9
H index
9
i10 index
367
Citations
Lancaster University | 9 H index 9 i10 index 367 Citations RESEARCH PRODUCTION: 38 Articles 4 Papers RESEARCH ACTIVITY:
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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: | Cites to: |
Working Papers Series with more than one paper published | # docs |
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Cowles Foundation Discussion Papers / Cowles Foundation for Research in Economics, Yale University | 2 |
Year | Title of citing document |
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2021 | Mortgage Contracts and Selective Default. (2020). Robertson, Scott ; Kitapbayev, Yerkin. In: Papers. RePEc:arx:papers:2005.03554. Full description at Econpapers || Download paper |
2020 | The behavior of stock market prices throughout the episodes of capital inflows. (2020). SEVIL, Guven ; Baba, Boubekeur. In: Papers. RePEc:arx:papers:2008.13472. Full description at Econpapers || Download paper |
2020 | Option-Based Risk Aversion Indicators for Predicting Currency Crises in Emerging Markets. (). Moura, Jaqueline Terra. In: Working Papers Series. RePEc:bcb:wpaper:515. Full description at Econpapers || Download paper |
2020 | Modelling Financial Contagion Using High Frequency Data. (2020). Yao, Wenying ; Alexeev, Vitali ; Dungey, Mardi. In: The Economic Record. RePEc:bla:ecorec:v:96:y:2020:i:314:p:314-330. Full description at Econpapers || Download paper |
2020 | Jump Risk in the US Financial Sector. (2020). Yao, Wenying ; Gajurel, Dinesh ; Jeyasreedharan, Nagaratnam ; Dungey, Mardi. In: The Economic Record. RePEc:bla:ecorec:v:96:y:2020:i:314:p:331-349. Full description at Econpapers || Download paper |
2020 | Debt Shifting and Transfer Pricing in a Volatile World. (2020). Panteghini, Paolo ; Vergalli, Sergio ; Comincioli, Nicola. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8807. Full description at Econpapers || Download paper |
2020 | The contribution of intraday jumps to forecasting the density of returns. (2020). Sevi, Benoit ; Ielpo, Florian ; Chorro, Christophe. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:113:y:2020:i:c:s0165188920300233. Full description at Econpapers || Download paper |
2020 | Joint dynamic modeling and option pricing in incomplete derivative-security market. (2020). Chen, Jun-Home ; Lian, Yu-Min. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s106294081730325x. Full description at Econpapers || Download paper |
2020 | Retrieving the implicit risk neutral density of WTI options with a semi-nonparametric approach. (2020). Perote, Javier ; Mora-Valencia, Andrés ; Cortes, Lina M. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940818301980. Full description at Econpapers || Download paper |
2020 | Implied risk aversion and pricing kernel in the FTSE 100 index. (2020). Sung, Hao-Chang ; Ju, Wen. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940818302092. Full description at Econpapers || Download paper |
2020 | Incorporating the RMB internationalization effect into its exchange rate volatility forecasting. (2020). Zhang, Yongmin ; Cui, Tianxiang ; Ding, Shusheng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940819302840. Full description at Econpapers || Download paper |
2020 | Leverage, uncertainty and investment decisions. (2020). Driver, Ciaran ; Kenc, Turalay. In: Economics Letters. RePEc:eee:ecolet:v:190:y:2020:i:c:s0165176520300628. Full description at Econpapers || Download paper |
2020 | Issues in the estimation of mis-specified models of fractionally integrated processes. (2020). Poskitt, D S ; Nadarajah, K ; Martin, Gael M. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:2:p:559-573. Full description at Econpapers || Download paper |
2020 | Option market trading activity and the estimation of the pricing kernel: A Bayesian approach. (2020). Fusari, Nicola ; Barone-Adesi, Giovanni ; Sala, Carlo ; Mira, Antonietta. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:2:p:430-449. Full description at Econpapers || Download paper |
2020 | Realized stochastic volatility models with generalized Gegenbauer long memory. (2020). McAleer, Michael ; Asai, Manabu ; Peiris, Shelton. In: Econometrics and Statistics. RePEc:eee:ecosta:v:16:y:2020:i:c:p:42-54. Full description at Econpapers || Download paper |
