Details about Neil Michael Kellard

Access statistics for papers by Neil Michael Kellard.

Last updated 2023-06-26. Update your information in the RePEc Author Service.

Short-id: pke322

Working Papers

2023

1. Long-Run Movements in Real Exchange Rates: 1264 to 2020
   Essex Finance Centre Working Papers, University of Essex, Essex Business School

2021

2. How does standardization affect OTC markets? Evidence from the Small Bang reform in the CDS market
   Essex Finance Centre Working Papers, University of Essex, Essex Business School

2020

3. Measuring Oil Price Shocks
   Essex Finance Centre Working Papers, University of Essex, Essex Business School
4. Oil price uncertainty as a predictor of stock market volatility
   Essex Finance Centre Working Papers, University of Essex, Essex Business School

2019

5. Oil Price Uncertainty and the Macroeconomy
   Essex Finance Centre Working Papers, University of Essex, Essex Business School

2018

6. Credit Default Swap Spreads: Funding Liquidity Matters!
   Essex Finance Centre Working Papers, University of Essex, Essex Business School
7. Risk, Financial Stability and FDI
   Essex Finance Centre Working Papers, University of Essex, Essex Business School View citations (1)
   See also Journal Article Risk, financial stability and FDI, Journal of International Money and Finance, Elsevier (2022) View citations (5) (2022)

2017

8. Close communications: hedge funds, brokers and the emergence of herding
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (5)

2015

9. Open outcry versus electronic trading: tests of market efficiency on crude palm oil futures
   Essex Finance Centre Working Papers, University of Essex, Essex Business School View citations (1)
   See also Journal Article Open outcry versus electronic trading: Tests of market efficiency on crude palm oil futures, Journal of Futures Markets, John Wiley & Sons, Ltd. (2018) View citations (2) (2018)

2012

10. Trends and Cycles in Real Commodity Prices: 1650-2010
    CEH Discussion Papers, Centre for Economic History, Research School of Economics, Australian National University View citations (4)

2007

11. Predicting the UK Equity Premium with Dividend Ratios: An Out-Of-Sample Recursive Residuals Graphical Approach
    Money Macro and Finance (MMF) Research Group Conference 2006, Money Macro and Finance Research Group

2006

12. Long Memory and Structural Breaks in Commodity Futures Basis and Market
    Computing in Economics and Finance 2006, Society for Computational Economics
13. The Forward Premium Anomaly at Long Horizons
    Computing in Economics and Finance 2006, Society for Computational Economics
14. Threshold Autoregressive Models of the Commodities Futures Basis
    Computing in Economics and Finance 2006, Society for Computational Economics

2005

15. The Purchasing Power Parity Persistence Paradigm: Evidence from Black Currency Markets
    Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group View citations (1)

2003

16. Trends and Persistence in Primary Commodity Prices
    Royal Economic Society Annual Conference 2003, Royal Economic Society View citations (3)

1997

17. Is the Dollar/ECU Exchange A Random Walk?
    Discussion Papers, University of Nottingham, School of Economics
18. Long-Run Price Behaviour of Wheat and Maize: Trend Stationarity or Difference-Stationarity?
    Discussion Papers, University of Nottingham, School of Economics

1996

19. Testing for Efficiency in Commodity Futures Markets
    Discussion Papers, University of Nottingham, School of Economics
20. Two Puzzles in the Analysis of Foreign Exchange Market Efficiency
    Discussion Papers, University of Nottingham, School of Economics View citations (1)
    See also Journal Article Two puzzles in the analysis of foreign exchange market efficiency, International Review of Financial Analysis, Elsevier (1998) View citations (26) (1998)

Journal Articles

2023

1. Using covariates to improve the efficacy of univariate bubble detection methods
   Journal of Empirical Finance, 2023, 70, (C), 342-366 View citations (2)

2022

2. Index tracking and beta arbitrage effects in comovement
   International Review of Financial Analysis, 2022, 83, (C) View citations (1)
3. Multistage optimization filter for trend‐based short‐term forecasting
   Journal of Forecasting, 2022, 41, (2), 345-360 View citations (1)
4. Prime money market funds regulation, global liquidity, and the crude oil market
   Journal of International Money and Finance, 2022, 127, (C) View citations (2)
5. Risk, financial stability and FDI
   Journal of International Money and Finance, 2022, 120, (C) View citations (5)
   See also Working Paper Risk, Financial Stability and FDI, Essex Finance Centre Working Papers (2018) View citations (1) (2018)

2020

6. Banks and financial markets in times of uncertainty
   The European Journal of Finance, 2020, 26, (10), 893-896
7. FINANCE‐INEQUALITY NEXUS: THE LONG AND THE SHORT OF IT
   Economic Inquiry, 2020, 58, (4), 1977-1994 View citations (6)
8. Night trading and market quality: Evidence from Chinese and US precious metal futures markets
   Journal of Futures Markets, 2020, 40, (10), 1486-1507 View citations (14)
9. The development of Bitcoin futures: Exploring the interactions between cryptocurrency derivatives
   Finance Research Letters, 2020, 34, (C) View citations (34)

