Mark B. Shackleton : Citation Profile

Are you Mark B. Shackleton?

Lancaster University

11

H index

12

i10 index

457

Citations

RESEARCH PRODUCTION:

40

Articles

4

Papers

RESEARCH ACTIVITY:

   24 years (1998 - 2022). See details.
   Cites by year: 19
   Journals where Mark B. Shackleton has often published
   Relations with other researchers
   Recent citing documents: 54.    Total self citations: 13 (2.77 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/psh172
   Updated: 2023-05-27    RAS profile: 2022-10-05    
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Relations with other researchers

Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Mark B. Shackleton.

Is cited by:

Asai, Manabu (10)

Bollerslev, Tim (8)

Tsekrekos, Andrianos (7)

Andersen, Torben (6)

Sévi, Benoît (5)

Rodrigues, Artur (5)

Hung, Chi-Hsiou (5)

Crisóstomo, Ricardo (5)

Caporin, Massimiliano (5)

Gallo, Giampiero (4)

Prigent, Jean-Luc (4)

Cites to:

merton, robert (18)

Bollerslev, Tim (17)

Fama, Eugene (14)

Andersen, Torben (13)

Pindyck, Robert (12)

Scholes, Myron (12)

Diebold, Francis (11)

Dixit, Avinash (11)

Shiller, Robert (9)

French, Kenneth (9)

Campbell, John (9)

Main data

Where Mark B. Shackleton has published?

Journals with more than one article published# docs
Journal of Banking & Finance12
Journal of Business Finance & Accounting4
Journal of Futures Markets4
Applied Economics Letters3
European Financial Management2
Journal of Economic Behavior & Organization2
European Journal of Operational Research2
Journal of Economic Dynamics and Control2

Working Papers Series with more than one paper published# docs
Cowles Foundation Discussion Papers / Cowles Foundation for Research in Economics, Yale University2

Recent works citing Mark B. Shackleton (2022 and 2021)

YearTitle of citing document
2022Mortgage Contracts and Selective Default. (2020). Robertson, Scott ; Kitapbayev, Yerkin. In: Papers. RePEc:arx:papers:2005.03554.

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2021Liquidity-free implied volatilities: an approach using conic finance. (2021). Spreij, Peter ; Khedher, Asma ; Michielon, Matteo. In: Papers. RePEc:arx:papers:2110.11718.

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2023Explaining Exchange Rate Forecasts with Macroeconomic Fundamentals Using Interpretive Machine Learning. (2023). M. I. M. Wahab, ; Cevik, Mucahit ; Neghab, Davood Pirayesh. In: Papers. RePEc:arx:papers:2303.16149.

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2021Meta?analysis of the Impact of Adoption of IFRS on Financial Reporting Comparability, Market Liquidity, and Cost of Capital. (2021). van Zijl, Tony ; Houqe, Muhammad Nurul ; Opare, Solomon. In: Abacus. RePEc:bla:abacus:v:57:y:2021:i:3:p:502-556.

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2021The profitability of trading on large Lévy jumps. (2021). Pan, Zheyao ; Gray, Phil ; Chan, Kam Fong. In: International Review of Finance. RePEc:bla:irvfin:v:21:y:2021:i:2:p:627-635.

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2021Distributed Renewable Power Generation and Implications for Capacity Investment and Electricity Prices. (2021). Angelus, Alexandar. In: Production and Operations Management. RePEc:bla:popmgt:v:30:y:2021:i:12:p:4614-4634.

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2021Valuing Real Options in the Volatile Real World. (2021). Wang, Tianyang ; Dyer, James S ; Harikae, Seiji. In: Production and Operations Management. RePEc:bla:popmgt:v:30:y:2021:i:1:p:171-189.

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2021A Welfare Analysis on Start-Up Decisions under Default Risk. (2021). Vergalli, Sergio ; Panteghini, Paolo ; Comincioli, Nicola. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9478.

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2021Pioneer, Early Follower or Late Entrant: Entry Dynamics with Learning and Market Competition. (2021). Ishida, Junichiro ; Mukherjee, Arijit ; Chen, Chia-Hui. In: ISER Discussion Paper. RePEc:dpr:wpaper:1132.

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2022Real options, risk aversion and markets: A corporate finance perspective. (2022). Ewald, Christian-Oliver ; Taub, Bart. In: Journal of Corporate Finance. RePEc:eee:corfin:v:72:y:2022:i:c:s0929119922000074.

