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Publications

by members of

Essex Finance Center
Essex Business School
University of Essex
Colchester, United Kingdom

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institution, not those affilated at the time of publication. List of registered members. Register yourself. Citation analysis. This page is updated in the first days of each month.
| Working papers | Journal articles | Books | Chapters |

Working papers

2019

  1. Triantafyllou, Athanasios & Vlastakis, Nikolaos & Kellard, Neil, 2019. "Oil Price Uncertainty and the Macroeconomy," Essex Finance Centre Working Papers 24735, University of Essex, Essex Business School.

2018

  1. Degl’Innocenti, M & Fiordelisi, F & Girardone, C & Radić, N, 2018. "Competition and Risk-Taking in Investment banking," Essex Finance Centre Working Papers 21268, University of Essex, Essex Business School.

2017

  1. Coccorese, P & Girardone, C, 2017. "Bank capital and profitability:Evidence from a global sample," Essex Finance Centre Working Papers 19480, University of Essex, Essex Business School.

2016

  1. Dong, Y & Girardone, C & Kuo, J, 2016. "Governance, efficiency and risk taking in Chinese banking," Essex Finance Centre Working Papers 16588, University of Essex, Essex Business School.

2015

  1. Banti, C, 2015. "Illiquidity in the stock and FX markets: an investigation of their cross-market dynamics," Essex Finance Centre Working Papers 15626, University of Essex, Essex Business School.
  2. Snaith, S & Kellard, NM & Ahmad, N, 2015. "Open outcry versus electronic trading: tests of market efficiency on crude palm oil futures," Essex Finance Centre Working Papers 15373, University of Essex, Essex Business School.

2014

  1. Barbara Casu & Alessandra Ferrari & Claudia Girardone & John O.S. Wilson, 2014. "Integration, Productivity and Technological Spillovers: Evidence for Eurozone Banking Industries," Economics & Management Discussion Papers em-dp2014-01, Henley Business School, Reading University.

2012

  1. David Harvey & Neil Kellard & Jakob Madsen & Mark Wohar, 2012. "Trends and Cycles in Real Commodity Prices: 1650-2010," CEH Discussion Papers 010, Centre for Economic History, Research School of Economics, Australian National University.

2010

  1. Georgios E. Chortareas & Claudia Girardone & Jesus Gustavo Garza-Garcia, 2010. "Banking Sector Performance in Some Latin American Countries: Market Power versus Efficiency," Working Papers 2010-20, Banco de México.

2007

  1. Neil Kellard & John Nankervis & Fotis Papadimitriou, 2007. "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 129, Money Macro and Finance Research Group.

2006

  1. Jerry Coakley & Jian Dollery & Neil Kellard, 2006. "Long Memory and Structural Breaks in Commodity Futures Basis and Market," Computing in Economics and Finance 2006 523, Society for Computational Economics.
  2. Alfonso Gutierrez & Jerry Coakley & Neil Kellard, 2006. "Threshold Autoregressive Models of the Commodities Futures Basis," Computing in Economics and Finance 2006 323, Society for Computational Economics.
  3. Stuart Snaith & Neil Kellard & Jerry Coakley, 2006. "The Forward Premium Anomaly at Long Horizons," Computing in Economics and Finance 2006 474, Society for Computational Economics.

2005

  1. Mario Cerrato & Neil Kellard & Nicholas Sarantis, 2005. "The Purchasing Power Parity Persistence Paradigm: Evidence from Black Currency Markets," Money Macro and Finance (MMF) Research Group Conference 2005 34, Money Macro and Finance Research Group.

2004

  1. Barbara Casu & Claudia Girardone, 2004. "An Analysis of the Relevance of Off-Balance Sheet Items in Explaining Productivity Change in European Banking," Money Macro and Finance (MMF) Research Group Conference 2004 37, Money Macro and Finance Research Group.

2003

  1. Kellard, Neil & Mark E Wohar, 2003. "Trends and Persistence in Primary Commodity Prices," Royal Economic Society Annual Conference 2003 118, Royal Economic Society.

