Mark B. Shackleton : Citation Profile


Are you Mark B. Shackleton?

Lancaster University

9

H index

8

i10 index

295

Citations

RESEARCH PRODUCTION:

35

Articles

4

Papers

RESEARCH ACTIVITY:

   19 years (1998 - 2017). See details.
   Cites by year: 15
   Journals where Mark B. Shackleton has often published
   Relations with other researchers
   Recent citing documents: 46.    Total self citations: 7 (2.32 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/psh172
   Updated: 2018-08-11    RAS profile: 2018-07-11    
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Relations with other researchers


Works with:

Umutlu, Mehmet (2)

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

Is cited by:

McAleer, Michael (13)

Asai, Manabu (13)

Bollerslev, Tim (8)

Tsekrekos, Andrianos (8)

Andersen, Torben (6)

Sévi, Benoît (5)

Caporin, Massimiliano (5)

Hung, Chi-Hsiou (5)

Alvarez, Luis (4)

ORNELAS, JOSE (4)

Clements, Adam (4)

Cites to:

Bollerslev, Tim (17)

Andersen, Torben (14)

merton, robert (14)

Dixit, Avinash (11)

Wojakowski, Rafal (11)

Pindyck, Robert (11)

Diebold, Francis (11)

Shiller, Robert (10)

Scholes, Myron (10)

Fama, Eugene (10)

Campbell, John (9)

Main data


Where Mark B. Shackleton has published?


Journals with more than one article published# docs
Journal of Banking & Finance10
Journal of Futures Markets4
Journal of Business Finance & Accounting4
Applied Economics Letters3
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 (2018 and 2017)


YearTitle of citing document
2018Matching distributions: Asset pricing with density shape correction. (2018). Talponen, Jarno . In: Papers. RePEc:arx:papers:1312.4227.

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2017Do co-jumps impact correlations in currency markets?. (2017). Vacha, Lukas ; Baruník, Jozef ; Barunik, Jozef. In: Papers. RePEc:arx:papers:1602.05489.

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2018Financial density forecasts: A comprehensive comparison of risk-neutral and historical schemes. (2018). Crisóstomo, Ricardo ; Couso, Lorena. In: Papers. RePEc:arx:papers:1801.08007.

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2017The discontinuation of the EUR/CHF minimum exchange rate in January 2015: was it expected?. (2017). Moessner, Richhild ; Funke, Michael ; Loermann, Julius . In: BIS Working Papers. RePEc:bis:biswps:652.

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2017The information content in the offshore Renminbi foreign-exchange option market : Analytics and implied USD/CNH densities. (2017). Funke, Michael ; Tsang, Andrew ; Loermann, Julius . In: BOFIT Discussion Papers. RePEc:bof:bofitp:2017_015.

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2018Order Invariant Tests for Proper Calibration of Multivariate Density Forecasts. (2018). Dovern, Jonas ; Manner, Hans. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7023.

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2017Implicit probability distribution for WTI options: The Black Scholes vs. the semi-nonparametric approach. (2017). Perote, Javier ; Mora-Valencia, Andrés ; Cortés, Lina ; Cortes, Lina M. In: DOCUMENTOS DE TRABAJO CIEF. RePEc:col:000122:015923.

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2017Continuous Workout Mortgages: Efficient Pricing and Systemic Implications. (2017). Shiller, Robert J ; Shackleton, Mark B ; Ebrahim, Shahid M ; Wojakowski, Rafal M. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:3016.

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2017A structural model to study the bail-out process in a bank and its macro-prudential policy implications. (2017). Correia, Ricardo ; Poblacion, Francisco Javier ; Dubiel-Teleszynski, Tomasz Piotr. In: Working Paper Series. RePEc:ecb:ecbwps:20172110.

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2017Efficient non-cooperative bargaining despite keeping strategic information private. (2017). Lukas, Elmar ; Welling, Andreas . In: Journal of Corporate Finance. RePEc:eee:corfin:v:42:y:2017:i:c:p:287-294.

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2018Model Complexity and Out-of-Sample Performance: Evidence from S&P 500 Index Returns. (2018). Kaeck, Andreas ; Seeger, Norman J ; Rodrigues, Paulo. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:90:y:2018:i:c:p:1-29.

