Mark B. Shackleton : Citation Profile

Are you Mark B. Shackleton?

Lancaster University

10

H index

10

i10 index

360

Citations

RESEARCH PRODUCTION:

41

Articles

4

Papers

RESEARCH ACTIVITY:

   19 years (1998 - 2017). See details.
   Cites by year: 18
   Journals where Mark B. Shackleton has often published
   Relations with other researchers
   Recent citing documents: 62.    Total self citations: 8 (2.17 %)

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   Permalink: http://citec.repec.org/psh172
   Updated: 2020-05-16    RAS profile: 2020-02-03    
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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 (14)

Asai, Manabu (14)

Bollerslev, Tim (8)

Tsekrekos, Andrianos (8)

Andersen, Torben (6)

Rodrigues, Artur (5)

Sévi, Benoît (5)

Caporin, Massimiliano (5)

Hung, Chi-Hsiou (5)

Clements, Adam (4)

Alvarez, Luis (4)

Cites to:

Bollerslev, Tim (17)

merton, robert (15)

Andersen, Torben (13)

Pindyck, Robert (12)

Fama, Eugene (11)

Scholes, Myron (11)

Dixit, Avinash (11)

Wojakowski, Rafal (11)

Diebold, Francis (10)

Campbell, John (9)

Shiller, Robert (9)

Main data

Where Mark B. Shackleton has published?

Journals with more than one article published# docs
Journal of Banking & Finance10
Journal of Business Finance & Accounting8
Journal of Futures Markets4
Applied Economics Letters3
European Journal of Operational Research2
Journal of Economic Dynamics and Control2
Journal of Economic Behavior & Organization2

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 (2019 and 2018)

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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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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2019Hedge Accounting: An Auditor’s Perspective. (2019). Singh, J P. In: The Audit Financiar journal. RePEc:aud:audfin:v:17:y:2019:i:153:p:106.

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2019Housing consumption and investment:evidence from shared equity mortgages. (2019). Bracke, Philippe ; Garbarino, Nicola ; Cocco, Joo F ; Benetton, Matteo. In: Bank of England working papers. RePEc:boe:boeewp:0790.

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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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2019Investors Trading Behaviour and Stock Market Volatility during Crisis Periods: A Dual Long-Memory Model for the Korean Stock Exchange. (2019). Caporale, Guglielmo Maria ; Kartsaklas, Aris ; Yfanti, Stavroula ; Karanasos, Menelaos. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7984.

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2018An Entry Game with Learning and Market Competition. (2018). Ishida, Junichiro ; Mukherjee, Arijit ; Chen, Chia-Hui. In: ISER Discussion Paper. RePEc:dpr:wpaper:1043.

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

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2018A structural model to assess the impact of bank capitalization changes conditional on a bail-in versus bail-out regime. (2018). Poblacion, Javier ; Dubiel-Teleszynski, Tomasz ; Gross, Marco. In: Working Paper Series. RePEc:ecb:ecbwps:2018.

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2018A structural model to assess the impact of bank capitalization changes conditional on a bail-in versus bail-out regime. (2018). Poblacion, Javier ; Dubiel-Teleszynski, Tomasz ; Gross, Marco. In: Working Paper Series. RePEc:ecb:ecbwps:20182181.

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2019Investment decisions with finite-lived collars. (2019). Paxson, Dean ; Adkins, Roger ; Rodrigues, Artur ; Pereira, Paulo J. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:103:y:2019:i:c:p:185-204.

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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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2019The impact of foreign ownership on return volatility, volume, and stock risks: Evidence from ASEAN countries. (2019). Lau, Wee-Yeap ; Nuka, Wayan I ; Naufa, Ahmad Maulin. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:64:y:2019:i:c:p:221-235.

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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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2019Anticipating individual bank rescues. (2019). Poblacion, Javier ; Dubiel-Teleszynski, Tomasz ; Correia, Ricardo. In: Economic Modelling. RePEc:eee:ecmode:v:82:y:2019:i:c:p:345-360.

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2018A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data. (2018). Lam, Clifford ; Feng, Phoenix. In: Journal of Econometrics. RePEc:eee:econom:v:206:y:2018:i:1:p:226-257.

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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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2019On the optimality of path-dependent structured funds: The cost of standardization. (2019). Prigent, Jean-Luc ; BERTRAND, Philippe. In: European Journal of Operational Research. RePEc:eee:ejores:v:277:y:2019:i:1:p:333-350.

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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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2019Good, bad cojumps and volatility forecasting: New evidence from crude oil and the U.S. stock markets. (2019). Ma, Feng ; Chen, Yixiang ; Zhang, Yaojie. In: Energy Economics. RePEc:eee:eneeco:v:81:y:2019:i:c:p:52-62.

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2019News implied volatility and long-term foreign exchange market volatility. (2019). Yin, Libo ; Han, Liyan ; Liu, Yang. In: International Review of Financial Analysis. RePEc:eee:finana:v:61:y:2019:i:c:p:126-142.

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2019The effect of information shocks on dividend payout and dividend value relevance. (2019). Walker, Martin ; Lee, Edward ; Harakeh, Mostafa. In: International Review of Financial Analysis. RePEc:eee:finana:v:61:y:2019:i:c:p:82-96.

