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Article

Triantafyllou, Athanasios and Vlastakis, Nikolaos and Kellard, Neil (2025) Forecasting oil price volatility: does oil price uncertainty matter? Journal of Futures Markets, The. (In Press)

Yan, Lili and Kellard, Neil M and Lambercy, Lyudmyla (2025) Multivariate range-based EGARCH models. International Review of Financial Analysis, 100. p. 103983. DOI https://doi.org/10.1016/j.irfa.2025.103983

Sarkisyan, Anna and Kellard, Neil and Makhlouf, Yousef and Vinogradov, Dmitri (2024) Women's Empowerment and Child Mortality. World Development, 183. p. 106712. DOI https://doi.org/10.1016/j.worlddev.2024.106712

Manac, Radu and Banti, Chiara and Kellard, Neil (2024) How does standardization affect OTC markets in the long term? Evidence from the Small Bang reform in the CDS market. Journal of International Financial Markets, Institutions and Money, 96 (Octobe). p. 102043. DOI https://doi.org/10.1016/j.intfin.2024.102043

Kellard, Neil and Kontonikas, Alexandros and Lamla, Michael and Maiani, Stefano and Wood, Geoffrey (2023) Institutional Settings and Financing Green Innovation. Journal of International Financial Markets, Institutions and Money, 89. p. 101853. DOI https://doi.org/10.1016/j.intfin.2023.101853

Makhlouf, Yousef and Kellard, Neil and Vinogradov, Dmitri (2023) What moves commodity terms-of-trade? Evidence from 178 countries. Journal of Commodity Markets, 32. p. 100359. DOI https://doi.org/10.1016/j.jcomm.2023.100359

Astill, Sam and Taylor, AM Robert and Kellard, Neil and Korkos, Ioannis (2023) Using Covariates to Improve the Efficacy of Univariate Bubble Detection Methods. Journal of Empirical Finance, 70. pp. 342-366. DOI https://doi.org/10.1016/j.jempfin.2022.12.008

Liao, Yixin and Coakley, Jerry and Kellard, Neil (2022) Index tracking and beta arbitrage effects in comovement. International Review of Financial Analysis, 83. p. 102330. DOI https://doi.org/10.1016/j.irfa.2022.102330

Ivan, Miruna and Banti, Chiara and Kellard, Neil (2022) Prime Money Market Funds Regulation, Global Liquidity, and the Crude Oil Market. Journal of International Money and Finance, 127. p. 102671. DOI https://doi.org/10.1016/j.jimonfin.2022.102671

Zafar, Usman and Kellard, Neil and Vinogradov, Dmitri (2022) Multi-Stage Optimization Filter for Trend Based Short-Term Forecasting. Journal of Forecasting, 41 (2). pp. 345-360. DOI https://doi.org/10.1002/for.2810

Kellard, Neil and Kontonikas, Alexandros and Lamla, Michael and Maiani, Stefano and Wood, Geoffrey (2022) Risk, Financial Stability and FDI. Journal of International Money and Finance, 120. p. 102232. DOI https://doi.org/10.1016/j.jimonfin.2020.102232

Kellard, Neil M and Kontonikas, Alexandros and Lamla, Michael and Maiani, Stefano (2022) Deal or No Deal? Modelling the Impact of Brexit Uncertainty on UK Private Equity Activity. British Journal of Management, 33 (1). pp. 46-68. DOI https://doi.org/10.1111/1467-8551.12479

Kellard, Neil and Andreou, Panayiotis (2021) Corporate Environmental Proactivity: Evidence from the European Union’s Emissions Trading System. British Journal of Management, 32 (3). pp. 630-647. DOI https://doi.org/10.1111/1467-8551.12356

Makhlouf, Yousef and Kellard, Neil and Vinogradov, Dmitri (2020) Finance-Inequality Nexus: the long and the short of it. Economic Inquiry, 58 (4). pp. 1977-1994. DOI https://doi.org/10.1111/ecin.12918

Kellard, Neil and Jiang, Ying and Liu, Xiaoquan (2020) Night trading and market quality: Evidence from Chinese and U.S. precious metal futures markets. Journal of Futures Markets, 40 (10). pp. 1486-1507. DOI https://doi.org/10.1002/fut.22147