2020 | Structural estimation of switching costs for peaking power plants. (2020). Fleten, Stein-Erik ; Stein- Erik Fleten, ; Ullrich, Carl J ; Pichler, Alois ; Haugom, Erik. In: European Journal of Operational Research. RePEc:eee:ejores:v:285:y:2020:i:1:p:23-33. Full description at Econpapers || Download paper |
2020 | Early exercise boundaries for American-style knock-out options. (2020). Ruas, Joo Pedro ; Vidal, Joo Pedro ; Dias, Jose Carlos. In: European Journal of Operational Research. RePEc:eee:ejores:v:285:y:2020:i:2:p:753-766. Full description at Econpapers || Download paper |
2021 | Optimal 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. Full description at Econpapers || Download paper |
2021 | A 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. Full description at Econpapers || Download paper |
2020 | The economic importance of rare earth elements volatility forecasts. (2020). Schweizer, Denis ; Proelss, Juliane ; Seiler, Volker. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521918306148. Full description at Econpapers || Download paper |
2020 | The cross-section of industry equity returns and global tactical asset allocation across regions and industries. (2020). Bengitoz, Pelin ; Umutlu, Mehmet. In: International Review of Financial Analysis. RePEc:eee:finana:v:72:y:2020:i:c:s1057521920302180. Full description at Econpapers || Download paper |
2020 | Historic risk and implied volatility. (2020). Levendis, John ; Dicle, Mehmet F. In: Global Finance Journal. RePEc:eee:glofin:v:45:y:2020:i:c:s1044028318301625. Full description at Econpapers || Download paper |
2020 | Buyback behaviour and the option funding hypothesis. (2020). Shackleton, Mark B ; Sonika, Rohit . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:114:y:2020:i:c:s0378426620300686. Full description at Econpapers || Download paper |
2020 | Do Bitcoin and other cryptocurrencies jump together?. (2020). Hussain, Syed Jawad ; Roubaud, David ; Bouri, Elie. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:76:y:2020:i:c:p:396-409. Full description at Econpapers || Download paper |
2020 | Valuation of defer and relocation options in photovoltaic generation investments by a stochastic simulation-based method. (2020). Penizzotto, Franco ; Olsina, Fernando ; Pringles, Rolando. In: Renewable Energy. RePEc:eee:renene:v:151:y:2020:i:c:p:846-864. Full description at Econpapers || Download paper |
2021 | Modeling 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. Full description at Econpapers || Download paper |
2020 | A solution technique for Lévy driven long term average impulse control problems. (2020). Sohr, Tobias ; Christensen, Soren. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:12:p:7303-7337. Full description at Econpapers || Download paper |
2021 | A Contract Theory Approach to Islamic Financial Securities with an Application to Diminishing Mush?rakah. (2021). Arbi, Lukman Hanif. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:14:y:2021:i:1:p:17-:d:473718. Full description at Econpapers || Download paper |
2021 | An Open Innovation Intraday Implied Volatility for Pricing Australian Dollar Options. (2021). Hoque, Ariful ; Le, Thi ; Hassan, Kamrul. In: Journal of Open Innovation: Technology, Market, and Complexity. RePEc:gam:joitmc:v:7:y:2021:i:1:p:23-:d:477544. Full description at Econpapers || Download paper |
2020 | Higher Co-Moment CAPM and Hedge Fund Returns. (2020). Knif, Johan ; Koutmos, Gregory. In: Atlantic Economic Journal. RePEc:kap:atlecj:v:48:y:2020:i:1:d:10.1007_s11293-020-09659-1. Full description at Econpapers || Download paper |
2020 | Preemptive competition between two firms with different discount rates. (2004). Nishihara, Michi. In: Discussion Papers in Economics and Business. RePEc:osk:wpaper:2004. Full description at Econpapers || Download paper |
2020 | Another look at the implied and realised volatility relation: a copula-based approach. (2020). Pérez-RodrÃÂguez, Jorge ; Perez-Rodriguez, Jorge V. In: Risk Management. RePEc:pal:risman:v:22:y:2020:i:1:d:10.1057_s41283-019-00054-y. Full description at Econpapers || Download paper |
2020 | A Multivariate GARCH-Jump Mixture Model. (2020). Maheu, John ; Li, Chenxing. In: MPRA Paper. RePEc:pra:mprapa:104770. Full description at Econpapers || Download paper |
2020 | Efficient 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. Full description at Econpapers || Download paper |