1997

  1. P. Newbold, A & .J. Rayner, & N. Kellard & C. Ennew,, 1997. "Is the Dollar/ECU Exchange A Random Walk?," Discussion Papers 97/8, University of Nottingham, School of Economics.
  2. P. Newbold, & A.J. Rayner, & N. Kellard & C. Ennew,, 1997. "Long-Run Price Behaviour of Wheat and Maize: Trend Stationarity or Difference-Stationarity?," Discussion Papers 97/7, University of Nottingham, School of Economics.

1996

  1. C. Ennew, & N. Kellard, & P. Newbold & A.J. Rayner,, 1996. "Testing for Efficiency in Commodity Futures Markets," Discussion Papers 96/11, University of Nottingham, School of Economics.
  2. C. Ennew, & N. Kellard, & P. Newbold, A. J. Rayner & M. E. Wohar,, 1996. "Two Puzzles in the Analysis of Foreign Exchange Market Efficiency," Discussion Papers 96/18, University of Nottingham, School of Economics.

Journal articles

2018

  1. Chronopoulos, Dimitris K. & Papadimitriou, Fotios I. & Vlastakis, Nikolaos, 2018. "Information demand and stock return predictability," Journal of International Money and Finance, Elsevier, vol. 80(C), pages 59-74.

2017

  1. Harvey, David I. & Kellard, Neil M. & Madsen, Jakob B. & Wohar, Mark E., 2017. "Long-Run Commodity Prices, Economic Growth, and Interest Rates: 17th Century to the Present Day," World Development, Elsevier, vol. 89(C), pages 57-70.
  2. Makhlouf, Yousef & Kellard, Neil M. & Vinogradov, Dmitri, 2017. "Child mortality, commodity price volatility and the resource curse," Social Science & Medicine, Elsevier, vol. 178(C), pages 144-156.

2016

  1. Casu, Barbara & Ferrari, Alessandra & Girardone, Claudia & Wilson, John O.S., 2016. "Integration, productivity and technological spillovers: Evidence for eurozone banking industries," European Journal of Operational Research, Elsevier, vol. 255(3), pages 971-983.
  2. George Dotsis & Nikolaos Vlastakis, 2016. "Corridor Volatility Risk and Expected Returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(5), pages 488-505, May.
  3. Chiara Banti, 2016. "Illiquidity In The Stock And Foreign Exchange Markets: An Investigation Of Their Cross-Market Dynamics," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 39(4), pages 411-436, December.
  4. Kellard, Neil & Taylor, A.M. Robert, 2016. "Special issue of the Journal of Empirical Finance Guest Editors' introduction," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 513-515.
  5. Tsvetanov, Daniel & Coakley, Jerry & Kellard, Neil, 2016. "Bubbling over! The behaviour of oil futures along the yield curve," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 516-533.

2015

  1. Neil Kellard & Denise Osborn & Jerry Coakley & Dimitris K. Chronopoulos & Claudia Girardone & John C. Nankervis, 2015. "Double Bootstrap Confidence Intervals in the Two-Stage DEA Approach," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(5), pages 653-662, September.
  2. Banti, Chiara & Phylaktis, Kate, 2015. "FX market liquidity, funding constraints and capital flows," Journal of International Money and Finance, Elsevier, vol. 56(C), pages 114-134.
  3. Kellard, Neil M. & Jiang, Ying & Wohar, Mark, 2015. "Spurious long memory, uncommon breaks and the implied–realized volatility puzzle," Journal of International Money and Finance, Elsevier, vol. 56(C), pages 36-54.
  4. Makhlouf, Yousef & Kellard, Neil M. & Vinogradov, Dmitri, 2015. "Trade openness, export diversification, and political regimes," Economics Letters, Elsevier, vol. 136(C), pages 25-27.
  5. Neil Kellard & Denise Osborn & Jerry Coakley & Neil Kellard & Denise Osborn & Jerry Coakley, 2015. "Introduction to the JTSA John Nankervis Memorial Issue," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(5), pages 601-602, September.

