People

Professor Neil Kellard

Dean of Essex Business School - Professor (R)
Essex Business School
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)

Open to supervise

International Finance (Forward premium puzzle, purchasing power parity)

Open to supervise

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

Open to supervise

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

Open to supervise

Environment and Sustainability (cap and trade, carbon allowances, corporate governance)

Open to supervise

Current research

Equity and Funding Liquidity as Determinants of European CDS Spreads, 2019 (with R Manac and C Banti)

Corporate Environmental Proactivity: Evidence from the European Union’s Emissions Trading System, 2019 (with P Andreou)

Finance-Inequality Nexus: the long and the short of it, 2019 (with Y Makhlouf and D Vinogradov)

Conferences and presentations

"I'm Forever Blowing Bubbles" - Finance and Explosive Asset Prices

Invited presentation, Keynote presentation, 4th Quantitative Finance and Risk Analysis Symposium, Greece, 8/6/2018

University of Nottingham, Ningbo (2016)

Ningbo, China, 2016

University of Nebraska (2014)

Omaha, United States, 2014

Higher School of Economics, Perm (2014)

Perm, Russia, 2014

BMRC-QASS, Brunel University(2013)

Uxbridge, United Kingdom, 2013

Liverpool University (2013)

Liverpool, United Kingdom, 2013

University of Tasmania (2012)

Hobart, Australia, 2012

Australian National University(2012)

Canberra, Australia, 2012

University ofDurham (2012)

Durham, United Kingdom, 2012

The Law Society, London (2011)

London, United Kingdom, 2011

International Symposium on Forecasting, San Diego (2010)

San Diego, United States, 2010

African Econometrics Society, University of Pretoria (2009)

Pretoria, South Africa, 2009

Teaching and supervision

Current teaching responsibilities

  • Industry Expert Lectures in Finance (BE653)

Previous supervision

Muhammad Usman Zafar
Muhammad Usman Zafar
Thesis title: Three Essays on the UK Electricity Market: Risk Premium, Uncertainty of Supply and Forecasting
Degree subject: Finance
Degree type: Doctor of Philosophy
Awarded date: 24/7/2019
Joshgun Mehdiyev
Joshgun Mehdiyev
Thesis title: Different Aspects of Market Liquidity
Degree subject: Finance
Degree type: Doctor of Philosophy
Awarded date: 3/7/2019
Yixin Liao
Yixin Liao
Thesis title: Essays on Comovement
Degree subject: Finance
Degree type: Doctor of Philosophy
Awarded date: 25/3/2019
Marian Stoykov
Marian Stoykov
Thesis title: Three Essays on Bias, Bias Reduction and Estimation in Autoregressive Time Series Models.
Degree subject: Finance
Degree type: Doctor of Philosophy
Awarded date: 19/3/2019
Radu-Dragomir Manac
Radu-Dragomir Manac
Thesis title: Essays in Liquidity and Financial Markets
Degree subject: Finance
Degree type: Doctor of Philosophy
Awarded date: 4/7/2018
Xiaoran Yang
Xiaoran Yang
Thesis title: Essays on Volatility Estimation and Forecasting of Crude Oil Futures
Degree subject: Finance
Degree type: Doctor of Philosophy
Awarded date: 22/5/2017
Melek Akpak Aygul
Melek Akpak Aygul
Thesis title: An Examination of Commodity Derivative Markets: Efficiency, Volatility and Diversification Benefits
Degree subject: Finance
Degree type: Doctor of Philosophy
Awarded date: 29/6/2016
Yousef Makhlouf
Yousef Makhlouf
Thesis title: Essays on Commodities, Terms of Trade and Development
Degree subject: Finance
Degree type: Doctor of Philosophy
Awarded date: 4/8/2015
Handy Getty Tan
Handy Getty Tan
Thesis title: Modelling Duration Dynamic Properties of Ultra-High Frequency Data.
Degree subject: Finance
Degree type: Doctor of Philosophy
Awarded date: 25/6/2015
Daniel Tsvetanov
Daniel Tsvetanov
Thesis title: Essays on Commodity Futures Market
Degree subject: Finance
Degree type: Doctor of Philosophy
Awarded date: 18/3/2015
Norzalina Binti Ahmad
Norzalina Binti Ahmad
Thesis title: Essays on the Crude Palm Oil Futures Market
Degree subject: Finance
Degree type: Doctor of Philosophy
Awarded date: 27/11/2012

Publications

Journal articles (30)

Kellard, N. and Andreou, P., Corporate Environmental Proactivity: Evidence from the European Union’s Emissions Trading System. British Journal of Management

