Neil Michael Kellard : Citation Profile


Are you Neil Michael Kellard?

University of Essex

11

H index

13

i10 index

555

Citations

RESEARCH PRODUCTION:

37

Articles

20

Papers

RESEARCH ACTIVITY:

   27 years (1996 - 2023). See details.
   Cites by year: 20
   Journals where Neil Michael Kellard has often published
   Relations with other researchers
   Recent citing documents: 31.    Total self citations: 16 (2.8 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pke322
   Updated: 2024-01-16    RAS profile: 2023-06-26    
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Relations with other researchers


Works with:

Vlastakis, Nikolaos (3)

Coakley, Jerry (2)

Banti, Chiara (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:

Ghoshray, Atanu (22)

Frankel, Jeffrey (17)

arezki, rabah (13)

Corbet, Shaen (11)

GUPTA, RANGAN (10)

Wohar, Mark (9)

Hadri, Kaddour (8)

Gil-Alana, Luis (8)

Nielsen, Morten (8)

Kim, Hyeongwoo (8)

Loungani, Prakash (7)

Cites to:

Perron, Pierre (35)

Kilian, Lutz (25)

Phillips, Peter (18)

Wohar, Mark (17)

Reinhart, Carmen (16)

Diebold, Francis (15)

Bollerslev, Tim (13)

Weron, Rafał (13)

O'Rourke, Kevin (13)

Maynard, Alex (12)

Bai, Jushan (12)

Main data


Where Neil Michael Kellard has published?


Journals with more than one article published# docs
Journal of Empirical Finance5
Journal of Futures Markets4
Journal of International Money and Finance3
Journal of Banking & Finance3
Journal of Agricultural Economics2
Finance Research Letters2
The European Journal of Finance2
Economics Letters2
International Review of Financial Analysis2

Working Papers Series with more than one paper published# docs
Essex Finance Centre Working Papers / University of Essex, Essex Business School8
Computing in Economics and Finance 2006 / Society for Computational Economics3

Recent works citing Neil Michael Kellard (2024 and 2023)


YearTitle of citing document
2023Explaining 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.

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2023A simulated electronic market with speculative behaviour and bubble formation. (2023). Mosionek-Schweda, Magdalena ; Cofre, Nicolas. In: Papers. RePEc:arx:papers:2311.12247.

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2023Discretization 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.

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2023Excess Asset Returns Predictability in an Emerging Economy: The Case of Colombia. (2023). Sarmiento, Eduardo ; López, Martha. In: Borradores de Economia. RePEc:bdr:borrec:1243.

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2023Price 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.

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2023Systemic 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.

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2023Time 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.

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2023The 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.

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2023Dynamic 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.

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2023The 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.

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2023Psychological 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.

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2023Infectious 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.

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2023Discerning 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.

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2023The policy implications of economic complexity. (2023). Hidalgo, Cesar. In: Research Policy. RePEc:eee:respol:v:52:y:2023:i:9:s0048733323001476.

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2023Foreign 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.

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2023Forecasting 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.

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2023FUNCTIONAL 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.

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2023Do 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.

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2023Forecasting 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.

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2023Impact 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.

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2023Oil, 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.

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2023Market 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.

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2023Asymmetric 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.

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2023On 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.

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2023Trends 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.

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2023Education 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.

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2023Do 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.

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2023Do 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.

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2023Commodity 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.

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2023Stress-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.

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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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paper4
2020FINANCE?INEQUALITY NEXUS: THE LONG AND THE SHORT OF IT In: Economic Inquiry.
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article4
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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article9
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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paper3
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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article101
2015Trade openness, export diversification, and political regimes In: Economics Letters.
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article14
2005The PPP debate: Price matters! In: Economics Letters.
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article16
2008Can exchange rate volatility explain persistence in the forward premium? In: Journal of Empirical Finance.
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article8
2010Predicting the equity premium with dividend ratios: Reconciling the evidence In: Journal of Empirical Finance.
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article28
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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article12
2023Using covariates to improve the efficacy of univariate bubble detection methods In: Journal of Empirical Finance.
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article1
1998Two puzzles in the analysis of foreign exchange market efficiency In: International Review of Financial Analysis.
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article25
1996Two Puzzles in the Analysis of Foreign Exchange Market Efficiency..(1996) In: Discussion Papers.
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This paper has nother version. Agregated cites: 25
paper
2022Index tracking and beta arbitrage effects in comovement In: International Review of Financial Analysis.
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article0
2020The development of Bitcoin futures: Exploring the interactions between cryptocurrency derivatives In: Finance Research Letters.
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article35
2006On the robustness of cointegration tests when assessing market efficiency In: Finance Research Letters.
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article4
2010Foreign exchange, fractional cointegration and the implied-realized volatility relation In: Journal of Banking & Finance.
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article20
2013Forecasting EUR–USD implied volatility: The case of intraday data In: Journal of Banking & Finance.
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article9
2013Does the forward premium puzzle disappear over the horizon? In: Journal of Banking & Finance.
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article5
2022Risk, financial stability and FDI In: Journal of International Money and Finance.
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article3
2018Risk, Financial Stability and FDI.(2018) In: Essex Finance Centre Working Papers.
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This paper has nother version. Agregated cites: 3
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2022Prime money market funds regulation, global liquidity, and the crude oil market In: Journal of International Money and Finance.
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article0
2015Spurious long memory, uncommon breaks and the implied–realized volatility puzzle In: Journal of International Money and Finance.
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article9
2017Child mortality, commodity price volatility and the resource curse In: Social Science & Medicine.
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article6
2017Long-Run Commodity Prices, Economic Growth, and Interest Rates: 17th Century to the Present Day In: World Development.
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article19
2017Close communications: hedge funds, brokers and the emergence of herding In: LSE Research Online Documents on Economics.
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paper5
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
2018Open outcry versus electronic trading: Tests of market efficiency on crude palm oil futures.(2018) In: Journal of Futures Markets.
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This paper has nother version. Agregated cites: 1
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2018Credit Default Swap Spreads: Funding Liquidity Matters! In: Essex Finance Centre Working Papers.
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paper0
2019Oil Price Uncertainty and the Macroeconomy In: Essex Finance Centre Working Papers.
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2020Oil price uncertainty as a predictor of stock market volatility In: Essex Finance Centre Working Papers.
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paper0
2020Measuring Oil Price Shocks In: Essex Finance Centre Working Papers.
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paper0
2021How does standardization affect OTC markets? Evidence from the Small Bang reform in the CDS market In: Essex Finance Centre Working Papers.
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2023Long-Run Movements in Real Exchange Rates: 1264 to 2020 In: Essex Finance Centre Working Papers.
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paper0
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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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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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
2016Commodity futures returns: more memory than you might think! In: The European Journal of Finance.
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article1
2020Banks and financial markets in times of uncertainty In: The European Journal of Finance.
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article0
2016Is news related to GDP growth a risk factor for commodity futures returns? In: Quantitative Finance.
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article2
2010The Prebisch-Singer Hypothesis: Four Centuries of Evidence In: The Review of Economics and Statistics.
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article141
2022Multistage optimization filter for trend?based short?term forecasting In: Journal of Forecasting.
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1999The relative efficiency of commodity futures markets In: Journal of Futures Markets.
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article23
2011Long memory and structural breaks in commodity futures markets In: Journal of Futures Markets.
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article11
2020Night trading and market quality: Evidence from Chinese and US precious metal futures markets In: Journal of Futures Markets.
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