2014

  1. Degl’Innocenti, Marta & Girardone, Claudia & Torluccio, Giuseppe, 2014. "Diversification, multimarket contacts and profits in the leasing industry," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 31(C), pages 231-252.

2013

  1. Dimitris Chronopoulos & Claudia Girardone & John Nankervis, 2013. "How Do Stock Markets in the US and Europe Price Efficiency Gains from Bank M&As?," Journal of Financial Services Research, Springer;Western Finance Association, vol. 43(3), pages 243-263, June.
  2. Chortareas, Georgios E. & Girardone, Claudia & Ventouri, Alexia, 2013. "Financial freedom and bank efficiency: Evidence from the European Union," Journal of Banking & Finance, Elsevier, vol. 37(4), pages 1223-1231.
  3. Claudia Girardone & Philip A. Hamill & John Wilson, 2013. "Contemporary issues in financial markets and institutions," The European Journal of Finance, Taylor & Francis Journals, vol. 19(9), pages 811-814, October.
  4. Dunis, Christian & Kellard, Neil M. & Snaith, Stuart, 2013. "Forecasting EUR–USD implied volatility: The case of intraday data," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 4943-4957.
  5. Snaith, Stuart & Coakley, Jerry & Kellard, Neil, 2013. "Does the forward premium puzzle disappear over the horizon?," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3681-3693.

2012

  1. Nemanja Radić & Franco Fiordelisi & Claudia Girardone, 2012. "Efficiency and Risk-Taking in Pre-Crisis Investment Banks," Journal of Financial Services Research, Springer;Western Finance Association, vol. 41(1), pages 81-101, April.
  2. Chortareas, Georgios E. & Garza-García, Jesús G. & Girardone, Claudia, 2012. "Competition, efficiency and interest rate margins in Latin American banking," International Review of Financial Analysis, Elsevier, vol. 24(C), pages 93-103.
  3. Chortareas, Georgios E. & Girardone, Claudia & Ventouri, Alexia, 2012. "Bank supervision, regulation, and efficiency: Evidence from the European Union," Journal of Financial Stability, Elsevier, vol. 8(4), pages 292-302.
  4. Degl’Innocenti, Marta & Girardone, Claudia, 2012. "Ownership, diversification and cost advantages: Evidence from the Italian leasing industry," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(4), pages 879-896.
  5. Vlastakis, Nikolaos & Markellos, Raphael N., 2012. "Information demand and stock market volatility," Journal of Banking & Finance, Elsevier, vol. 36(6), pages 1808-1821.
  6. Banti, Chiara & Phylaktis, Kate & Sarno, Lucio, 2012. "Global liquidity risk in the foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 31(2), pages 267-291.

2011

  1. Claudia Girardone & Stuart Snaith, 2011. "Project finance loan spreads and disaggregated political risk," Applied Financial Economics, Taylor & Francis Journals, vol. 21(23), pages 1725-1734.
  2. Dimitris Chronopoulos & Claudia Girardone & John Nankervis, 2011. "Are there any cost and profit efficiency gains in financial conglomeration? Evidence from the accession countries," The European Journal of Finance, Taylor & Francis Journals, vol. 17(8), pages 603-621.
  3. Georgios E. Chortareas & Jesus G. Garza‐Garcia & Claudia Girardone, 2011. "Banking Sector Performance in Latin America: Market Power versus Efficiency," Review of Development Economics, Wiley Blackwell, vol. 15(2), pages 307-325, May.
  4. Georgios E. Chortareas & Jesús G. Garza-García & Claudia Girardone, 2011. "Financial deepening and bank productivity in Latin America," The European Journal of Finance, Taylor & Francis Journals, vol. 17(9-10), pages 811-827, November.
  5. Georgios E. Chortareas & Claudia Girardone & Alexia Ventouri, 2011. "Financial Frictions, Bank Efficiency and Risk: Evidence from the Eurozone," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 38(1-2), pages 259-287, January.
  6. Jerry Coakley & Jian Dollery & Neil Kellard, 2011. "Long memory and structural breaks in commodity futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 31(11), pages 1076-1113, November.