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2018Convenience yield, realised volatility and jumps: Evidence from non-ferrous metals. (2018). Omura, Akihiro ; Todorova, Neda ; Chung, Richard ; Li, Bin. In: Economic Modelling. RePEc:eee:ecmode:v:70:y:2018:i:c:p:496-510.

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2017Realized stochastic volatility with general asymmetry and long memory. (2017). McAleer, Michael ; Chang, Chia-Lin ; Asai, Manabu. In: Journal of Econometrics. RePEc:eee:econom:v:199:y:2017:i:2:p:202-212.

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2018Universal recurrence algorithm for computing Nuttall, generalized Marcum and incomplete Toronto functions and moments of a noncentral χ2 random variable. (2018). Dias, Jose Carlos ; Vidal, Joo Pedro. In: European Journal of Operational Research. RePEc:eee:ejores:v:265:y:2018:i:2:p:559-570.

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2018Real Options in Operations Research: A Review. (2018). Tsekrekos, Andrianos ; Trigeorgis, Lenos. In: European Journal of Operational Research. RePEc:eee:ejores:v:270:y:2018:i:1:p:1-24.

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2017Systematic cojumps, market component portfolios and scheduled macroeconomic announcements. (2017). Neely, Christopher ; Chan, Kam Fong ; Bowman, Robert G. In: Journal of Empirical Finance. RePEc:eee:empfin:v:43:y:2017:i:c:p:43-58.

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2018The decomposition of jump risks in individual stock returns. (2018). Xiao, Xiao ; Zhou, Chen. In: Journal of Empirical Finance. RePEc:eee:empfin:v:47:y:2018:i:c:p:207-228.

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2018Forecasting the oil futures price volatility: Large jumps and small jumps. (2018). Liu, Jing ; Zhang, Yaojie ; Yang, KE ; Ma, Feng. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:321-330.

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2018Feed-in tariffs with minimum price guarantees and regulatory uncertainty. (2018). Barbosa, Luciana ; Sardinha, Alberto ; Rodrigues, Artur ; Ferro, Paulo. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:517-541.

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2017Trading of foreign investors and stock returns in an emerging market - Evidence from Vietnam. (2017). Vo, Xuan Vinh. In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:88-93.

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2018Do spillover effects between crude oil and natural gas markets disappear? Evidence from option markets. (2018). Zhu, Fangfei ; Luo, Xingguo ; Jin, Xuejun . In: Finance Research Letters. RePEc:eee:finlet:v:24:y:2018:i:c:p:25-33.

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2018Do co-jumps impact correlations in currency markets?. (2018). Vacha, Lukas ; Baruník, Jozef ; Barunik, Jozef. In: Journal of Financial Markets. RePEc:eee:finmar:v:37:y:2018:i:c:p:97-119.

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2017An analysis of the literature on systemic financial risk: A survey. (2017). Silva, Walmir ; Sobreiro, Vinicius Amorim ; Kimura, Herbert. In: Journal of Financial Stability. RePEc:eee:finsta:v:28:y:2017:i:c:p:91-114.

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2018Multiple days ahead realized volatility forecasting: Single, combined and average forecasts. (2018). Degiannakis, Stavros. In: Global Finance Journal. RePEc:eee:glofin:v:36:y:2018:i:c:p:41-61.

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2017Forecasting the variance of stock index returns using jumps and cojumps. (2017). Liao, Yin ; Clements, Adam. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:3:p:729-742.

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2017Volatility measures and Value-at-Risk. (2017). Bams, Dennis ; Blanchard, Gildas ; Lehnert, Thorsten. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:4:p:848-863.

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2017The odd notion of “reversible investment”. (2017). Davis, Graham ; Cairns, Robert. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:81:y:2017:i:c:p:172-180.

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2017Announcing the announcement. (2017). Boulland, Romain ; Dessaint, Olivier. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:82:y:2017:i:c:p:59-79.

