People

Professor Neil Kellard

Professor
EBS - Finance
Professor Neil Kellard
  • Email

  • Telephone

    +44 (0) 1206 874153

  • Location

    EBS.3.64, Colchester Campus

  • Academic support hours

    You can find details of Academic support hours on the EBS UG and PG information page on Moodle or by calling EBS Student Services on 01206873911

Profile

Qualifications

  • BA (MMU)

  • MSc (Warwick)

  • PhD (Nottingham)

Research and professional activities

Research interests

Finance (Financial inclusion Derivative market efficiency commodity portfolios bubbles hedge funds hedge ratios return predictability asset price volatility)

International Finance (Forward premium puzzle purchasing power parity)

Development (Inclusive growth Prebisch-singer hypothesis modelling and forecasting commodity prices linkages between commodities growth and poverty the food crisis political regime and health)

Applied econometrics (Spurious regressions panel forecasting long memory fractional cointegration and structural breaks GARCH modellingl)

Current research

The Diversification Benefits of Commodity Futures: The Role of Carry, 2017 (withDTsvetanov andJ Coakley)

Equity and Funding Liquidity as Determinants of European CDS Spreads, 2017 (withRManac andN Constantinou)/li>

The Resource Curse, Commodity Prices and Economic Growth, 2017 (with D Harvey, J Madsen and M Wohar).

Very Long-Run PPP, 2017 (withJ Madsen and S Snaith).

China and Commodity Markets, 2016.

Conferences and presentations

University of Nottingham, Ningbo (2016)

University of Nebraska (2014)

Higher School of Economics, Perm (2014)

BMRC-QASS, Brunel University(2013)

Liverpool University (2013)

University of Tasmania (2012)

Australian National University(2012)

University ofDurham (2012)

The Law Society, London (2011)

International Symposium on Forecasting, San Diego (2010)

African Econometrics Society, University of Pretoria (2009)

Teaching and supervision

  • Industry Expert Lectures in Finance (BE653)

  • Finance Research Project (BE937)

  • Industry Expert Lectures in Finance (CF968)

Publications

Chapters (1)

Kellard, NM., Harvey, D., Madsen, J. and Wohar, M., (2018). The Resource Curse, Commodity Prices and Economic Growth. In: Global Commodity Markets and Development Economics. Editors: Pfaffenzeller, S., . Routledge. 1138898252. 978-1138898257

Journals (29)

Makhlouf, Y., Kellard, NM. and Vinogradov, D., (2017). Child mortality, commodity price volatility and the resource curse. Social Science and Medicine. 178 (C)

Kellard, NM., Millo, Y., Simon, J. and Engel, O., (2017). Close Communications: Hedge Funds, Brokers and the Emergence of Herding. British Journal of Management. 28 (1)

Harvey, DI., Kellard, NM., Madsen, JB. and Wohar, ME., (2017). Long-Run Commodity Prices, Economic Growth, and Interest Rates: 17th Century to the Present Day. World Development. 89 (C)

Coakley, J., Kellard, NM. and Wang, J., (2016). Commodity futures returns: more memory than you might think!. The European Journal of Finance. 22 (14)

Tsvetanov, D., Coakley, J. and Kellard, NM., (2016). Is news related to GDP growth a risk factor for commodity futures returns?. Quantitative Finance. 16 (12)

Kellard, NM. and Sliwa, M., (2016). Business and Management impact assessment in REF2014: Analysis and reflection. British Journal of Management. 27 (4)

Kellard, N. and Taylor, AMR., (2016). Special issue of the Journal of Empirical Finance Guest Editors' introduction. Journal of Empirical Finance. 38 (Part B)

Tsvetanov, D., Coakley, J. and Kellard, N., (2016). Bubbling over! The behaviour of oil futures along the yield curve. Journal of Empirical Finance. 38 (PB)

Tsvetanov, D., Coakley, J. and Kellard, NM., (2015). Bubbling over! The behaviour of oil futures along the yield curve. Journal of Empirical Finance. 38 (Part B)

Kellard, NM., Osborn, D. and Coakley, J., (2015). Introduction to the JTSA John Nankervis Memorial Issue. Journal of Time Series Analysis. 36 (5)

Kellard, NM., Jiang, Y. and Wohar, M., (2015). Spurious long memory, uncommon breaks and the implied–realized volatility puzzle. Journal of International Money and Finance. 56 (C)

Makhlouf, Y., Kellard, NM. and Vinogradov, D., (2015). Trade openness, export diversification, and political regimes. Economics Letters. 136 (C)

Snaith, S., Coakley, J. and Kellard, NM., (2013). Does the forward premium puzzle disappear over the horizon?. Journal of Banking & Finance. 37 (9)

Dunis, C., Kellard, NM. and Snaith, S., (2013). Forecasting EUR–USD implied volatility: The case of intraday data. Journal of Banking & Finance. 37 (12)

Kellard, NM., Dunis, C. and Sarantis, N., (2010). Foreign exchange, fractional cointegration and the implied?realized volatility relation. Journal of Banking & Finance. 34 (4)

Coakley, J., Dollery, J. and Kellard, NM., (2010). Long memory and structural breaks in commodity futures markets. Journal of Futures Markets. 31 (11)

Harvey, DI., Kellard, NM., Madsen, JB. and Wohar, ME., (2010). The Prebisch-Singer Hypothesis: Four Centuries of Evidence. Review of Economics and Statistics. 92 (2)

Kellard, NM., Nankervis, JC. and Papadimitriou, FI., (2010). Predicting the equity premium with dividend ratios: Reconciling the evidence. Journal of Empirical Finance. 17 (4)

Kellard, NM. and Sarantis, N., (2008). Can exchange rate volatility explain persistence in the forward premium?. Journal of Empirical Finance. 15 (4)

Cerrato, M., Kellard, NM. and Sarantis, N., (2008). The Purchasing Power Parity Persistence Puzzle: Evidence From Black Market Real Exchange Rates. The Manchester School. 76 (4)

Coakley, J., Dollery, J. and Kellard, NM., (2008). The role of long memory in hedging effectiveness. Computational Statistics & Data Analysis. 52 (6)

Kellard, N., (2006). On the robustness of cointegration tests when assessing market efficiency. Finance Research Letters. 3 (1)

Kellard, N. and Wohar, ME., (2006). On the prevalence of trends in primary commodity prices. Journal of Development Economics. 79 (1)

Coakley, J., Kellard, N. and Snaith, S., (2005). The PPP debate: Price matters!. Economics Letters. 88 (2)

Kellard, N., (2002). Evaluating commodity market efficiency: Are cointegration tests appropriate?. Journal of Agricultural Economics. 53 (3)

Newbold, P., Rayner, T. and Kellard, N., (2000). Long-run drift, co-movement and persistence in real wheat and maize prices. Journal of Agricultural Economics. 51 (1)

Kellard, N., Newbold, P., Rayner, T. and Ennew, C., (1999). The relative efficiency of commodity futures markets. Journal of Futures Markets. 19 (4)

Newbold, P., Wohar, ME., Rayner, T., Kellard, N. and Ennew, C., (1998). Two puzzles in the analysis of foreign exchange market efficiency. International Review of Financial Analysis. 7 (2)

Kellard, NM., Snaith, S. and Ahmad, N., Open outcry versus electronic trading: tests of market efficiency on crude palm oil futures. Journal of Futures Markets

Contact

nkellard@essex.ac.uk
+44 (0) 1206 874153

Location:

EBS.3.64, Colchester Campus

Academic support hours:

You can find details of Academic support hours on the EBS UG and PG information page on Moodle or by calling EBS Student Services on 01206873911