12
H index
15
i10 index
619
Citations
Neil Michael Kellard : Citation Profile
University of Essex | RESEARCH PRODUCTION: 37 Articles 20 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
|
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:
|
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 (2025 and 2024)
Year  | Title of citing document |
|---|---|
| 2024 | 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 |
| 2024 | A Comparison of Cryptocurrency Volatility-benchmarking New and Mature Asset Classes. (2024). Lenz, Jimmie ; Brini, Alessio. In: Papers. RePEc:arx:papers:2404.04962. Full description at Econpapers || Download paper |
| 2025 | Extrapolating the long-term seasonal component of electricity prices for forecasting in the day-ahead market. (2025). Chke, Katarzyna ; Uniejewski, Bartosz ; Weron, Rafal. In: Papers. RePEc:arx:papers:2503.02518. Full description at Econpapers || Download paper |
| 2024 | On the connectedness of commodity markets: A critical and selective survey of empirical studies and bibliometric analysis. (2024). USMAN, OJONUGWA ; Ağan, Büşra ; Agan, Busra ; Balcilar, Mehmet. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:38:y:2024:i:1:p:97-136. Full description at Econpapers || Download paper |
| 2024 | Pricing cryptocurrency options with machine learning regression for handling market volatility. (2024). Lenz, Jimmie ; Brini, Alessio. In: Economic Modelling. RePEc:eee:ecmode:v:136:y:2024:i:c:s0264999324001081. Full description at Econpapers || Download paper |
| 2024 | A comparison of bitcoin futures return and return volatility based on news sentiment contemporaneously or lead-lag. (2024). Chou, Ke-Hsin ; Day, Min-Yuh ; Kao, Yu-Sheng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000846. Full description at Econpapers || Download paper |
| 2024 | Wired together: Integration and efficiency in European electricity markets. (2024). Tiryaki, Sani C ; Odabai, Attila ; Karahan, Cenk C. In: Energy Economics. RePEc:eee:eneeco:v:133:y:2024:i:c:s0140988324002135. Full description at Econpapers || Download paper |
| 2024 | Volatility prediction for the energy sector with economic determinants: Evidence from a hybrid model. (2024). Liu, Xiaoquan ; Jiang, Ying ; Ye, Wuyi ; Wang, Yuejing. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000267. Full description at Econpapers || Download paper |
| 2024 | Bitcoin price volatility transmission between spot and futures markets. (2024). Apostolakis, George N. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924001832. Full description at Econpapers || Download paper |
| 2024 | Stock market prices and Dividends in the US: Bubbles or Long-run equilibria relationships?. (2024). YAYA, OLAOLUWA ; Gil-Alana, Luis ; Dettoni, Robinson. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002515. Full description at Econpapers || Download paper |
| 2024 | Understanding climate policy uncertainty: Evidence from temporal and spatial domains. (2024). Yin, Libo ; Cao, Hong. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pb:s1057521924004149. Full description at Econpapers || Download paper |
| 2024 | A simulated electronic market with speculative behaviour and bubble formation. (2024). Cofre, Nicolas ; Mosionek-Schweda, Magdalena. In: Finance Research Letters. RePEc:eee:finlet:v:67:y:2024:i:pa:s154461232400775x. Full description at Econpapers || Download paper |
| 2024 | External wealth of nations and systemic risk. (2024). Ongena, Steven ; Chiper, Alexandra Maria ; Andrie, Alin Marius ; Sprincean, Nicu. In: Journal of Financial Stability. RePEc:eee:finsta:v:70:y:2024:i:c:s157230892300092x. Full description at Econpapers || Download paper |
| 2024 | Contagion effects of permissionless, worthless cryptocurrency tokens: Evidence from the collapse of FTX. (2024). Conlon, Thomas ; Corbet, Shaen ; Hou, Yang. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s1042443124000064. Full description at Econpapers || Download paper |
| 2024 | UK Foreign Direct Investment in uncertain economic times. (2024). Papapanagiotou, Georgios ; Panagiotidis, Theodore ; Milas, Costas. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:147:y:2024:i:c:s0261560624001190. Full description at Econpapers || Download paper |