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2018Non-compete covenants, litigation and garden leaves. (2018). Azevedo, Alcino ; Rodrigues, Artur ; Pereira, Paulo J. In: Journal of Business Research. RePEc:eee:jbrese:v:88:y:2018:i:c:p:197-211.

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2017Systemic co-jumps. (2017). Caporin, Massimiliano ; Reno, Roberto ; Kolokolov, Aleksey . In: Journal of Financial Economics. RePEc:eee:jfinec:v:126:y:2017:i:3:p:563-591.

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2017Economic risks associated with deep change in technology, and their mitigation. (2017). Shiller, Robert J. In: Journal of Policy Modeling. RePEc:eee:jpolmo:v:39:y:2017:i:4:p:616-624.

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2017Computation of Greeks in jump-diffusion models using discrete Malliavin calculus. (2017). Muroi, Yoshifumi ; Suda, Shintaro . In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:140:y:2017:i:c:p:69-93.

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2017The impact of foreign equity flows on market volatility during politically tranquil and turbulent times: The Egyptian experience. (2017). Ahmed, Walid. In: Research in International Business and Finance. RePEc:eee:riibaf:v:40:y:2017:i:c:p:61-77.

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2017Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory. (2017). McAleer, Michael ; Asai, Manabu ; Peiris, S. In: Econometric Institute Research Papers. RePEc:ems:eureir:102576.

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2017Systematic Cojumps, Market Component Portfolios and Scheduled Macroeconomic Announcements. (2017). Neely, Christopher ; Bowman, Robert G ; Chan, Kam Fong. In: Working Papers. RePEc:fip:fedlwp:2017-011.

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2017An Empirical Examination of the Incremental Contribution of Stock Characteristics in UK Stock Returns. (2017). Fletcher, Jonathan. In: International Journal of Financial Studies. RePEc:gam:jijfss:v:5:y:2017:i:4:p:21-:d:114588.

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2017Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models. (2017). McAleer, Michael ; Asai, Manabu ; Peiris, Shelton. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:10:y:2017:i:4:p:23-:d:122610.

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2018Housing Market Bubbles and Mortgage Contract Design: Implications for Mortgage Lenders and Households. (2018). Poitras, Geoffrey ; Zanotti, Giovanna . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:3:p:42-:d:158481.

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2018Order Invariant Tests for Proper Calibration of Multivariate Density Forecasts. (2018). Dovern, Jonas ; Manner, Hans. In: Graz Economics Papers. RePEc:grz:wpaper:2018-09.

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2017The contribution of jumps to forecasting the density of returns. (2017). Sévi, Benoît ; Ielpo, Florian ; Sevi, Benoit ; Chorro, Christophe . In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-01442618.

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2017The contribution of jumps to forecasting the density of returns. (2017). Sévi, Benoît ; Ielpo, Florian ; Sevi, Benoit ; Chorro, Christophe . In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:17006.

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2018Short-term price density forecasts in the lean hog futures market. (2018). Trujillo-Barrera, Andres ; Mallory, Mindy L ; Garcia, Philip. In: European Review of Agricultural Economics. RePEc:oup:erevae:v:45:y:2018:i:1:p:121-142..

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2018Testing for Co-jumps in Financial Markets. (2018). Novotn, Jan ; Urga, Giovanni. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:16:y:2018:i:1:p:118-128..

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2017Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory. (2017). McAleer, Michael ; Asai, Manabu ; Peiris, Shelton. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20170105.

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2017Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory. (2017). McAleer, Michael ; Asai, Manabu ; Peiris, Shelton. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1726.

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2017A Game Theoretical Real Options Framework for Investment Decisions in Mobile TV Infrastructure. (2017). Razzac, Amal Abdel ; Chahed, Tijani ; Hayel, Yezekael ; Elayoubi, Salah Eddine ; Salahaldin, Linda . In: Asia-Pacific Journal of Operational Research (APJOR). RePEc:wsi:apjorx:v:34:y:2017:i:04:n:s0217595917500142.