2010

  1. Casu, Barbara & Girardone, Claudia, 2010. "Integration and efficiency convergence in EU banking markets," Omega, Elsevier, vol. 38(5), pages 260-267, October.
  2. David I. Harvey & Neil M. Kellard & Jakob B. Madsen & Mark E. Wohar, 2010. "The Prebisch-Singer Hypothesis: Four Centuries of Evidence," The Review of Economics and Statistics, MIT Press, vol. 92(2), pages 367-377, May.
  3. Kellard, Neil M. & Nankervis, John C. & Papadimitriou, Fotios I., 2010. "Predicting the equity premium with dividend ratios: Reconciling the evidence," Journal of Empirical Finance, Elsevier, vol. 17(4), pages 539-551, September.
  4. Kellard, Neil & Dunis, Christian & Sarantis, Nicholas, 2010. "Foreign exchange, fractional cointegration and the implied-realized volatility relation," Journal of Banking & Finance, Elsevier, vol. 34(4), pages 882-891, April.

2009

  1. Georgios Chortareas & Claudia Girardone & Alexia Ventouri, 2009. "Efficiency and productivity of Greek banks in the EMU era," Applied Financial Economics, Taylor & Francis Journals, vol. 19(16), pages 1317-1328.
  2. Barbara Casu & Claudia Girardone, 2009. "Competition issues in European banking," Journal of Financial Regulation and Compliance, Emerald Group Publishing, vol. 17(2), pages 119-133, May.
  3. Casu, Barbara & Girardone, Claudia, 2009. "Testing the relationship between competition and efficiency in banking: A panel data analysis," Economics Letters, Elsevier, vol. 105(1), pages 134-137, October.
  4. Claudia Girardone & John C. Nankervis & Ekaterini-Fotini Velentza, 2009. "Efficiency, ownership and financial structure in European banking: A cross-country comparison," Managerial Finance, Emerald Group Publishing, vol. 35(3), pages 227-245, February.
  5. Nikolaos Vlastakis & George Dotsis & Raphael N. Markellos, 2009. "How efficient is the European football betting market? Evidence from arbitrage and trading strategies," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 28(5), pages 426-444.

2008

  1. Aikaterini-Foteini Velentza & Claudia Girardone & John C. Nankervis, 2008. "Efficiency across alternative financial structures, bank types and size classes: a comparison of the OECD countries," International Journal of Banking, Accounting and Finance, Inderscience Enterprises Ltd, vol. 1(2), pages 168-188.
  2. Nikolaos Vlastakis & George Dotsis & Raphael Markellos, 2008. "Nonlinear modelling of European football scores using support vector machines," Applied Economics, Taylor & Francis Journals, vol. 40(1), pages 111-118.
  3. Mario Cerrato & Neil Kellard & Nicholas Sarantis, 2008. "The Purchasing Power Parity Persistence Puzzle: Evidence From Black Market Real Exchange Rates," Manchester School, University of Manchester, vol. 76(4), pages 405-423, July.
  4. Coakley, Jerry & Dollery, Jian & Kellard, Neil, 2008. "The role of long memory in hedging effectiveness," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 3075-3082, February.
  5. Kellard, Neil & Sarantis, Nicholas, 2008. "Can exchange rate volatility explain persistence in the forward premium?," Journal of Empirical Finance, Elsevier, vol. 15(4), pages 714-728, September.

2006

  1. Barbara Casu & Claudia Girardone, 2006. "Bank Competition, Concentration And Efficiency In The Single European Market," Manchester School, University of Manchester, vol. 74(4), pages 441-468, July.
  2. Elena Beccalli & Barbara Casu & Claudia Girardone, 2006. "Efficiency and Stock Performance in European Banking," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 33(1-2), pages 245-262.
  3. Kellard, Neil & Wohar, Mark E., 2006. "On the prevalence of trends in primary commodity prices," Journal of Development Economics, Elsevier, vol. 79(1), pages 146-167, February.
  4. Kellard, Neil, 2006. "On the robustness of cointegration tests when assessing market efficiency," Finance Research Letters, Elsevier, vol. 3(1), pages 57-64, March.

