Students Staff
University of Essex

Publications for Professor Neil Kellard

  • 1. "Child Mortality, Commodity Price Volatility and the Resource Curse," Social Science and Medicine, 178, 144-156, 2017 (with Y Makhlouf and D Vinogradov). 
  • 2. "Long-Run Commodity Prices, Economic Growth and Interest Rates: 17th Century to the Present Day,“ World Development, Forthcoming 2016 (with D Harvey, J Madsen and M Wohar).
  • 3. "Business and Management Impact Assessment in REF2014: Analysis and Reflection,“ British Journal of Management, Forthcoming 2016 (with M Śliwa).
  • 4. "News Related to Future GDP Growth is a Risk Factor for Commodity Futures Returns!" Quantitative Finance, Forthcoming 2016 (with D Tsvetanov and J Coakley).
  • 5. "Special Issue of the Journal of Empirical Finance Guest Editors' Introduction,“ Journal of Empirical Finance, Forthcoming 2016 (with A.M.R. Taylor).
  • 6. "Close Connections: Hedge Funds, Brokers and the Emergence of Herding,“ British Journal of Management, Forthcoming 2016 (with Y Millo , J Simon and O Engel). 
  • 7. “Bubbling Over! The Behaviour of Long-Dated Oil Futures Prices," Journal of Empirical Finance, Forthcoming 2016 (with D Tsvetanov and J Coakley).
  • 8. "Commodity Futures Returns: More Memory Than You Might Think!“, European Journal of Finance, Forthcoming 2016 (with J Wang and J Coakley).  
  • 9. "Trade Openness, Export Diversification and Political Regimes," Economics Letters, 136, 25-27, 2015 (with Y Makhlouf and D Vinogradov). 
  • 10. "Spurious Long Memory, Uncommon Breaks and the Implied-Realized Volatility Puzzle," Journal of International Money and Finance, 56, 36-54, 2015 (with Y Jiang and M Wohar). 
  • 11.  "Introduction to the John Nankervis Special Issue“, Journal of Time Series Analysis, 36, 601-602. 2015 (with J Coakley and D Osborn).
  • 12.  "Forecasting EUR-USD Implied Volatility: The Case of Intraday Data“, Journal of Banking and Finance, 37, 4943-4957, 2013 (with C Dunis and S Snaith). 
  • 13. "Does the Forward Premium Puzzle Disappear Over the Horizon?“, Journal of Banking and Finance, 37, 2013 (with S Snaith and J Coakley).
  • 14. "Long Memory and Structural Breaks in Commodity Futures Markets", Journal of Futures Markets, 31, 1076-1113, 2011 (with J Coakley and J Dollery).
  • 15. “Predicting the Equity Premium with Dividend Ratios: Reconciling the Evidence”, Journal of Empirical Finance, 17, 539-551, 2010 (with J Nankervis and F Papadimitriou).
  • 16."The Prebisch-Singer Hypothesis: Four Centuries of Evidence", Review of Economics and Statistics, 92, 367-377, 2010 (with D Harvey, J Madsen and M Wohar).
  • 17. "Foreign Exchange, Fractional Cointegration and the Implied-Realized Volatility Relation", Journal of Banking and Finance, 34, 882-891, 2010 (with C Dunis and N Sarantis).
  • 18. "Letter to Reverse Burden of Proof", Letter to the Financial Times, 9/10/2009.
  • 19. "Can Exchange Rate Volatility Explain Persistence in the Forward Premium?", Journal of Empirical Finance, 17, 714-728, 2008 (with Nick Sarantis)
  • 20. "The Purchasing Power Parity Paradigm: Evidence from Black Currency Markets", The Manchester School, 76, 405-423, 2008 (with M Cerrato and N Sarantis)
  • 21. "The Role of Long Memory in Hedging Effectiveness", Computational Statistics and Data Analysis, 52, 3075-3082, 2008 (with J Coakley and J Dollery)
  • 22. "On the Robustness of Cointegration Tests when Assessing Market Efficiency", Finance Research Letters, 3, 57-64, 2006.
  • 23. “On the Prevalence of Trends in Primary Commodity Prices”, Journal of Development Economics, 79, 146-167, 2006 (with M Wohar).
  • 24. "The PPP Debate: Price Matters!", Economics Letters, 88(2), 209-213, 2005 (with J Coakley and S Snaith).
  • 25. “Commodity Market Efficiency: Are Cointegration Tests Appropriate?”, Journal of Agricultural Economics, 53 (3), 513-29, 2002.
  • 26. "Currency Market Efficiency: Are Cointegration Tests Appropriate?", Applied Financial Economics, 11, 681-91, 2001 (with P Newbold and A Rayner).
  • 27. "Long Run Drift, Co-Movement and Persistence in Real Wheat and Maize Prices", Journal of Agricultural Economics, 51 (1), 106-21, 2000 (with P Newbold and A Rayner).
  • 28. "The Relative Efficiency of Commodity Futures Markets", Journal of Futures Markets, 19 (4), 413-32, 1999 (with P Newbold, A Rayner, and C Ennew).
  • 29. "Is the $/ECU Exchange Rate a Random Walk?", Applied Financial Economics, 8 (6), 553-58, 1998 (with P Newbold, A Rayner and C Ennew).
  • 30. "Two Puzzles in the Analysis of Foreign Exchange Market Efficiency", International Review of Financial Analysis, 7 (2), 1998 (with P Newbold , M Wohar, A Rayner and C Ennew).


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