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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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2019The information content of short-term options. (2019). Simen, Chardin Wese ; Symeonidis, Lazaros ; Stancu, Andrei ; Oikonomou, Ioannis. In: Journal of Financial Markets. RePEc:eee:finmar:v:46:y:2019:i:c:s1386418118303057.

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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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2019Does the volatility of volatility risk forecast future stock returns?. (2019). JAWADI, Fredj ; Fu, XI ; Bu, Ruijun. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:61:y:2019:i:c:p:16-36.

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2019Asset prices and “the devil(s) you know”. (2019). Prokopczuk, Marcel ; Hollstein, Fabian ; Benno, Duc Binh. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:105:y:2019:i:c:p:20-35.

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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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2019The determinants of the model-free positive and negative volatilities. (2019). Tunaru, Radu ; Morelli, David ; Bevilacqua, Mattia. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:92:y:2019:i:c:p:1-24.

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2019A review of derivatives research in accounting and suggestions for future work. (2019). Pierce, Spencer R ; Mauler, Landon M ; Campbell, John L. In: Journal of Accounting Literature. RePEc:eee:joacli:v:42:y:2019:i:c:p:44-60.

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2019Accounting for tailings dam failures in the valuation of mining projects. (2019). Petter, Carlos ; Chen, Wen ; Langrene, Nicolas ; Armstrong, Margaret. In: Resources Policy. RePEc:eee:jrpoli:v:63:y:2019:i:c:14.

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2019Forecasting the KOSPI200 spot volatility using various volatility measures. (2019). Chun, Dohyun ; Ryu, Doojin ; Cho, Hoon. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:514:y:2019:i:c:p:156-166.

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2019A structural model to assess the impact of bank capitalization changes conditional on a bail-in versus bail-out regime. (2019). Dubiel-Teleszynski, Tomasz ; Poblacion, Javier ; Gross, Marco. In: International Review of Economics & Finance. RePEc:eee:reveco:v:59:y:2019:i:c:p:1-13.

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2019Bandwagon effect: Special dividend payments. (2019). Kang, Yuni ; Tuilautala, Mataiasi ; Hu, May. In: International Review of Economics & Finance. RePEc:eee:reveco:v:63:y:2019:i:c:p:339-363.

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2019The information content of realized volatility of sector indices in China’s stock market. (2019). Lung, Peter ; Zhang, Lili ; Liu, Dehong ; Lin, Tiantian. In: International Review of Economics & Finance. RePEc:eee:reveco:v:64:y:2019:i:c:p:625-640.

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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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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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2019The Effect of Jumps in the Crude Oil Market on the Sovereign Risks of Major Oil Exporters. (2019). Bouri, Elie. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:4:p:118-:d:293243.

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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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2018Valuation on an Outside-Reset Option with Multiple Resettable Levels and Dates. (2018). Deng, Guohe ; Qin, Bin ; Xue, Guangming. In: Complexity. RePEc:hin:complx:2825483.

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2018The pricing kernel puzzle: survey and outlook. (2018). Cuesdeanu, Horatio ; Jackwerth, Jens Carsten. In: Annals of Finance. RePEc:kap:annfin:v:14:y:2018:i:3:d:10.1007_s10436-017-0317-9.

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2019Evaluation of Mortgage Default Characteristics Using Fannie Mae’s Loan Performance Data. (2019). Ahlawat, Samit. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:59:y:2019:i:4:d:10.1007_s11146-018-9686-8.

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2017A four-factor stochastic volatility model of commodity prices. (2017). Schone, Max F ; Spinler, Stefan. In: Review of Derivatives Research. RePEc:kap:revdev:v:20:y:2017:i:2:d:10.1007_s11147-016-9126-y.

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2018Menedzserösztönzők hatása a vállalati fedezésre. (2018). Dömötör, Barbara ; Bihary, Zsolt ; Domotor, Barbara. In: Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences). RePEc:ksa:szemle:1783.

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2018Short-term price density forecasts in the lean hog futures market. (2018). Trujillo-Barrera, Andres ; Garcia, Philip ; Mallory, Mindy L. 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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2020Another look at the implied and realised volatility relation: a copula-based approach. (2020). Pérez-Rodríguez, Jorge ; Perez-Rodriguez, Jorge V. In: Risk Management. RePEc:pal:risman:v:22:y:2020:i:1:d:10.1057_s41283-019-00054-y.

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2019The importance of being informed: forecasting market risk measures for the Russian RTS index future using online data and implied volatility over two decades. (2019). Fantazzini, Dean ; Shangina, Tamara. In: MPRA Paper. RePEc:pra:mprapa:95992.

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2018Multiple Days Ahead Realized Volatility Forecasting: Single, Combined and Average Forecasts. (2018). Degiannakis, Stavros. In: MPRA Paper. RePEc:pra:mprapa:96272.

