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Neil Michael Kellard

Personal Details

First Name:Neil
Middle Name:Michael
Last Name:Kellard
Suffix:
RePEc Short-ID:pke322
[This author has chosen not to make the email address public]
http://www.essex.ac.uk/ebs/staff/profile.aspx?ID=597

Affiliation

Essex Finance Center
Essex Business School
University of Essex

Colchester, United Kingdom
http://www.essex.ac.uk/ebs/research/finance

:
020 76316416

RePEc:edi:fcessuk (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. 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.
  2. 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.
  3. 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.
  4. 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.
  5. 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.
  6. 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.
  7. 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.
  8. Kellard, Neil & Mark E Wohar, 2003. "Trends and Persistence in Primary Commodity Prices," Royal Economic Society Annual Conference 2003 118, Royal Economic Society.
  9. C. Ennew, & N. Kellard, & P. Newbold, A. J. Rayner & M. E. Wohar,, "undated". "Two Puzzles in the Analysis of Foreign Exchange Market Efficiency," Discussion Papers 96/18, University of Nottingham, School of Economics.
  10. P. Newbold, & A.J. Rayner, & N. Kellard & C. Ennew,, "undated". "Long-Run Price Behaviour of Wheat and Maize: Trend Stationarity or Difference-Stationarity?," Discussion Papers 97/7, University of Nottingham, School of Economics.
  11. C. Ennew, & N. Kellard, & P. Newbold & A.J. Rayner,, "undated". "Testing for Efficiency in Commodity Futures Markets," Discussion Papers 96/11, University of Nottingham, School of Economics.
  12. P. Newbold, A & .J. Rayner, & N. Kellard & C. Ennew,, "undated". "Is the Dollar/ECU Exchange A Random Walk?," Discussion Papers 97/8, University of Nottingham, School of Economics.

Articles

  1. 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.
  2. 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.
  3. 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.
  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. 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.
  6. 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.
  7. Makhlouf, Yousef & Kellard, Neil M. & Vinogradov, Dmitri, 2015. "Trade openness, export diversification, and political regimes," Economics Letters, Elsevier, vol. 136(C), pages 25-27.
  8. 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.
  9. 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.
  10. 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.
  11. 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.
  12. 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.
  13. 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.
  14. 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.
  15. 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.
  16. 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.
  17. 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.
  18. Kellard, Neil, 2006. "On the robustness of cointegration tests when assessing market efficiency," Finance Research Letters, Elsevier, vol. 3(1), pages 57-64, March.
  19. Coakley, Jerry & Kellard, Neil & Snaith, Stuart, 2005. "The PPP debate: Price matters!," Economics Letters, Elsevier, vol. 88(2), pages 209-213, August.
  20. Neil Kellard, 2002. "Evaluating Commodity Market Efficiency: Are Cointegration Tests Appropriate?," Journal of Agricultural Economics, Wiley Blackwell, vol. 53(3), pages 513-529.
  21. Neil Kellard & Paul Newbold & Tony Rayner, 2001. "Evaluating currency market efficiency: are cointegration tests appropriate?," Applied Financial Economics, Taylor & Francis Journals, pages 681-691.
  22. 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.
  23. 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.
  24. Paul Newbold & Toni Rayner & Neil Kellard & Christine Ennew, 1998. "Is the dollar/ECU exchange rate a random walk?," Applied Financial Economics, Taylor & Francis Journals, pages 553-558.
  25. 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.

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 4 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (1) 2007-04-09
  2. NEP-FMK: Financial Markets (1) 2006-03-05
  3. NEP-FOR: Forecasting (1) 2007-04-09
  4. NEP-IFN: International Finance (1) 2006-03-05
  5. NEP-MST: Market Microstructure (1) 2015-12-08

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