| 2023 | The policy implications of economic complexity. (2023). Hidalgo, Cesar. In: Research Policy. RePEc:eee:respol:v:52:y:2023:i:9:s0048733323001476. Full description at Econpapers || Download paper |
| 2023 | Foreign exchange market efficiency during COVID-19 pandemic. (2023). El-Masry, Ahmed ; Azzam, Islam ; Yamani, Ehab. In: International Review of Economics & Finance. RePEc:eee:reveco:v:86:y:2023:i:c:p:717-730. Full description at Econpapers || Download paper |
| 2023 | Forecasting the stock-cryptocurrency relationship: Evidence from a dynamic GAS model. (2023). Hailemariam, Abebe ; Ivanovski, Kris. In: International Review of Economics & Finance. RePEc:eee:reveco:v:86:y:2023:i:c:p:97-111. Full description at Econpapers || Download paper |
| 2023 | FUNCTIONAL INCOME DISTRIBUTION AND SECULAR STAGNATION IN EUROPE: AN ANALYSIS OF THE POST-KEYNESIAN GROWTH DRIVERS. (2023). Barradas, Ricardo ; Alcobia, Joo. In: Working Papers REM. RePEc:ise:remwps:wp02832023. Full description at Econpapers || Download paper |
| 2023 | Do agricultural commodity prices asymmetrically affect the performance of value-added agriculture? Evidence from Pakistan using a NARDL model. (2023). Khan, Waris Ali ; Butt, Rehan Sohail ; Ayaz, Muhammad ; Naseem, Snovia ; Shi, Junguo ; Kashif, Umair ; Saleh, Mamdouh Abdulaziz. In: Palgrave Communications. RePEc:pal:palcom:v:10:y:2023:i:1:d:10.1057_s41599-023-01888-4. Full description at Econpapers || Download paper |
| 2023 | Forecasting Bitcoin Futures: A Lasso-BMA Two-Step Predictor Selection for Investment and Hedging Strategies. (2023). Gao, Xiang ; Huang, Weige. In: SAGE Open. RePEc:sae:sagope:v:13:y:2023:i:1:p:21582440231151652. Full description at Econpapers || Download paper |
| 2023 | Impact of trading hours extensions on foreign exchange volatility: intraday evidence from the Moscow exchange. (2023). Kadioglu, Eyup ; Frommel, Michael. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-023-00500-7. Full description at Econpapers || Download paper |
| 2023 | Oil, export diversification and economic growth in Sudan: evidence from a VAR model. (2023). Papyrakis, Elissaios ; Murshed, Syed Mansoob ; Ali, Sabna. In: Mineral Economics. RePEc:spr:minecn:v:36:y:2023:i:1:d:10.1007_s13563-022-00310-w. Full description at Econpapers || Download paper |
| 2023 | Market efficiency in non-renewable resource markets: evidence from stationarity tests with structural changes. (2023). Tunc, Ipek G ; Yildirim, Dilem ; Kara, Alper. In: Mineral Economics. RePEc:spr:minecn:v:36:y:2023:i:2:d:10.1007_s13563-022-00312-8. Full description at Econpapers || Download paper |
| 2023 | Asymmetric price adjustment and price discovery in spot and futures markets of agricultural commodities. (2023). Liu, Liyu ; Kang, Hanwen ; Yan, BO ; Chen, Zhuo. In: Review of Economic Design. RePEc:spr:reecde:v:27:y:2023:i:1:d:10.1007_s10058-021-00276-1. Full description at Econpapers || Download paper |
| 2023 | On the dynamic connectedness between the G7 stock market indices and different asset classes: Fresh insights from the COVID-19 pandemic and Russia–Ukraine war. (2023). Frikha, Wajdi ; Bejaoui, Azza ; Jeribi, Ahmed. In: SN Business & Economics. RePEc:spr:snbeco:v:3:y:2023:i:11:d:10.1007_s43546-023-00562-w. Full description at Econpapers || Download paper |
| 2023 | Trends in Income Inequality: Evidence from Developing and Developed Countries. (2023). Makhlouf, Yousef. In: Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement. RePEc:spr:soinre:v:165:y:2023:i:1:d:10.1007_s11205-022-03010-8. Full description at Econpapers || Download paper |
| 2023 | Education Expansion, Income Inequality and Structural Transformation: Evidence From OECD Countries. (2023). Lalley, Christopher ; Makhlouf, Yousef. In: Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement. RePEc:spr:soinre:v:169:y:2023:i:1:d:10.1007_s11205-023-03161-2. Full description at Econpapers || Download paper |
| 2023 | Do terms of trade affect economic growth? Robust evidence from India. (2023). Singh, Tarlok. In: Economics of Transition and Institutional Change. RePEc:wly:ectrin:v:31:y:2023:i:2:p:491-521. Full description at Econpapers || Download paper |
| 2023 | Do forward premium rates predict the spot rates? Comparison of developed and emerging economies. (2023). Ahmed, Ijlal ; Khattak, Shoaib. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:2:p:2178-2187. Full description at Econpapers || Download paper |
| 2023 | Commodity momentum and reversal: Do they exist, and if so, why?. (2023). Han, Meng. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:9:p:1204-1237. Full description at Econpapers || Download paper |
| 2023 | Stress-testing inflation exposure: Systemically significant prices and asymmetric shock propagation in the EU28. (2023). Aminian, Armin ; Ipsen, Leonhard ; Schulz-Gebhard, Jan. In: BERG Working Paper Series. RePEc:zbw:bamber:279553. 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 | 4 |
| 2020 | FINANCE?INEQUALITY NEXUS: THE LONG AND THE SHORT OF IT In: Economic Inquiry. [Full Text][Citation analysis] | article | 4 |
| 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 | 9 |
| 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 | 3 |
| 2008 | The role of long memory in hedging effectiveness In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 12 |
| 2006 | On the prevalence of trends in primary commodity prices In: Journal of Development Economics. [Full Text][Citation analysis] | article | 102 |