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Works by Mark B. Shackleton:


YearTitleTypeCited
2014The Option and Decision to Repurchase Stock In: Financial Management.
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article0
1998Discussion Of Arbitrage-Free Valuation of Exhaustible Resource Firms In: Journal of Business Finance & Accounting.
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article0
2002The Expected Return and Exercise Time of Merton-style Real Options In: Journal of Business Finance & Accounting.
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article15
2004CAPM, Higher Co-moment and Factor Models of UK Stock Returns In: Journal of Business Finance & Accounting.
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article22
2007Generalised Geske--Johnson Interpolation of Option Prices In: Journal of Business Finance & Accounting.
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article2
2011Continuous Workout Mortgages In: Cowles Foundation Discussion Papers.
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paper3
2011Continuous Workout Mortgages.(2011) In: NBER Working Papers.
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This paper has another version. Agregated cites: 3
paper
2017Continuous Workout Mortgages: Efficient Pricing and Systemic Implications In: Cowles Foundation Discussion Papers.
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paper0
2008Distinguishing short and long memory volatility specifications In: Econometrics Journal.
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article5
2007Finite maturity caps and floors on continuous flows In: Journal of Economic Dynamics and Control.
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article9
2010Harvesting and recovery decisions under uncertainty In: Journal of Economic Dynamics and Control.
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article3
2005Smooth pasting as rate of return equalization In: Economics Letters.
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article7
2006How real option disinvestment flexibility augments project NPV In: European Journal of Operational Research.
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article11
2011Hysteresis effects under CIR interest rates In: European Journal of Operational Research.
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article4
2000Valuing the strategic option to sell life insurance business: Theory and evidence In: Journal of Banking & Finance.
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article0
2004Forecasting currency volatility: A comparison of implied volatilities and AR(FI)MA models In: Journal of Banking & Finance.
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article96
2004Strategic entry and market leadership in a two-player real options game In: Journal of Banking & Finance.
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article11
2007Closed-form transformations from risk-neutral to real-world distributions In: Journal of Banking & Finance.
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article33
2008Surprise vs anticipated information announcements: Are prices affected differently? An investigation in the context of stock splits In: Journal of Banking & Finance.
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article4
2010A multi-horizon comparison of density forecasts for the S&P 500 using index returns and option prices In: Journal of Banking & Finance.
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article20
2011Participating mortgages and the efficiency of financial intermediation In: Journal of Banking & Finance.
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article2
2011Omitted debt risk, financial distress and the cross-section of expected equity returns In: Journal of Banking & Finance.
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article1
2014Cojumps in stock prices: Empirical evidence In: Journal of Banking & Finance.
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article24
2016Reducing the impact of real estate foreclosures with Amortizing Participation Mortgages In: Journal of Banking & Finance.
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2013Mitigating financial fragility with Continuous Workout Mortgages In: Journal of Economic Behavior & Organization.
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article8
2013Hedging efficiency in the Greek options market before and after the financial crisis of 2008 In: Journal of Multinational Financial Management.
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2015Stock-return volatility and daily equity trading by investor groups in Korea In: Pacific-Basin Finance Journal.
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article3
2016Option-Implied Volatility Measures and Stock Return Predictability In: Post-Print.
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2003The simplest American and Real Option approximations: Geske-Johnson interpolation in maturity and yield In: Applied Economics Letters.
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2009Empirical pricing kernels obtained from the UK index options market In: Applied Economics Letters.
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2001On the expected payoff and true probability of exercise of European options In: Applied Economics Letters.
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article2
2005On the use and improvement of Hull and Whites control variate technique In: Applied Financial Economics.
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2009Durable vs. disposable equipment choice under interest rate uncertainty In: The European Journal of Finance.
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2004Pricing options with American-style average reset features In: Quantitative Finance.
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article1
2013Corporate Risk Management and Hedge Accounting In: Contemporary Accounting Research.
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2002The Binomial Black–Scholes model and the Greeks In: Journal of Futures Markets.
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article2
2005On the errors and comparison of Vega estimation methods In: Journal of Futures Markets.
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2010Efficient quadrature and node positioning for exotic option valuation In: Journal of Futures Markets.
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article2
2016Asymmetric Effects of Volatility Risk on Stock Returns: Evidence from VIX and VIX Futures In: Journal of Futures Markets.
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article1

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