2021 | Can the Baidu Index predict realized volatility in the Chinese stock market?. (2021). , Kaiyan ; Zhang, Wei ; Shen, Dehua ; Yan, Kai. In: Financial Innovation. RePEc:spr:fininn:v:7:y:2021:i:1:d:10.1186_s40854-020-00216-y. Full description at Econpapers || Download paper |
2020 | Value-at-Risk in the Presence of Structural Breaks Using Unbiased Extreme Value Volatility Estimator. (2020). Kumar, Dilip. In: Journal of Quantitative Economics. RePEc:spr:jqecon:v:18:y:2020:i:3:d:10.1007_s40953-020-00197-w. Full description at Econpapers || Download paper |
2020 | Forecasting bitcoin volatility: Evidence from the options market. (2020). Baur, Dirk G ; Hoang, Lai T. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:10:p:1584-1602. Full description at Econpapers || Download paper |
2020 | What do we know about individual equity options?. (2020). Verousis, Thanos ; Bernales, Alejandro ; Zhang, Mengyu ; Voukelatos, Nikolaos. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:1:p:67-91. Full description at Econpapers || Download paper |
2020 | Repeated Richardson extrapolation and static hedging of barrier options under the CEV model. (2020). Guo, JiaHau ; Chang, Lungfu . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:6:p:974-988. Full description at Econpapers || Download paper |
2021 | Optimal 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. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2012 | Evaluating Natural Resource Investments under Different Model Dynamics: Managerial Insights In: European Financial Management. [Full Text][Citation analysis] | article | 9 |
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 | 1 |
1998 | Discussion Of Arbitrageâ€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 Mertonâ€style Real Options In: Journal of Business Finance & Accounting. [Full Text][Citation analysis] | article | 1 |
2004 | CAPM, Higher Coâ€moment and Factor Models of UK Stock Returns In: Journal of Business Finance & Accounting. [Full Text][Citation analysis] | article | 6 |
2007 | Generalised Geskeâ€â€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 | 5 |
2011 | Continuous Workout Mortgages.(2011) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | 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 another version. Agregated cites: 2 | article | |
2008 | Distinguishing short and long memory volatility specifications In: Econometrics Journal. [Full Text][Citation analysis] | article | 5 |
2007 | Finite maturity caps and floors on continuous flows In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 13 |
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 | 11 |
2006 | How real option disinvestment flexibility augments project NPV In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 15 |
2011 | Hysteresis effects under CIR interest rates In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 4 |
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 | 124 |
2004 | Strategic entry and market leadership in a two-player real options game In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 16 |
2007 | Closed-form transformations from risk-neutral to real-world distributions In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 40 |
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 | 5 |
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 | 24 |
2011 | Participating mortgages and the efficiency of financial intermediation In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 4 |
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 | 33 |
2016 | Reducing the impact of real estate foreclosures with Amortizing Participation Mortgages In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 2 |
2013 | Mitigating financial fragility with Continuous Workout Mortgages In: Journal of Economic Behavior & Organization. [Full Text][Citation analysis] | article | 11 |
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 | 0 |
2015 | Stock-return volatility and daily equity trading by investor groups in Korea In: Pacific-Basin Finance Journal. [Full Text][Citation analysis] | article | 6 |
2016 | Option-Implied Volatility Measures and Stock Return Predictability In: Post-Print. [Citation analysis] | paper | 4 |
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 | 4 |
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 | 4 |
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