Professor Neil Kellard
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Email
nkellard@essex.ac.uk -
Telephone
+44 (0) 1206 874153
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Location
EBS.3.9, Colchester Campus
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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
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BA (MMU)
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MSc (Warwick)
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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 modelling)
Environment and Sustainability (cap and trade, carbon allowances, corporate governance)
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
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Industry Expert Lectures in Finance (BE653)
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Finance in Practice: Industry Expert Lectures (CF968)
Previous supervision
Degree subject: Finance
Degree type: Doctor of Philosophy
Awarded date: 3/7/2023
Degree subject: Finance
Degree type: Doctor of Philosophy
Awarded date: 2/6/2023
Degree subject: Finance
Degree type: Doctor of Philosophy
Awarded date: 20/9/2022
Degree subject: Finance
Degree type: Doctor of Philosophy
Awarded date: 10/5/2022
Degree subject: Finance
Degree type: Doctor of Philosophy
Awarded date: 1/10/2020
Degree subject: Finance
Degree type: Doctor of Philosophy
Awarded date: 8/7/2020
Degree subject: Finance
Degree type: Doctor of Philosophy
Awarded date: 11/5/2020
Degree type: Master of Science
Awarded date: 16/1/2020
Degree subject: Finance
Degree type: Doctor of Philosophy
Awarded date: 24/7/2019
Degree subject: Finance
Degree type: Doctor of Philosophy
Awarded date: 3/7/2019
Degree subject: Finance
Degree type: Doctor of Philosophy
Awarded date: 25/3/2019
Degree subject: Finance
Degree type: Doctor of Philosophy
Awarded date: 19/3/2019
Degree subject: Finance
Degree type: Doctor of Philosophy
Awarded date: 4/7/2018
Degree subject: Finance
Degree type: Doctor of Philosophy
Awarded date: 22/5/2017
Degree subject: Finance
Degree type: Doctor of Philosophy
Awarded date: 29/6/2016
Degree subject: Finance
Degree type: Doctor of Philosophy
Awarded date: 4/8/2015
Degree subject: Finance
Degree type: Doctor of Philosophy
Awarded date: 25/6/2015
Degree subject: Finance
Degree type: Doctor of Philosophy
Awarded date: 18/3/2015
Degree subject: Finance
Degree type: Doctor of Philosophy
Awarded date: 27/11/2012
Publications
Journal articles (42)
Astill, S., Taylor, AMR., Kellard, N. and Korkos, I., (2023). Using Covariates to Improve the Efficacy of Univariate Bubble Detection Methods. Journal of Empirical Finance. 70, 342-366
Makhlouf, Y., Kellard, N. and Vinogradov, D., (2023). What moves commodity terms-of-trade? Evidence from 178 countries. Journal of Commodity Markets. 32, 100359-100359
Kellard, N., Kontonikas, A., Lamla, M., Maiani, S. and Wood, G., (2023). Institutional Settings and Financing Green Innovation. Journal of International Financial Markets, Institutions and Money. 89, 101853-101853
Makhlouf, Y., Kellard, N. and Vinogradov, D., (2023). Banks, Financial Markets, and Income Inequality. International Journal of Finance and Economics
Kellard, N., Kontonikas, A., Lamla, M., Maiani, S. and Wood, G., (2022). Risk, Financial Stability and FDI. Journal of International Money and Finance. 120, 102232-102232
Zafar, U., Kellard, N. and Vinogradov, D., (2022). Multi-Stage Optimization Filter for Trend Based Short-Term Forecasting. Journal of Forecasting. 41 (2), 345-360
Kellard, NM., Kontonikas, A., Lamla, M. and Maiani, S., (2022). Deal or No Deal? Modelling the Impact of Brexit Uncertainty on UK Private Equity Activity. British Journal of Management. 33 (1), 46-68
Ivan, M., Banti, C. and Kellard, N., (2022). Prime Money Market Funds Regulation, Global Liquidity, and the Crude Oil Market. Journal of International Money and Finance. 127, 102671-102671
Liao, Y., Coakley, J. and Kellard, N., (2022). Index tracking and beta arbitrage effects in comovement. International Review of Financial Analysis. 83, 102330-102330
Kellard, N. and Andreou, P., (2021). Corporate Environmental Proactivity: Evidence from the European Union’s Emissions Trading System. British Journal of Management. 32 (3), 630-647
Akyildirim, E., Corbet, S., Katsiampa, P., Kellard, N. and Sensoy, A., (2020). The development of Bitcoin futures: Exploring the interactions between cryptocurrency derivatives. Finance Research Letters. 34, 101234-101234
Coakley, J., Girardone, C. and Kellard, N., (2020). Banks and financial markets in times of uncertainty. The European Journal of Finance. 26 (10), 893-896
Makhlouf, Y., Kellard, N. and Vinogradov, D., (2020). Finance-Inequality Nexus: the long and the short of it. Economic Inquiry. 58 (4), 1977-1994
Kellard, N., Jiang, Y. and Liu, X., (2020). Night trading and market quality: Evidence from Chinese and U.S. precious metal futures markets. Journal of Futures Markets. 40 (10), 1486-1507
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, N., (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
Books (1)
Śliwa, M. and Kellard, N., (2021). The Research Impact Agenda: Navigating the Impact of Impact. Routledge. 036754749X. 9780367547493
Book chapters (2)
Kellard, N., (2021). Hedge Funds and Herding Behaviour. In: The Oxford Handbook of Hedge Funds. Editors: Cumming, D., Johan, S. and Wood, G., . Oxford University Press. 191- 214. 9780198840954
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 (10)
Sarkisyan, A., Kellard, N., Makhlouf, Y. and Vinogradov, D., Women's Empowerment and Child Mortality
Fu, SM., Kellard, N., Verousis, T. and Kalaitzoglou, I., (2024). High Frequency Trading and Stock Herding
Kellard, N., Madsen, JB. and Snaith, S., (2023). Long-Run Movements in Real Exchange Rates: 1264 to 2020
Manac, R-D., Banti, C. and Kellard, N., (2021). How does standardization affect OTC markets? Evidence from the Small Bang reform in the CDS market
Vlastakis, N., Triantafyllou, A. and Kellard, N., (2020). Oil price uncertainty as a predictor of stock market volatility
Vlastakis, N., Triantafyllou, A. and Kellard, N., (2020). Measuring Oil Price Shocks
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
Snaith, S., Kellard, NM. and Ahmad, N., (2015). Open outcry versus electronic trading: tests of market efficiency on crude palm oil futures
Grants and funding
2021
Above Surveying Ltd KTP3 Application
Innovate UK (formerly Technology Strategy Board)
2020
Methodologist of the Academic Journal Guide.
The Chartered Association of Business Schools (Chartered ABS)
2014
Smart Data Analytics for Business and Local Government
Economic & Social Research Council
Contact
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
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