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2022Investment timing, capacity choice and optimal floors and ceilings. (2022). Pereira, Paulo J ; Rodrigues, Artur ; Paxson, Dean. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:139:y:2022:i:c:s0165188922001324.

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2021Jump Interdependencies: Stochastic linkages among international stock markets. (2021). Prasanna, Krishna ; Kshatriya, Saranya. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000528.

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2022Forecasting risk measures using intraday and overnight information. (2022). Candido, Osvaldo ; Tofoli, Paula V ; Santos, Douglas G. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:60:y:2022:i:c:s1062940822000250.

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2023Pioneer, early follower or late entrant: Entry dynamics with learning and market competition. (2023). Ishida, Junichiro ; Mukherjee, Arijit ; Chen, Chia-Hui. In: European Economic Review. RePEc:eee:eecrev:v:152:y:2023:i:c:s0014292122002409.

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2021Optimal decision policy for real options under general Markovian dynamics. (2021). Sainz, Felipe ; Naranjo, Lorenzo ; Cortazar, Gonzalo. In: European Journal of Operational Research. RePEc:eee:ejores:v:288:y:2021:i:2:p:634-647.

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2021A dynamic model for venture capitalists’ entry–exit investment decisions. (2021). Pereira, Paulo J ; Ferreira, Ricardo M. In: European Journal of Operational Research. RePEc:eee:ejores:v:290:y:2021:i:2:p:779-789.

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2022Trade credit contracts: Design and regulation. (2022). Moraux, Franck ; Silaghi, Florina. In: European Journal of Operational Research. RePEc:eee:ejores:v:296:y:2022:i:3:p:980-992.

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2023The contribution of jump signs and activity to forecasting stock price volatility. (2023). Murphy, Anthony ; Izzeldin, Marwan ; Hizmeri, Rodrigo ; Bu, Ruijun ; Tsionas, Mike. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:144-164.

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2023A jumping index of jumping stocks? An MCMC analysis of continuous-time models for individual stocks. (2023). Seeger, Norman J ; Schlag, Christian ; Rodrigues, Paulo ; Pollastri, Alessandro. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:322-341.

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2021Risk premia in electricity derivatives markets. (2021). Leccadito, Arturo ; Algieri, Bernardina ; Tunaru, Diana. In: Energy Economics. RePEc:eee:eneeco:v:100:y:2021:i:c:s014098832100205x.

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2021Post-split underreaction: The importance of prior split history. (2021). Walker, Scott. In: International Review of Financial Analysis. RePEc:eee:finana:v:78:y:2021:i:c:s1057521921002660.

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2022Beyond the blockchain announcement: Signaling credibility and market reaction. (2022). Chen, Ka-Hin ; Lai, Tze Leung ; Liu, Qingfu ; Wang, Chuanjie. In: International Review of Financial Analysis. RePEc:eee:finana:v:82:y:2022:i:c:s1057521922001703.

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2022Futures volatility forecasting based on big data analytics with incorporating an order imbalance effect. (2022). Zhang, Yongmin ; Cui, Tianxiang ; Ding, Shusheng. In: International Review of Financial Analysis. RePEc:eee:finana:v:83:y:2022:i:c:s1057521922002137.

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2022Using implied volatility jumps for realized volatility forecasting: Evidence from the Chinese market. (2022). Chen, Pengzhan ; Wu, Bin ; Xia, Wenjing ; Ye, Wuyi. In: International Review of Financial Analysis. RePEc:eee:finana:v:83:y:2022:i:c:s1057521922002320.

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2023Climate risks and realized volatility of major commodity currency exchange rates. (2023). GUPTA, RANGAN ; Pierdzioch, Christian ; Cepni, Oguzhan ; Bonato, Matteo. In: Journal of Financial Markets. RePEc:eee:finmar:v:62:y:2023:i:c:s1386418122000519.

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2022Do large-cap exchange-traded funds perform better than their small-cap counterparts in extreme market conditions??. (2022). Valadkhani, Abbas. In: Global Finance Journal. RePEc:eee:glofin:v:53:y:2022:i:c:s104402832200045x.

