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Details about Neil Michael Kellard

Homepage:http://www.essex.ac.uk/ebs/staff/profile.aspx?ID=597
Workplace:Essex Finance Center, Essex Business School, University of Essex, (more information at EDIRC)

Access statistics for papers by Neil Michael Kellard.

Last updated 2017-05-02. Update your information in the RePEc Author Service.

Short-id: pke322


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Working Papers

2015

  1. 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 Downloads

2012

  1. Trends and Cycles in Real Commodity Prices: 1650-2010
    CEH Discussion Papers, Centre for Economic History, Research School of Economics, Australian National University Downloads View citations (3)

2007

  1. 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 Downloads

2006

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

2005

  1. 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 Downloads View citations (1)

2003

  1. Trends and Persistence in Primary Commodity Prices
    Royal Economic Society Annual Conference 2003, Royal Economic Society Downloads View citations (1)

1997

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

1996

  1. Testing for Efficiency in Commodity Futures Markets
    Discussion Papers, University of Nottingham, School of Economics
  2. 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 in International Review of Financial Analysis (1998)

Journal Articles

2017

  1. Child mortality, commodity price volatility and the resource curse
    Social Science & Medicine, 2017, 178, (C), 144-156 Downloads
  2. Long-Run Commodity Prices, Economic Growth, and Interest Rates: 17th Century to the Present Day
    World Development, 2017, 89, (C), 57-70 Downloads View citations (5)

2016

  1. Bubbling over! The behaviour of oil futures along the yield curve
    Journal of Empirical Finance, 2016, 38, (PB), 516-533 Downloads View citations (2)
  2. Special issue of the Journal of Empirical Finance Guest Editors' introduction
    Journal of Empirical Finance, 2016, 38, (PB), 513-515 Downloads

2015

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

2013

  1. Does the forward premium puzzle disappear over the horizon?
    Journal of Banking & Finance, 2013, 37, (9), 3681-3693 Downloads View citations (3)
  2. Forecasting EUR–USD implied volatility: The case of intraday data
    Journal of Banking & Finance, 2013, 37, (12), 4943-4957 Downloads View citations (2)

2011

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

2010

  1. Foreign exchange, fractional cointegration and the implied-realized volatility relation
    Journal of Banking & Finance, 2010, 34, (4), 882-891 Downloads View citations (13)
  2. Predicting the equity premium with dividend ratios: Reconciling the evidence
    Journal of Empirical Finance, 2010, 17, (4), 539-551 Downloads View citations (17)
  3. The Prebisch-Singer Hypothesis: Four Centuries of Evidence
    The Review of Economics and Statistics, 2010, 92, (2), 367-377 Downloads View citations (101)

2008

  1. Can exchange rate volatility explain persistence in the forward premium?
    Journal of Empirical Finance, 2008, 15, (4), 714-728 Downloads View citations (12)
  2. THE PURCHASING POWER PARITY PERSISTENCE PUZZLE: EVIDENCE FROM BLACK MARKET REAL EXCHANGE RATES*
    Manchester School, 2008, 76, (4), 405-423 Downloads View citations (3)
  3. The role of long memory in hedging effectiveness
    Computational Statistics & Data Analysis, 2008, 52, (6), 3075-3082 Downloads View citations (11)

2006

  1. On the prevalence of trends in primary commodity prices
    Journal of Development Economics, 2006, 79, (1), 146-167 Downloads View citations (81)
  2. On the robustness of cointegration tests when assessing market efficiency
    Finance Research Letters, 2006, 3, (1), 57-64 Downloads View citations (3)

2005

  1. The PPP debate: Price matters!
    Economics Letters, 2005, 88, (2), 209-213 Downloads View citations (15)

2002

  1. Evaluating Commodity Market Efficiency: Are Cointegration Tests Appropriate?
    Journal of Agricultural Economics, 2002, 53, (3), 513-529 Downloads View citations (7)

2001

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

2000

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

1999

  1. The relative efficiency of commodity futures markets
    Journal of Futures Markets, 1999, 19, (4), 413-432 Downloads View citations (14)

1998

  1. Is the dollar/ECU exchange rate a random walk?
    Applied Financial Economics, 1998, 8, (6), 553-558 Downloads View citations (5)
  2. Two puzzles in the analysis of foreign exchange market efficiency
    International Review of Financial Analysis, 1998, 7, (2), 95-111 Downloads View citations (18)
    See also Working Paper (1996)
 
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