2018

10. Open outcry versus electronic trading: Tests of market efficiency on crude palm oil futures
    Journal of Futures Markets, 2018, 38, (6), 673-695 View citations (2)
    See also Working Paper Open outcry versus electronic trading: tests of market efficiency on crude palm oil futures, Essex Finance Centre Working Papers (2015) View citations (1) (2015)

2017

11. Child mortality, commodity price volatility and the resource curse
    Social Science & Medicine, 2017, 178, (C), 144-156 View citations (7)
12. Long-Run Commodity Prices, Economic Growth, and Interest Rates: 17th Century to the Present Day
    World Development, 2017, 89, (C), 57-70 View citations (21)

2016

13. Bubbling over! The behaviour of oil futures along the yield curve
    Journal of Empirical Finance, 2016, 38, (PB), 516-533 View citations (13)
14. Commodity futures returns: more memory than you might think!
    The European Journal of Finance, 2016, 22, (14), 1457-1483 View citations (1)
15. Is news related to GDP growth a risk factor for commodity futures returns?
    Quantitative Finance, 2016, 16, (12), 1887-1899 View citations (2)
16. Special issue of the Journal of Empirical Finance Guest Editors' introduction
    Journal of Empirical Finance, 2016, 38, (PB), 513-515

2015

17. Introduction to the JTSA John Nankervis Memorial Issue
    Journal of Time Series Analysis, 2015, 36, (5), 601-602
18. Spurious long memory, uncommon breaks and the implied–realized volatility puzzle
    Journal of International Money and Finance, 2015, 56, (C), 36-54 View citations (9)
19. Trade openness, export diversification, and political regimes
    Economics Letters, 2015, 136, (C), 25-27 View citations (16)

2013

20. Does the forward premium puzzle disappear over the horizon?
    Journal of Banking & Finance, 2013, 37, (9), 3681-3693 View citations (5)
21. Forecasting EUR–USD implied volatility: The case of intraday data
    Journal of Banking & Finance, 2013, 37, (12), 4943-4957 View citations (9)

2011

22. Long memory and structural breaks in commodity futures markets
    Journal of Futures Markets, 2011, 31, (11), 1076-1113 View citations (12)

2010

23. Foreign exchange, fractional cointegration and the implied-realized volatility relation
    Journal of Banking & Finance, 2010, 34, (4), 882-891 View citations (23)
24. Predicting the equity premium with dividend ratios: Reconciling the evidence
    Journal of Empirical Finance, 2010, 17, (4), 539-551 View citations (30)
25. The Prebisch-Singer Hypothesis: Four Centuries of Evidence
    The Review of Economics and Statistics, 2010, 92, (2), 367-377 View citations (159)

2008

26. Can exchange rate volatility explain persistence in the forward premium?
    Journal of Empirical Finance, 2008, 15, (4), 714-728 View citations (13)
27. THE PURCHASING POWER PARITY PERSISTENCE PUZZLE: EVIDENCE FROM BLACK MARKET REAL EXCHANGE RATES*
    Manchester School, 2008, 76, (4), 405-423 View citations (3)
28. The role of long memory in hedging effectiveness
    Computational Statistics & Data Analysis, 2008, 52, (6), 3075-3082 View citations (12)

2006

29. On the prevalence of trends in primary commodity prices
    Journal of Development Economics, 2006, 79, (1), 146-167 View citations (106)
30. On the robustness of cointegration tests when assessing market efficiency
    Finance Research Letters, 2006, 3, (1), 57-64 View citations (5)

2005

31. The PPP debate: Price matters!
    Economics Letters, 2005, 88, (2), 209-213 View citations (16)

2002

32. Evaluating Commodity Market Efficiency: Are Cointegration Tests Appropriate?
    Journal of Agricultural Economics, 2002, 53, (3), 513-529 View citations (10)

2001

33. Evaluating currency market efficiency: are cointegration tests appropriate?
    Applied Financial Economics, 2001, 11, (6), 681-691 View citations (6)

2000

34. Long‐Run Drift, Co‐Movement and Persistence in Real Wheat and Maize Prices
    Journal of Agricultural Economics, 2000, 51, (1), 106-121 View citations (7)

1999

35. The relative efficiency of commodity futures markets
    Journal of Futures Markets, 1999, 19, (4), 413-432 View citations (26)

1998

36. Is the dollar/ECU exchange rate a random walk?
    Applied Financial Economics, 1998, 8, (6), 553-558 View citations (6)
37. Two puzzles in the analysis of foreign exchange market efficiency
    International Review of Financial Analysis, 1998, 7, (2), 95-111 View citations (26)
    See also Working Paper Two Puzzles in the Analysis of Foreign Exchange Market Efficiency, Discussion Papers (1996) View citations (1) (1996)