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2021Prepayment risk in reverse mortgages: An intensity-governed surrender model. (2021). Lee, Yung-Tsung ; Shi, Tianxiang. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:98:y:2021:i:c:p:68-82.

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2023Discovering the drivers of stock market volatility in a data-rich world. (2023). Ryu, Doojin ; Cho, Hoon ; Chun, Dohyun. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:82:y:2023:i:c:s1042443122001561.

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2022Forecasting: theory and practice. (2022). Shang, Han Lin ; Rubaszek, Michał ; Martinez, Andrew ; Grossi, Luigi ; Franses, Philip Hans ; Fiszeder, Piotr ; Clements, Michael ; Castle, Jennifer ; Carnevale, Claudio ; Kolassa, Stephan ; Thorarinsdottir, Thordis ; Guo, Xiaojia ; Reade, James J ; Petropoulos, Fotios ; Nikolopoulos, Konstantinos ; Koehler, Anne B ; Thomakos, Dimitrios ; Browell, Jethro ; Rapach, David E ; Modis, Theodore ; Kang, Yanfei ; Tashman, Len ; Boylan, John E ; Gunter, Ulrich ; Ramos, Patricia ; Ellison, Joanne ; Meeran, Sheik ; Richmond, Victor ; Talagala, Thiyanga S ; Bijak, Jakub ; Guidolin, Massimo ; Pinson, Pierre ; Dokumentov, Alexander ; Jeon, Jooyoung ; Bessa, Ricardo J ; Pedregal, Diego J ; de Baets, Shari ; Ziel, Florian ; Syntetos, Aris A ; Bergmeir, Christoph
2022Weighted Least Squares Realized Covariation Estimation. (2022). Xu, QI ; Voev, Valeri ; Vasios, Michalis ; Nolte, Ingmar ; Li, Yifan. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:137:y:2022:i:c:s0378426622000206.

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2022News as sources of jumps in stock returns: Evidence from 21 million news articles for 9000 companies. (2022). McCurdy, Thomas ; Zhao, Xiaofei ; Jeon, Yoontae. In: Journal of Financial Economics. RePEc:eee:jfinec:v:145:y:2022:i:2:p:1-17.

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2022Medium-term and long-term volatility forecasts for EUA futures with country-specific economic policy uncertainty indices. (2022). Umar, Muhammad ; Guo, Xiaozhu ; Luo, Qin ; Zhang, Lixia. In: Resources Policy. RePEc:eee:jrpoli:v:77:y:2022:i:c:s0301420722000939.

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2021Cojump risks and their impacts on option pricing. (2021). Liao, Szu-Lang ; Chen, Jun-Home ; Lian, Yu-Min. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:79:y:2021:i:c:p:399-410.

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2021Implied volatility of structured warrants: Emerging market evidence. (2021). Sifat, Imtiaz Mohammad ; Mohamad, Azhar ; Murad, Najmi Ismail. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:80:y:2021:i:c:p:464-479.

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2021Modeling realized volatility of the EUR/USD exchange rate: Does implied volatility really matter?. (2021). Lyocsa, Tefan ; Plihal, Toma. In: International Review of Economics & Finance. RePEc:eee:reveco:v:71:y:2021:i:c:p:811-829.

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2021Hedge Accounting and Firms’ Future Investment Spending. (2021). Mazzi, Francesco ; Kress, Andreas ; Hartlieb, Sven ; Eierle, Brigitte. In: Working Papers - Business. RePEc:frz:wpmmos:wp2021_01.rdf.

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2021A Contract Theory Approach to Islamic Financial Securities with an Application to Diminishing Mush?rakah. (2021). Arbi, Lukman Hanif. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:1:p:17-:d:473718.

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2021An Open Innovation Intraday Implied Volatility for Pricing Australian Dollar Options. (2021). Hassan, Kamrul ; Hoque, Ariful ; Le, Thi. In: JOItmC. RePEc:gam:joitmc:v:7:y:2021:i:1:p:23-:d:477544.

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2022Valuation of Reverse Mortgages with Surrender: A Utility Approach. (2022). Shi, Tianxiang ; Lee, Yung-Tsung. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:65:y:2022:i:4:d:10.1007_s11146-021-09869-7.

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2021The Contribution of Jump Signs and Activity to Forecasting Stock Price Volatility. (2021). Izzeldin, Marwan ; Hizmeri, Rodrigo ; Bu, Ruijun ; Tsionas, Mike G ; Murphy, Anthony. In: Working Papers. RePEc:liv:livedp:202109.

