11
H index
13
i10 index
473
Citations
Mark B. Shackleton : Citation Profile
Lancaster University | RESEARCH PRODUCTION: 40 Articles 4 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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24 years (1998 - 2022). 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:
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Main data
Where Mark B. Shackleton has published?
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Cowles Foundation Discussion Papers / Cowles Foundation for Research in Economics, Yale University | 2 |
Recent works citing Mark B. Shackleton (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | Explaining 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. Full description at Econpapers || Download paper |
| 2023 | Assessing the Asymmetric Effect of Local Realized Exchange Rate Volatility and Implied Volatilities in Energy Market on Exchange Rate Returns in BRICS. (2023). Qabhobho, Thobekile. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2023-02-25. Full description at Econpapers || Download paper |
| 2023 | Secured and unsecured debt in creditor-friendly bankruptcy. (2023). Naqvi, Hassan ; Franois, Pascal. In: Journal of Corporate Finance. RePEc:eee:corfin:v:80:y:2023:i:c:s0929119923000627. Full description at Econpapers || Download paper |
| 2023 | Is a co-jump in prices a sparse jump?. (2023). Li, Handong ; Song, Shijia. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:67:y:2023:i:c:s1062940823000463. Full description at Econpapers || Download paper |
| 2023 | Pioneer, 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. Full description at Econpapers || Download paper |
| 2023 | The 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. Full description at Econpapers || Download paper |
| 2023 | A 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. Full description at Econpapers || Download paper |
| 2023 | Climate 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. Full description at Econpapers || Download paper |
| 2023 | Equity premium prediction: The role of information from the options market. (2023). Voukelatos, Nikolaos ; Panopoulou, Ekaterini ; Apergis, Iraklis ; Alexandridis, Antonios K. In: Journal of Financial Markets. RePEc:eee:finmar:v:64:y:2023:i:c:s1386418122000908. Full description at Econpapers || Download paper |
| 2023 | Discovering 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. Full description at Econpapers || Download paper |
| 2023 | Investment decisions and financial leverage under a potential entry threat. (2023). Kamoto, Shinsuke. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:154:y:2023:i:c:s0378426623001498. Full description at Econpapers || Download paper |
| 2023 | How has COVID-19 affected the performance of green investment funds?. (2023). Kouretas, Georgios ; Agoraki, Maria-Eleni ; Aslanidis, Nektarios. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:131:y:2023:i:c:s0261560622001954. Full description at Econpapers || Download paper |
| 2023 | Return–volume nexus in financial markets: A survey of research. (2023). Yamani, Ehab. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000363. Full description at Econpapers || Download paper |
| 2023 | Systemic Tail Risk: High-Frequency Measurement, Evidence and Implications. (2023). Yang, Xiye ; Neely, Christopher J ; Erdemlioglu, Deniz. In: Working Papers. RePEc:fip:fedlwp:96490. Full description at Econpapers || Download paper |
| 2023 | On the Stochastic Volatility in the Generalized Black-Scholes-Merton Model. (2023). Ivanov, Roman V. In: Risks. RePEc:gam:jrisks:v:11:y:2023:i:6:p:111-:d:1167116. Full description at Econpapers || Download paper |
Works by Mark B. Shackleton:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2012 | Evaluating Natural Resource Investments under Different Model Dynamics: Managerial Insights In: European Financial Management. [Full Text][Citation analysis] | article | 10 |
| 2020 | NAV inflation and impact on performance in China In: European Financial Management. [Full Text][Citation analysis] | article | 0 |
| 2014 | The Option and Decision to Repurchase Stock In: Financial Management. [Full Text][Citation analysis] | article | 0 |
| 1998 | Discussion Of Arbitrage?Free Valuation of Exhaustible Resource Firms In: Journal of Business Finance & Accounting. [Full Text][Citation analysis] | article | 0 |
| 2002 | The Expected Return and Exercise Time of Merton?style Real Options In: Journal of Business Finance & Accounting. [Full Text][Citation analysis] | article | 15 |
| 2004 | CAPM, Higher Co?moment and Factor Models of UK Stock Returns In: Journal of Business Finance & Accounting. [Full Text][Citation analysis] | article | 25 |
| 2007 | Generalised Geske??Johnson Interpolation of Option Prices In: Journal of Business Finance & Accounting. [Full Text][Citation analysis] | article | 1 |
| 2011 | Continuous Workout Mortgages In: Cowles Foundation Discussion Papers. [Full Text][Citation analysis] | paper | 6 |
| 2011 | Continuous Workout Mortgages.(2011) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