Kellard, Neil M and Snaith, Stuart and Ahmad, Norzalina (2018) Open outcry versus electronic trading: tests of market efficiency on crude palm oil futures. Journal of Futures Markets, 38 (6). pp. 673-695. DOI https://doi.org/10.1002/fut.21899

Makhlouf, Y and Kellard, NM and Vinogradov, D (2017) Child mortality, commodity price volatility and the resource curse. Social Science and Medicine, 178 (C). pp. 144-156. DOI https://doi.org/10.1016/j.socscimed.2017.01.063

Kellard, NM and Millo, Y and Simon, J and Engel, O (2017) Close Communications: Hedge Funds, Brokers and the Emergence of Herding. British Journal of Management, 28 (1). pp. 84-101. DOI https://doi.org/10.1111/1467-8551.12158

Harvey, David I and Kellard, Neil M and Madsen, Jakob B and Wohar, Mark E (2017) Long-Run Commodity Prices, Economic Growth, and Interest Rates: 17th Century to the Present Day. World Development, 89 (C). pp. 57-70. DOI https://doi.org/10.1016/j.worlddev.2016.07.012

Tsvetanov, Daniel and Coakley, Jerry and Kellard, Neil (2016) Is news related to GDP growth a risk factor for commodity futures returns? Quantitative Finance, 16 (12). pp. 1887-1899. DOI https://doi.org/10.1080/14697688.2016.1211797

Kellard, NM and Sliwa, M (2016) Business and Management impact assessment in REF2014: Analysis and reflection. British Journal of Management, 27 (4). pp. 693-711. DOI https://doi.org/10.1111/1467-8551.12186

Coakley, J and Kellard, NM and Wang, J (2016) Commodity futures returns: more memory than you might think! The European Journal of Finance, 22 (14). pp. 1457-1483. DOI https://doi.org/10.1080/1351847x.2015.1025989

Tsvetanov, D and Coakley, J and Kellard, N (2016) Bubbling over! The behaviour of oil futures along the yield curve. Journal of Empirical Finance, 38 (PB). pp. 516-533. DOI https://doi.org/10.1016/j.jempfin.2015.08.009

Makhlouf, Yousef and Kellard, Neil M and Vinogradov, Dmitri (2015) Trade openness, export diversification, and political regimes. Economics Letters, 136 (C). pp. 25-27. DOI https://doi.org/10.1016/j.econlet.2015.08.031

Kellard, Neil M and Jiang, Ying and Wohar, Mark (2015) Spurious long memory, uncommon breaks and the implied–realized volatility puzzle. Journal of International Money and Finance, 56 (C). pp. 36-54. DOI https://doi.org/10.1016/j.jimonfin.2015.04.003

Kellard, NM and Osborn, D and Coakley, J (2015) Introduction to the JTSA John Nankervis Memorial Issue. Journal of Time Series Analysis, 36 (5). pp. 601-602. DOI https://doi.org/10.1111/jtsa.12127

Dunis, Christian and Kellard, Neil M and Snaith, Stuart (2013) Forecasting EUR–USD implied volatility: The case of intraday data. Journal of Banking & Finance, 37 (12). pp. 4943-4957. DOI https://doi.org/10.1016/j.jbankfin.2013.08.028

Snaith, S and Coakley, J and Kellard, NM (2013) Does the forward premium puzzle disappear over the horizon? Journal of Banking & Finance, 37 (9). pp. 3681-3693. DOI https://doi.org/10.1016/j.jbankfin.2013.06.001

Kellard, Neil M and Nankervis, John C and Papadimitriou, Fotios I (2010) Predicting the equity premium with dividend ratios: Reconciling the evidence. Journal of Empirical Finance, 17 (4). pp. 539-551. DOI https://doi.org/10.1016/j.jempfin.2010.04.002

Harvey, David I and Kellard, Neil M and Madsen, Jakob B and Wohar, Mark E (2010) The Prebisch-Singer Hypothesis: Four Centuries of Evidence. Review of Economics and Statistics, 92 (2). pp. 367-377. DOI https://doi.org/10.1162/rest.2010.12184