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2018Modelling Foreign Exchange Realized Volatility Using High Frequency Data: Long Memory versus Structural Breaks. (2018). ben Maatoug, Abderrazak ; Fatnassi, Ibrahim ; Davidson, Russell ; Lamouchi, Rim. In: Central European Journal of Economic Modelling and Econometrics. RePEc:psc:journl:v:10:y:2018:i:1:p:1-25.

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2019The importance of being informed: forecasting market risk measures for the Russian RTS index future using online data and implied volatility over two decades. (2019). Fantazzini, Dean ; Shangina, Tamara. In: Applied Econometrics. RePEc:ris:apltrx:0372.

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2020Efficient algorithms of pathwise dynamic programming for decision optimization in mining operations. (2020). Yee, Jeremy ; Tarnopolskaya, Tanya ; Hinz, Juri. In: Annals of Operations Research. RePEc:spr:annopr:v:286:y:2020:i:1:d:10.1007_s10479-018-2910-3.

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2019An empirical note about estimation and forecasting Latin American Forex returns volatility: the role of long memory and random level shifts components. (2019). Rodríguez, Gabriel ; Gonzales, Jose Carlos ; Ojeda, Junior A. In: Portuguese Economic Journal. RePEc:spr:portec:v:18:y:2019:i:2:d:10.1007_s10258-019-00156-1.

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2019Forecasting Realized Volatility: The role of implied volatility, leverage effect, overnight returns and volatility of realized volatility. (2019). Tsakou, Katerina ; McMillan, David ; Kambouroudis, Dimos. In: Working Papers. RePEc:swn:wpaper:2019-03.

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2020Repeated Richardson extrapolation and static hedging of barrier options under the CEV model. (2020). Chang, Lungfu ; Guo, JiaHau . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:6:p:974-988.

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2018INDEX OPTIONS AND VOLATILITY DERIVATIVES IN A GAUSSIAN RANDOM FIELD RISK-NEUTRAL DENSITY MODEL. (2018). Han, Xixuan ; Yang, Hailiang ; Wei, Boyu. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:04:n:s0219024918500140.

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Works by Mark B. Shackleton:

YearTitleTypeCited
2012Evaluating Natural Resource Investments under Different Model Dynamics: Managerial Insights In: European Financial Management.
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2014The Option and Decision to Repurchase Stock In: Financial Management.
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1998Discussion Of Arbitrage-Free Valuation of Exhaustible Resource Firms In: Journal of Business Finance & Accounting.
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1998Discussion Of Arbitrage‐Free Valuation of Exhaustible Resource Firms.(1998) In: Journal of Business Finance & Accounting.
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2002The Expected Return and Exercise Time of Merton-style Real Options In: Journal of Business Finance & Accounting.
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2002The Expected Return and Exercise Time of Merton‐style Real Options.(2002) In: Journal of Business Finance & Accounting.
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2004CAPM, Higher Co-moment and Factor Models of UK Stock Returns In: Journal of Business Finance & Accounting.
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2004CAPM, Higher Co‐moment and Factor Models of UK Stock Returns.(2004) In: Journal of Business Finance & Accounting.
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2007Generalised Geske--Johnson Interpolation of Option Prices In: Journal of Business Finance & Accounting.
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2007Generalised Geske‐‐Johnson Interpolation of Option Prices.(2007) In: Journal of Business Finance & Accounting.
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2011Continuous Workout Mortgages In: Cowles Foundation Discussion Papers.
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2011Continuous Workout Mortgages.(2011) In: NBER Working Papers.
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2017Continuous Workout Mortgages: Efficient Pricing and Systemic Implications In: Cowles Foundation Discussion Papers.
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2019Continuous Workout Mortgages: Efficient pricing and systemic implications.(2019) In: Journal of Economic Behavior & Organization.
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2008Distinguishing short and long memory volatility specifications In: Econometrics Journal.
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2007Finite maturity caps and floors on continuous flows In: Journal of Economic Dynamics and Control.
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2010Harvesting and recovery decisions under uncertainty In: Journal of Economic Dynamics and Control.
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2005Smooth pasting as rate of return equalization In: Economics Letters.
[Full Text][Citation analysis]		article9
2006How real option disinvestment flexibility augments project NPV In: European Journal of Operational Research.
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2011Hysteresis effects under CIR interest rates In: European Journal of Operational Research.
[Full Text][Citation analysis]		article4
2000Valuing the strategic option to sell life insurance business: Theory and evidence In: Journal of Banking & Finance.
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2004Forecasting currency volatility: A comparison of implied volatilities and AR(FI)MA models In: Journal of Banking & Finance.
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2004Strategic entry and market leadership in a two-player real options game In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article15
2007Closed-form transformations from risk-neutral to real-world distributions In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article37
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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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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2011Participating mortgages and the efficiency of financial intermediation In: Journal of Banking & Finance.
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2011Omitted debt risk, financial distress and the cross-section of expected equity returns In: Journal of Banking & Finance.
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2014Cojumps in stock prices: Empirical evidence In: Journal of Banking & Finance.
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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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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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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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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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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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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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2016Asymmetric Effects of Volatility Risk on Stock Returns: Evidence from VIX and VIX Futures In: Journal of Futures Markets.
[Full Text][Citation analysis]		article4

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