| 2017 | Continuous Workout Mortgages: Efficient Pricing and Systemic Implications In: Cowles Foundation Discussion Papers. [Full Text][Citation analysis] | paper | 2 |
| 2019 | Continuous Workout Mortgages: Efficient pricing and systemic implications.(2019) In: Journal of Economic Behavior & Organization. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
| 2008 | Distinguishing short and long memory volatility specifications In: Econometrics Journal. [Full Text][Citation analysis] | article | 6 |
| 2007 | Finite maturity caps and floors on continuous flows In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 16 |
| 2010 | Harvesting and recovery decisions under uncertainty In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 3 |
| 2005 | Smooth pasting as rate of return equalization In: Economics Letters. [Full Text][Citation analysis] | article | 14 |
| 2006 | How real option disinvestment flexibility augments project NPV In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 17 |
| 2011 | Hysteresis effects under CIR interest rates In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 7 |
| 2020 | Buyback behaviour and the option funding hypothesis In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 0 |
| 2022 | What drives a firms ES performance? Evidence from stock returns In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 1 |
| 2000 | Valuing the strategic option to sell life insurance business: Theory and evidence In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 0 |
| 2004 | Forecasting currency volatility: A comparison of implied volatilities and AR(FI)MA models In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 133 |
| 2004 | Strategic entry and market leadership in a two-player real options game In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 21 |
| 2007 | Closed-form transformations from risk-neutral to real-world distributions In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 42 |
| 2008 | Surprise 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] | article | 9 |
| 2010 | A 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] | article | 32 |
| 2011 | Participating mortgages and the efficiency of financial intermediation In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 5 |
| 2011 | Omitted debt risk, financial distress and the cross-section of expected equity returns In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 1 |
| 2014 | Cojumps in stock prices: Empirical evidence In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 47 |
| 2016 | Reducing the impact of real estate foreclosures with Amortizing Participation Mortgages In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 4 |
| 2013 | Mitigating financial fragility with Continuous Workout Mortgages In: Journal of Economic Behavior & Organization. [Full Text][Citation analysis] | article | 13 |
| 2013 | Hedging efficiency in the Greek options market before and after the financial crisis of 2008 In: Journal of Multinational Financial Management. [Full Text][Citation analysis] | article | 1 |
| 2015 | Stock-return volatility and daily equity trading by investor groups in Korea In: Pacific-Basin Finance Journal. [Full Text][Citation analysis] | article | 9 |
| 2016 | Option-Implied Volatility Measures and Stock Return Predictability In: Post-Print. [Citation analysis] | paper | 5 |
| 2003 | The simplest American and Real Option approximations: Geske-Johnson interpolation in maturity and yield In: Applied Economics Letters. [Full Text][Citation analysis] | article | 2 |
| 2009 | Empirical pricing kernels obtained from the UK index options market In: Applied Economics Letters. [Full Text][Citation analysis] | article | 3 |
| 2001 | On the expected payoff and true probability of exercise of European options In: Applied Economics Letters. [Full Text][Citation analysis] | article | 2 |
| 2005 | On the use and improvement of Hull and Whites control variate technique In: Applied Financial Economics. [Full Text][Citation analysis] | article | 0 |
| 2009 | Durable vs. disposable equipment choice under interest rate uncertainty In: The European Journal of Finance. [Full Text][Citation analysis] | article | 0 |
| 2004 | Pricing options with American-style average reset features In: Quantitative Finance. [Full Text][Citation analysis] | article | 2 |
| 2013 | Corporate Risk Management and Hedge Accounting In: Contemporary Accounting Research. [Full Text][Citation analysis] | article | 10 |
| 2002 | The Binomial Black–Scholes model and the Greeks In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 2 |
| 2005 | On the errors and comparison of Vega estimation methods In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 0 |
| 2010 | Efficient quadrature and node positioning for exotic option valuation In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 2 |
| 2016 | Asymmetric Effects of Volatility Risk on Stock Returns: Evidence from VIX and VIX Futures In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 5 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated December, 10 2023. Contact: CitEc Team