| 2015 | Trade openness, export diversification, and political regimes In: Economics Letters. [Full Text][Citation analysis] | article | 14 |
| 2005 | The PPP debate: Price matters! In: Economics Letters. [Full Text][Citation analysis] | article | 16 |
| 2008 | Can exchange rate volatility explain persistence in the forward premium? In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 8 |
| 2010 | Predicting the equity premium with dividend ratios: Reconciling the evidence In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 28 |
| 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 | 12 |
| 2023 | Using covariates to improve the efficacy of univariate bubble detection methods In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 1 |
| 1998 | Two puzzles in the analysis of foreign exchange market efficiency In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 24 |
| 1996 | Two Puzzles in the Analysis of Foreign Exchange Market Efficiency..(1996) In: Discussion Papers. [Citation analysis] This paper has nother version. Agregated cites: 24 | paper | |
| 2022 | Index tracking and beta arbitrage effects in comovement In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 1 |
| 2020 | The development of Bitcoin futures: Exploring the interactions between cryptocurrency derivatives In: Finance Research Letters. [Full Text][Citation analysis] | article | 35 |
| 2006 | On the robustness of cointegration tests when assessing market efficiency In: Finance Research Letters. [Full Text][Citation analysis] | article | 4 |
| 2010 | Foreign exchange, fractional cointegration and the implied-realized volatility relation In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 20 |
| 2013 | Forecasting EUR–USD implied volatility: The case of intraday data In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 9 |
| 2013 | Does the forward premium puzzle disappear over the horizon? In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 5 |
| 2022 | Risk, financial stability and FDI In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 3 |
| 2018 | Risk, Financial Stability and FDI.(2018) In: Essex Finance Centre Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 2022 | Prime money market funds regulation, global liquidity, and the crude oil market In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 0 |
| 2015 | Spurious long memory, uncommon breaks and the implied–realized volatility puzzle In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 9 |
| 2017 | Child mortality, commodity price volatility and the resource curse In: Social Science & Medicine. [Full Text][Citation analysis] | article | 6 |
| 2017 | Long-Run Commodity Prices, Economic Growth, and Interest Rates: 17th Century to the Present Day In: World Development. [Full Text][Citation analysis] | article | 19 |
| 2017 | Close communications: hedge funds, brokers and the emergence of herding In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 5 |
| 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 |
| 2018 | Open outcry versus electronic trading: Tests of market efficiency on crude palm oil futures.(2018) In: Journal of Futures Markets. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
| 2018 | Credit Default Swap Spreads: Funding Liquidity Matters! In: Essex Finance Centre Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2019 | Oil Price Uncertainty and the Macroeconomy In: Essex Finance Centre Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2020 | Oil price uncertainty as a predictor of stock market volatility In: Essex Finance Centre Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2020 | Measuring Oil Price Shocks In: Essex Finance Centre Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2021 | How does standardization affect OTC markets? Evidence from the Small Bang reform in the CDS market In: Essex Finance Centre Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2023 | Long-Run Movements in Real Exchange Rates: 1264 to 2020 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 | 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 |
| 2016 | Commodity futures returns: more memory than you might think! In: The European Journal of Finance. [Full Text][Citation analysis] | article | 1 |
| 2020 | Banks and financial markets in times of uncertainty In: The European Journal of Finance. [Full Text][Citation analysis] | article | 0 |
| 2016 | Is news related to GDP growth a risk factor for commodity futures returns? In: Quantitative Finance. [Full Text][Citation analysis] | article | 2 |
| 2010 | The Prebisch-Singer Hypothesis: Four Centuries of Evidence In: The Review of Economics and Statistics. [Full Text][Citation analysis] | article | 142 |
| 2022 | Multistage optimization filter for trend?based short?term forecasting In: Journal of Forecasting. [Full Text][Citation analysis] | article | 1 |
| 1999 | The relative efficiency of commodity futures markets In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 23 |
| 2011 | Long memory and structural breaks in commodity futures markets In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 11 |
| 2020 | Night trading and market quality: Evidence from Chinese and US precious metal futures markets In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 9 |
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