2005

  1. Barbara Casu & Claudia Girardone, 2005. "An analysis of the relevance of off-balance sheet items in explaining productivity change in European banking," Applied Financial Economics, Taylor & Francis Journals, vol. 15(15), pages 1053-1061.
  2. Marion Frenz & Claudia Girardone & Grazia Ietto-Gillies, 2005. "Multinationality Matters in Innovation: The Case of the UK Financial Services," Industry and Innovation, Taylor & Francis Journals, vol. 12(1), pages 65-92.
  3. Coakley, Jerry & Kellard, Neil & Snaith, Stuart, 2005. "The PPP debate: Price matters!," Economics Letters, Elsevier, vol. 88(2), pages 209-213, August.

2004

  1. Casu, Barbara & Girardone, Claudia & Molyneux, Philip, 2004. "Productivity change in European banking: A comparison of parametric and non-parametric approaches," Journal of Banking & Finance, Elsevier, vol. 28(10), pages 2521-2540, October.
  2. Barbara Casu & Claudia Girardone, 2004. "Financial conglomeration: efficiency, productivity and strategic drive," Applied Financial Economics, Taylor & Francis Journals, vol. 14(10), pages 687-696.
  3. Claudia Girardone & Philip Molyneux & Edward Gardener, 2004. "Analysing the determinants of bank efficiency: the case of Italian banks," Applied Economics, Taylor & Francis Journals, vol. 36(3), pages 215-227.
  4. Barbara Casu & Claudia Girardone, 2004. "Large banks' efficiency in the single European market," The Service Industries Journal, Taylor & Francis Journals, vol. 24(6), pages 129-142, November.

2002

  1. Neil Kellard, 2002. "Evaluating Commodity Market Efficiency: Are Cointegration Tests Appropriate?," Journal of Agricultural Economics, Wiley Blackwell, vol. 53(3), pages 513-529.

2001

  1. Neil Kellard & Paul Newbold & Tony Rayner, 2001. "Evaluating currency market efficiency: are cointegration tests appropriate?," Applied Financial Economics, Taylor & Francis Journals, vol. 11(6), pages 681-691.

2000

  1. Paul Newbold & Tony Rayner & Neil Kellard, 2000. "Long-Run Drift, Co-Movement and Persistence in Real Wheat and Maize Prices," Journal of Agricultural Economics, Wiley Blackwell, vol. 51(1), pages 106-121.

1999

  1. Neil Kellard & Paul Newbold & Tony Rayner & Christine Ennew, 1999. "The relative efficiency of commodity futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 19(4), pages 413-432, June.

1998

  1. Newbold, Paul & Wohar, Mark E. & Rayner, Tony & Kellard, Neil & Ennew, Christine, 1998. "Two puzzles in the analysis of foreign exchange market efficiency," International Review of Financial Analysis, Elsevier, vol. 7(2), pages 95-111.
  2. Paul Newbold & Toni Rayner & Neil Kellard & Christine Ennew, 1998. "Is the dollar/ECU exchange rate a random walk?," Applied Financial Economics, Taylor & Francis Journals, vol. 8(6), pages 553-558.

Books

2009

  1. Jacob A. Bikker & Barbara Casu & Claudia Girardone & Mohamed E Chaffai & Michel Dietsch & Antonio Colangelo & Robert Inklaar & Marco Colagiovanni & Martin Czurda & Roger Hartmann & Charles-Henri Di Ma, 2009. "Productivity in the Financial Services Sector," SUERF Studies, SUERF - The European Money and Finance Forum, number 2009/4 edited by Morten Balling & Ernest Gnan & Frank Lierman & Jean-Pierre Schoder.

Chapters

2012

  1. Barbara Casu & Claudia Girardone & Philip Molyneux, 2012. "Is There a Conflict between Competition and Financial Stability?," Chapters,in: Research Handbook on International Banking and Governance, chapter 3 Edward Elgar Publishing.

IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.