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2022Housing Consumption and Investment: Evidence from Shared Equity Mortgages. (2022). Garbarinoifo, Nicola ; Cocco, Joo F ; Bracke, Philippe ; Benetton, Matteo. In: Review of Financial Studies. RePEc:oup:rfinst:v:35:y:2022:i:8:p:3525-3573..

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2021Volatility in the stock market: ANN versus parametric models. (2021). Clementi, Daniele ; Decclesia, Rita Laura. In: Annals of Operations Research. RePEc:spr:annopr:v:299:y:2021:i:1:d:10.1007_s10479-019-03374-0.

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2021Re-evaluating natural resource investments under uncertainty: An alternative to limited traditional approaches. (2021). Maier, Sebastian. In: Annals of Operations Research. RePEc:spr:annopr:v:299:y:2021:i:1:d:10.1007_s10479-020-03569-w.

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2021Can the Baidu Index predict realized volatility in the Chinese stock market?. (2021). Shen, Dehua ; Yan, Kai ; Zhang, Wei. In: Financial Innovation. RePEc:spr:fininn:v:7:y:2021:i:1:d:10.1186_s40854-020-00216-y.

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2021Estimating the proportion of informed and speculative traders in financial markets: evidence from exchange rate. (2021). Tsai, Chi-Ming . In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:16:y:2021:i:3:d:10.1007_s11403-020-00308-z.

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2022Optimal Entry and Exit Decisions Under Uncertainty and the Impact of Mean Reversion. (2022). Tvedt, Jostein. In: SN Operations Research Forum. RePEc:spr:snopef:v:3:y:2022:i:4:d:10.1007_s43069-022-00161-9.

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2021Investors trading behaviour and stock market volatility during crisis periods: A dual long?memory model for the Korean Stock Exchange. (2021). Kartsaklas, Aris ; Yfanti, Stavroula ; Karanasos, Menelaos ; Caporale, Guglielmo Maria. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:3:p:4441-4461.

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2021An empirical study on the role of trading volume and data frequency in volatility forecasting. (2021). Lee, Chien-Chiang ; Choo, Weichong ; Liu, Min. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:5:p:792-816.

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2021Forecasting realized volatility: The role of implied volatility, leverage effect, overnight returns, and volatility of realized volatility. (2021). Tsakou, Katerina ; McMillan, David G ; Kambouroudis, Dimos S. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:10:p:1618-1639.

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2021Estimating real?world probabilities: A forward?looking behavioral framework. (2021). Crisostomo, Ricardo . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:11:p:1797-1823.

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2021Optimal portfolio allocation using option?implied information. (2021). Strittmatter, Marius ; Olmo, Jose ; Kyriacou, Maria. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:2:p:266-285.

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2021Preemptive competition between two firms with different discount rates. (2021). Nishihara, Michi. In: Managerial and Decision Economics. RePEc:wly:mgtdec:v:42:y:2021:i:3:p:675-687.

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2021Strategic introduction of a new product under uncertainty: A duopoly case. (2021). Terrazassantamaria, Diana. In: Managerial and Decision Economics. RePEc:wly:mgtdec:v:42:y:2021:i:4:p:796-807.

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2021Staffing many?server queues with autoregressive inputs. (2021). Liu, Yunan ; Sun, XU. In: Naval Research Logistics (NRL). RePEc:wly:navres:v:68:y:2021:i:3:p:312-326.

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Works by Mark B. Shackleton:

YearTitleTypeCited
2012Evaluating Natural Resource Investments under Different Model Dynamics: Managerial Insights In: European Financial Management.
[Full Text][Citation analysis]		article10
2020NAV inflation and impact on performance in China In: European Financial Management.
[Full Text][Citation analysis]		article0
2014The Option and Decision to Repurchase Stock In: Financial Management.
[Full Text][Citation analysis]		article0
1998Discussion Of Arbitrage?Free Valuation of Exhaustible Resource Firms In: Journal of Business Finance & Accounting.
[Full Text][Citation analysis]		article0
2002The Expected Return and Exercise Time of Merton?style Real Options In: Journal of Business Finance & Accounting.
[Full Text][Citation analysis]		article14
2004CAPM, Higher Co?moment and Factor Models of UK Stock Returns In: Journal of Business Finance & Accounting.
[Full Text][Citation analysis]		article25
2007Generalised Geske??Johnson Interpolation of Option Prices In: Journal of Business Finance & Accounting.
[Full Text][Citation analysis]		article1
2011Continuous Workout Mortgages In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper6
2011Continuous Workout Mortgages.(2011) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6		paper
2017Continuous Workout Mortgages: Efficient Pricing and Systemic Implications In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper2
2019Continuous Workout Mortgages: Efficient pricing and systemic implications.(2019) In: Journal of Economic Behavior & Organization.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		article
2008Distinguishing short and long memory volatility specifications In: Econometrics Journal.
[Full Text][Citation analysis]		article5
2007Finite maturity caps and floors on continuous flows In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article16
2010Harvesting and recovery decisions under uncertainty In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article3
2005Smooth pasting as rate of return equalization In: Economics Letters.
[Full Text][Citation analysis]		article13
2006How real option disinvestment flexibility augments project NPV In: European Journal of Operational Research.
[Full Text][Citation analysis]		article17
2011Hysteresis effects under CIR interest rates In: European Journal of Operational Research.
[Full Text][Citation analysis]		article7
2020Buyback behaviour and the option funding hypothesis In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article0
2022What drives a firms ES performance? Evidence from stock returns In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article0
2000Valuing the strategic option to sell life insurance business: Theory and evidence In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article0
2004Forecasting currency volatility: A comparison of implied volatilities and AR(FI)MA models In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article130
2004Strategic entry and market leadership in a two-player real options game In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article20
2007Closed-form transformations from risk-neutral to real-world distributions In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article42
2008Surprise vs anticipated information announcements: Are prices affected differently? An investigation in the context of stock splits In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article9
2010A multi-horizon comparison of density forecasts for the S&P 500 using index returns and option prices In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article30
2011Participating mortgages and the efficiency of financial intermediation In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article5
2011Omitted debt risk, financial distress and the cross-section of expected equity returns In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article1
2014Cojumps in stock prices: Empirical evidence In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article43
2016Reducing the impact of real estate foreclosures with Amortizing Participation Mortgages In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article4
2013Mitigating financial fragility with Continuous Workout Mortgages In: Journal of Economic Behavior & Organization.
[Full Text][Citation analysis]		article13
2013Hedging efficiency in the Greek options market before and after the financial crisis of 2008 In: Journal of Multinational Financial Management.
[Full Text][Citation analysis]		article1
2015Stock-return volatility and daily equity trading by investor groups in Korea In: Pacific-Basin Finance Journal.
[Full Text][Citation analysis]		article8
2016Option-Implied Volatility Measures and Stock Return Predictability In: Post-Print.
[Citation analysis]		paper5
2003The simplest American and Real Option approximations: Geske-Johnson interpolation in maturity and yield In: Applied Economics Letters.
[Full Text][Citation analysis]		article2
2009Empirical pricing kernels obtained from the UK index options market In: Applied Economics Letters.
[Full Text][Citation analysis]		article3
2001On the expected payoff and true probability of exercise of European options In: Applied Economics Letters.
[Full Text][Citation analysis]		article2
2005On the use and improvement of Hull and Whites control variate technique In: Applied Financial Economics.
[Full Text][Citation analysis]		article0
2009Durable vs. disposable equipment choice under interest rate uncertainty In: The European Journal of Finance.
[Full Text][Citation analysis]		article0
2004Pricing options with American-style average reset features In: Quantitative Finance.
[Full Text][Citation analysis]		article2
2013Corporate Risk Management and Hedge Accounting In: Contemporary Accounting Research.
[Full Text][Citation analysis]		article9
2002The Binomial Black–Scholes model and the Greeks In: Journal of Futures Markets.
[Full Text][Citation analysis]		article2
2005On the errors and comparison of Vega estimation methods In: Journal of Futures Markets.
[Full Text][Citation analysis]		article0
2010Efficient quadrature and node positioning for exotic option valuation In: Journal of Futures Markets.
[Full Text][Citation analysis]		article2
2016Asymmetric Effects of Volatility Risk on Stock Returns: Evidence from VIX and VIX Futures In: Journal of Futures Markets.
[Full Text][Citation analysis]		article5

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