Kellard, NM and Dunis, C and Sarantis, N (2010) Foreign exchange, fractional cointegration and the implied?realized volatility relation. Journal of Banking & Finance, 34 (4). pp. 882-891. DOI https://doi.org/10.1016/j.jbankfin.2009.09.017

Coakley, J and Dollery, J and Kellard, NM (2010) Long memory and structural breaks in commodity futures markets. Journal of Futures Markets, 31 (11). pp. 1076-1113. DOI https://doi.org/10.1002/fut.20502

Kellard, NM and Sarantis, N (2008) Can exchange rate volatility explain persistence in the forward premium? Journal of Empirical Finance, 15 (4). pp. 714-728. DOI https://doi.org/10.1016/j.jempfin.2007.10.002

Cerrato, M and Kellard, NM and Sarantis, N (2008) The Purchasing Power Parity Persistence Puzzle: Evidence From Black Market Real Exchange Rates. The Manchester School, 76 (4). pp. 405-423. DOI https://doi.org/10.1111/j.1467-9957.2008.01066.x

Coakley, J and Dollery, J and Kellard, NM (2008) The role of long memory in hedging effectiveness. Computational Statistics & Data Analysis, 52 (6). pp. 3075-3082. DOI https://doi.org/10.1016/j.csda.2007.10.019

Book Section

Kellard, Neil (2021) Hedge Funds and Herding Behaviour. In: The Oxford Handbook of Hedge Funds. Oxford University Press, pp. 191-214. ISBN 9780198840954. Official URL: https://doi.org/10.1093/oxfordhb/9780198840954.013...

Kellard, NM and Harvey, D and Madsen, J and Wohar, M (2018) The Resource Curse, Commodity Prices and Economic Growth. In: Global Commodity Markets and Development Economics. Routledge Studies in Development Economics . Routledge, London and New York, pp. 16-50. ISBN 978-1138898257. Official URL: https://www.routledge.com/9781138898257

Monograph

Fu, Servanna Mianjun and Kellard, Neil and Verousis, Thanos and Kalaitzoglou, Iordanis (2024) High Frequency Trading and Stock Herding. Working Paper. Essex Finance Centre Working Papers. (Unpublished)

Kellard, Neil and Madsen, Jakob B and Snaith, Stuart (2023) Long-Run Movements in Real Exchange Rates: 1264 to 2020. Working Paper. Essex Finance Centre Working Papers. (Unpublished)

Manac, Radu-Dragomir and Banti, Chiara and Kellard, Neil (2021) How does standardization affect OTC markets? Evidence from the Small Bang reform in the CDS market. Working Paper. Essex Finance Centre Working Papers, Colchester, Essex. (Unpublished)

Vlastakis, Nikolaos and Triantafyllou, Athanasios and Kellard, Neil (2020) Measuring Oil Price Shocks. Working Paper. Essex Finance Centre Working Papers, Colchester, Essex. (Unpublished)

Vlastakis, Nikolaos and Triantafyllou, Athanasios and Kellard, Neil (2020) Oil price uncertainty as a predictor of stock market volatility. Working Paper. Essex Finance Centre Working Papers, Colchester. (Unpublished)

Triantafyllou, Athanasios and Vlastakis, Nikolaos and Kellard, Neil (2019) Oil Price Uncertainty and the Macroeconomy. Working Paper. Essex Finance Centre Working Papers, Colchester. (Unpublished)

Kellard, Neil M and Kontonikas, Alexandros and Lamla, Michael J and Maiani, Stefano and Wood, Geoffrey (2018) Risk, Financial Stability and FDI. Working Paper. Essex Finance Centre Working Papers, Colchester.

Banti, Chiara and Kellard, Neil and Manac, Radu-Dragomir (2018) Credit Default Swap Spreads: Funding Liquidity Matters! Working Paper. Essex Finance Centre Working Papers, Colchester.

Snaith, S and Kellard, NM and Ahmad, N (2015) Open outcry versus electronic trading: tests of market efficiency on crude palm oil futures. Working Paper. Essex Finance Centre Working Papers, Colchester.

Book

Śliwa, Martyna and Kellard, Neil (2021) The Research Impact Agenda: Navigating the Impact of Impact. Management Impact . Routledge. ISBN 9780367547493. Official URL: http://doi.org/10.4324/9781003090465