Mark B. Shackleton : Citation Profile


Are you Mark B. Shackleton?

Lancaster University

9

H index

9

i10 index

367

Citations

RESEARCH PRODUCTION:

38

Articles

4

Papers

RESEARCH ACTIVITY:

   22 years (1998 - 2020). See details.
   Cites by year: 16
   Journals where Mark B. Shackleton has often published
   Relations with other researchers
   Recent citing documents: 40.    Total self citations: 9 (2.39 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/psh172
   Updated: 2021-03-01    RAS profile: 2020-02-03    
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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:

McAleer, Michael (15)

Asai, Manabu (15)

Bollerslev, Tim (8)

Tsekrekos, Andrianos (7)

Andersen, Torben (6)

Caporin, Massimiliano (5)

Sévi, Benoît (5)

Rodrigues, Artur (5)

Gallo, Giampiero (4)

ORNELAS, JOSE (4)

Crisóstomo, Ricardo (4)

Cites to:

Bollerslev, Tim (17)

merton, robert (16)

Andersen, Torben (13)

Pindyck, Robert (12)

Scholes, Myron (12)

Fama, Eugene (12)

Dixit, Avinash (11)

Diebold, Francis (10)

Shiller, Robert (9)

Campbell, John (9)

Ebrahim, M. Shahid (8)

Main data


Where Mark B. Shackleton has published?


Journals with more than one article published# docs
Journal of Banking & Finance10
Journal of Business Finance & Accounting4
Journal of Futures Markets4
Applied Economics Letters3
European Financial Management2
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 (2021 and 2020)


YearTitle of citing document
2021Mortgage Contracts and Selective Default. (2020). Robertson, Scott ; Kitapbayev, Yerkin. In: Papers. RePEc:arx:papers:2005.03554.

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2020The behavior of stock market prices throughout the episodes of capital inflows. (2020). SEVIL, Guven ; Baba, Boubekeur. In: Papers. RePEc:arx:papers:2008.13472.

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2020Option-Based Risk Aversion Indicators for Predicting Currency Crises in Emerging Markets. (). Moura, Jaqueline Terra. In: Working Papers Series. RePEc:bcb:wpaper:515.

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2020Modelling 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.

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2020Jump 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.

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2020Debt Shifting and Transfer Pricing in a Volatile World. (2020). Panteghini, Paolo ; Vergalli, Sergio ; Comincioli, Nicola. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8807.

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2020The 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.

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2020Joint 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.

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2020Retrieving 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.

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2020Implied 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.

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2020Incorporating 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.

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2020Leverage, uncertainty and investment decisions. (2020). Driver, Ciaran ; Kenc, Turalay. In: Economics Letters. RePEc:eee:ecolet:v:190:y:2020:i:c:s0165176520300628.

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2020Issues 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.

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2020Option 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.

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2020Realized 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.

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2020Structural 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.

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2020Early 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.

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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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2020The 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.

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2020The 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.

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2020Historic risk and implied volatility. (2020). Levendis, John ; Dicle, Mehmet F. In: Global Finance Journal. RePEc:eee:glofin:v:45:y:2020:i:c:s1044028318301625.

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2020Buyback 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.

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2020Do 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.

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2020Valuation 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.

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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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2020A 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.

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2021A 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.

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2021An 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.

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2020Higher 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.

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2020Preemptive competition between two firms with different discount rates. (2004). Nishihara, Michi. In: Discussion Papers in Economics and Business. RePEc:osk:wpaper:2004.

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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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2020A Multivariate GARCH-Jump Mixture Model. (2020). Maheu, John ; Li, Chenxing. In: MPRA Paper. RePEc:pra:mprapa:104770.

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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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2021Can 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.

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2020Value-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.

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2020Forecasting 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.

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2020What 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.

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2020Repeated 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.

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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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Works by Mark B. Shackleton:


YearTitleTypeCited
2012Evaluating Natural Resource Investments under Different Model Dynamics: Managerial Insights In: European Financial Management.
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article9
2020NAV inflation and impact on performance in China In: European Financial Management.
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article0
2014The Option and Decision to Repurchase Stock In: Financial Management.
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article1
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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article1
2004CAPM, Higher Co‐moment and Factor Models of UK Stock Returns In: Journal of Business Finance & Accounting.
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article6
2007Generalised Geske‐‐Johnson Interpolation of Option Prices In: Journal of Business Finance & Accounting.
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article1
2011Continuous Workout Mortgages In: Cowles Foundation Discussion Papers.
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paper5
2011Continuous Workout Mortgages.(2011) In: NBER Working Papers.
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This paper has another version. Agregated cites: 5
paper
2017Continuous Workout Mortgages: Efficient Pricing and Systemic Implications In: Cowles Foundation Discussion Papers.
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paper2
2019Continuous Workout Mortgages: Efficient pricing and systemic implications.(2019) In: Journal of Economic Behavior & Organization.
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This paper has another version. Agregated cites: 2
article
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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article13
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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article11
2006How real option disinvestment flexibility augments project NPV In: European Journal of Operational Research.
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article15
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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article124
2004Strategic entry and market leadership in a two-player real options game In: Journal of Banking & Finance.
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article16
2007Closed-form transformations from risk-neutral to real-world distributions In: Journal of Banking & Finance.
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article40
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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article5
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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article24
2011Participating mortgages and the efficiency of financial intermediation In: Journal of Banking & Finance.
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article4
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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article33
2016Reducing the impact of real estate foreclosures with Amortizing Participation Mortgages In: Journal of Banking & Finance.
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article2
2013Mitigating financial fragility with Continuous Workout Mortgages In: Journal of Economic Behavior & Organization.
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article11
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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article6
2016Option-Implied Volatility Measures and Stock Return Predictability In: Post-Print.
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paper4
2003The simplest American and Real Option approximations: Geske-Johnson interpolation in maturity and yield In: Applied Economics Letters.
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article2
2009Empirical pricing kernels obtained from the UK index options market In: Applied Economics Letters.
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article3
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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article0
2009Durable vs. disposable equipment choice under interest rate uncertainty In: The European Journal of Finance.
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article0
2004Pricing options with American-style average reset features In: Quantitative Finance.
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article2
2013Corporate Risk Management and Hedge Accounting In: Contemporary Accounting Research.
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article4
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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article0
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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article4

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated November, 2 2021. Contact: CitEc Team