Akyildirim, E., Corbet, S., Katsiampa, P., Kellard, N. and Sensoy, A., (2019). The development of Bitcoin futures: Exploring the interactions between cryptocurrency derivatives. Finance Research Letters

Kellard, NM., Snaith, S. and Ahmad, N., (2018). Open outcry versus electronic trading: tests of market efficiency on crude palm oil futures. Journal of Futures Markets. 38 (6), 673-695

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), 57-70

Makhlouf, Y., Kellard, NM. and Vinogradov, D., (2017). Child mortality, commodity price volatility and the resource curse. Social Science and Medicine. 178 (C), 144-156

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), 84-101

Kellard, NM. and Sliwa, M., (2016). Business and Management impact assessment in REF2014: Analysis and reflection. British Journal of Management. 27 (4), 693-711

Kellard, N. and Taylor, AMR., (2016). Special issue of the Journal of Empirical Finance Guest Editors' introduction. Journal of Empirical Finance. 38 (Part B), 513-515

Coakley, J., Kellard, NM. and Wang, J., (2016). Commodity futures returns: more memory than you might think!. The European Journal of Finance. 22 (14), 1457-1483

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), 1887-1899

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), 516-533

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), 36-54

Makhlouf, Y., Kellard, NM. and Vinogradov, D., (2015). Trade openness, export diversification, and political regimes. Economics Letters. 136 (C), 25-27

Kellard, NM., Osborn, D. and Coakley, J., (2015). Introduction to the JTSA John Nankervis Memorial Issue. Journal of Time Series Analysis. 36 (5), 601-602

Dunis, C., Kellard, NM. and Snaith, S., (2013). Forecasting EUR–USD implied volatility: The case of intraday data. Journal of Banking & Finance. 37 (12), 4943-4957

Snaith, S., Coakley, J. and Kellard, NM., (2013). Does the forward premium puzzle disappear over the horizon?. Journal of Banking & Finance. 37 (9), 3681-3693

Kellard, NM., Nankervis, JC. and Papadimitriou, FI., (2010). Predicting the equity premium with dividend ratios: Reconciling the evidence. Journal of Empirical Finance. 17 (4), 539-551

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), 367-377

Kellard, NM., Dunis, C. and Sarantis, N., (2010). Foreign exchange, fractional cointegration and the implied?realized volatility relation. Journal of Banking & Finance. 34 (4), 882-891

Coakley, J., Dollery, J. and Kellard, NM., (2010). Long memory and structural breaks in commodity futures markets. Journal of Futures Markets. 31 (11), 1076-1113

Kellard, NM. and Sarantis, N., (2008). Can exchange rate volatility explain persistence in the forward premium?. Journal of Empirical Finance. 15 (4), 714-728

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), 405-423

Coakley, J., Dollery, J. and Kellard, NM., (2008). The role of long memory in hedging effectiveness. Computational Statistics & Data Analysis. 52 (6), 3075-3082

Kellard, N., (2006). On the robustness of cointegration tests when assessing market efficiency. Finance Research Letters. 3 (1), 57-64

Kellard, N. and Wohar, ME., (2006). On the prevalence of trends in primary commodity prices. Journal of Development Economics. 79 (1), 146-167

Coakley, J., Kellard, N. and Snaith, S., (2005). The PPP debate: Price matters!. Economics Letters. 88 (2), 209-213

Kellard, N., (2002). Evaluating Commodity Market Efficiency: Are Cointegration Tests Appropriate?. Journal of Agricultural Economics. 53 (3), 513-529

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), 106-121

Kellard, N., Newbold, P., Rayner, T. and Ennew, C., (1999). The relative efficiency of commodity futures markets. Journal of Futures Markets. 19 (4), 413-432

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), 95-111

Book 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. 16- 50. 1138898252. 978-1138898257

Reports and Papers (5)

Kellard, N. and Andreou, P., Corporate Environmental Proactivity: Evidence from the European Union’s Emissions Trading System

Triantafyllou, A., Vlastakis, N. and Kellard, N., (2019). Oil Price Uncertainty and the Macroeconomy

Banti, C., Kellard, N. and Manac, R-D., (2018). Credit Default Swap Spreads: Funding Liquidity Matters!

Kellard, NM., Kontonikas, A., Lamla, MJ., Maiani, S. and Wood, G., (2018). Risk, Financial Stability and FDI

Grants and funding

2014

Smart Data Analytics for Business and Local Government

Economic & Social Research Council

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