| 2024 | Inflation effects of oil and gas prices in the UK: Symmetries and asymmetries. (2024). Mamman, Suleiman ; Karimu, Suale ; Abubakar, Attahir B. In: Utilities Policy. RePEc:eee:juipol:v:90:y:2024:i:c:s0957178724000961. Full description at Econpapers || Download paper |
| 2024 | Dynamic interactions among trade policy uncertainty, climate policy uncertainty, and crude oil prices. (2024). He, Zhifang ; Xu, Wei ; Qian, Wanchuan ; Dong, Tianqi. In: International Review of Economics & Finance. RePEc:eee:reveco:v:95:y:2024:i:c:s1059056024004714. Full description at Econpapers || Download paper |
| 2024 | Drivers of inflationary shocks and spillovers between Europe and the United States. (2024). Rambaud, Salvador Cruz ; Gomez, Emilio Galdeano ; Garcia, Javier Sanchez. In: Socio-Economic Planning Sciences. RePEc:eee:soceps:v:95:y:2024:i:c:s0038012124001769. Full description at Econpapers || Download paper |
| 2024 | Women’s empowerment and child mortality. (2024). Makhlouf, Yousef ; Kellard, Neil M ; Vinogradov, Dmitri V ; Sarkisyan, Anna. In: World Development. RePEc:eee:wdevel:v:183:y:2024:i:c:s0305750x24001827. Full description at Econpapers || Download paper |
| 2024 | Imperialism in the Financial Capital Era: Forgotten Contributions from Marxist Dependency Theory. (2024). Nunes, Dbora Machado. In: Review of Radical Political Economics. RePEc:sae:reorpe:v:56:y:2024:i:1:p:5-22. Full description at Econpapers || Download paper |
| 2024 | Least Developed Countries: A Review of Worldwide Research. (2024). Martnez-Vzquez, Rosa Mara ; Navarro-Pabsdorf, Margarita ; de Pablo-Valenciano, Jaime. In: SAGE Open. RePEc:sae:sagope:v:14:y:2024:i:2:p:21582440241253952. Full description at Econpapers || Download paper |
| 2024 | Cryptocurrency market microstructure: a systematic literature review. (2024). Gonçalves, Tiago ; Almeida, Jos ; Gonalves, Tiago Cruz. In: Annals of Operations Research. RePEc:spr:annopr:v:332:y:2024:i:1:d:10.1007_s10479-023-05627-5. Full description at Econpapers || Download paper |
| 2024 | Can night trading reduce price volatility? Evidence from Chinas corn and corn starch futures markets. (2024). Li, Miao ; Xiong, Tao ; Xia, Weiyi. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:4:p:585-604. 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 | 6 |
| 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 | 105 |
| 2015 | Trade openness, export diversification, and political regimes In: Economics Letters. [Full Text][Citation analysis] | article | 17 |
| 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 | 31 |
| 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 | 4 |
| 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 | 45 |
| 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 | 7 |
| 2018 | Risk, Financial Stability and FDI.(2018) In: Essex Finance Centre Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | 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 | 4 |
| 2015 | Spurious long memory, uncommon breaks and the implied–realized volatility puzzle In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 10 |
| 2017 | Child mortality, commodity price volatility and the resource curse In: Social Science & Medicine. [Full Text][Citation analysis] | article | 8 |
| 2017 | Long-Run Commodity Prices, Economic Growth, and Interest Rates: 17th Century to the Present Day In: World Development. [Full Text][Citation analysis] | article | 20 |
| 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 | 5 |
| 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 | 157 |
| 2022 | Multistage optimization filter for trend‐based short‐term forecasting In: Journal of Forecasting. [Full Text][Citation analysis] | article | 2 |
| 1999 | The relative efficiency of commodity futures markets In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 24 |
| 2011 | Long memory and structural breaks in commodity futures markets In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 12 |
| 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 | 14 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated April, 14 2025. Contact: CitEc Team