Mark B. Shackleton : Citation Profile

Lancaster University

11

H index

14

i10 index

534

Citations

RESEARCH PRODUCTION:

41

Articles

4

Papers

RESEARCH ACTIVITY:

   27 years (1998 - 2025). See details.
   Cites by year: 19
   Journals where Mark B. Shackleton has often published
   Relations with other researchers
   Recent citing documents: 46.    Total self citations: 13 (2.38 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/psh172
   Updated: 2026-02-21    RAS profile: 2026-01-13    
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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:

Asai, Manabu (14)

Bollerslev, Tim (8)

Tsekrekos, Andrianos (7)

Andersen, Torben (6)

Caporin, Massimiliano (5)

Hung, Chi-Hsiou (5)

Sévi, Benoît (5)

Crisóstomo, Ricardo (5)

Rodrigues, Artur (5)

Neely, Christopher (4)

ORNELAS, JOSE (4)

Cites to:

merton, robert (18)

Bollerslev, Tim (17)

Fama, Eugene (14)

Andersen, Torben (14)

Pindyck, Robert (12)

Scholes, Myron (12)

Diebold, Francis (11)

Dixit, Avinash (11)

Stiglitz, Joseph (9)

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 & Finance12
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 (2025 and 2024)

YearTitle of citing document
2025Supply Chain Resilience and Food Supply Chains. (2025). Manfredo, Mark R ; Webster, Scott ; Richards, Timothy J ; Chenarides, Lauren. In: 2025 AAEA & WAEA Joint Annual Meeting, July 27-29, 2025, Denver, CO. RePEc:ags:aaea25:360967.

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2025The 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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2024Predictability of Exchange Rate Density Forecasts for Emerging Economies in the Short Run. (2024). Moura, Jaqueline Terra. In: Working Papers Series. RePEc:bcb:wpaper:588.

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2024Higher‐order moments and asset pricing in the Australian stock market. (2024). Ahadzie, Richard Mawulawoe ; Jeyasreedharan, Nagaratnam. In: Accounting and Finance. RePEc:bla:acctfi:v:64:y:2024:i:1:p:75-128.

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2024Reference dependence and endogenous anchors. (2024). Meirelesrodrigues, Andrea ; Guasoni, Paolo. In: Mathematical Finance. RePEc:bla:mathfi:v:34:y:2024:i:3:p:925-976.

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2024On the Main Determinants of Start-Up Investment in Developing Countries. (2024). Vergalli, Sergio ; Panteghini, Paolo ; Comincioli, Nicola. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11014.

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2026Contingent convertible debt: what is and what should have been. (2026). Poblacin, Francisco Javier ; Correia, Ricardo. In: Working Paper Series. RePEc:ecb:ecbwps:20263170.

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2024Tourism-industrial atmosphere and executive change: How can they impact firms? - A mixed context analysis study. (2024). Chen, Xi-Zhuo ; Li, Hui. In: Annals of Tourism Research. RePEc:eee:anture:v:109:y:2024:i:c:s0160738324001245.

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2025Reprint of: Does mandating corporate social and environmental disclosure improve social and environmental performance?: Broad-based evidence regarding the effectiveness of directive 2014/95/EU. (2025). Farneti, Federica ; Li, Zhongtian ; Jia, Jing ; Dumay, John ; de Villiers, Charl. In: The British Accounting Review. RePEc:eee:bracre:v:57:y:2025:i:1:s0890838925000083.

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2024Systemic risk monitoring model from the perspective of public information arrival. (2024). Wu, Yan ; Zhu, Xingting ; Yan, Han ; Liu, Bin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000664.

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2024Stock co-jump networks. (2024). Li, Yingying ; Ding, YI ; Zheng, Xinghua ; Liu, Guoli. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s030440762300057x.

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2024Parametric risk-neutral density estimation via finite lognormal-Weibull mixtures. (2024). Li, Yifan ; Pham, Manh Cuong ; Nolte, Ingmar. In: Journal of Econometrics. RePEc:eee:econom:v:241:y:2024:i:2:s0304407624000940.

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2024Finite maturity caps and floors on continuous flows under the constant elasticity of variance process. (2024). Dias, Jose Carlos ; Vidal, Joo Pedro ; da Silva, Fernando Correia. In: European Journal of Operational Research. RePEc:eee:ejores:v:316:y:2024:i:1:p:361-385.

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2024Renewable energy investment under stochastic interest rate with regime-switching volatility. (2024). Detemple, Jerome ; Kitapbayev, Yerkin ; Reppen, Max A. In: Energy Economics. RePEc:eee:eneeco:v:136:y:2024:i:c:s0140988324004420.

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2025What triggers intraday price jumps and co-jumps in gold?. (2025). Sobti, Neharika. In: International Review of Financial Analysis. RePEc:eee:finana:v:105:y:2025:i:c:s1057521925004673.

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2024Geopolitical risk and stock price crash risk: The mitigating role of ESG performance. (2024). Verdoliva, Vincenzo ; Fiorillo, Paolo ; Pellegrino, Luigi Raffaele ; Meles, Antonio. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s105752192300474x.

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2024ESG scores and debt costs: Exploring indebtedness, agency costs, and financial system impact. (2024). Alves, Carlos ; Meneses, Lilian Lima. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924001728.

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2024State-dependent intra-day volatility pattern and its impact on price jump detection - Evidence from international equity indices. (2024). Tsai, Ping Chen ; Wang, Chou Wen ; Eom, Cheoljun. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pb:s1057521924003442.

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2025Can we enhance investment with ESG?. (2025). Cai, Charlie X ; Rudkin, Wanling ; Zhou, You. In: International Review of Financial Analysis. RePEc:eee:finana:v:97:y:2025:i:c:s1057521924007087.

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2024Co-jumps in the Chinese stock market before, during and after the COVID-19 pandemic: A network perspective. (2024). He, Zhipeng ; Zhang, Shuguang ; Zou, Renhao ; Hao, Chenlu. In: Finance Research Letters. RePEc:eee:finlet:v:70:y:2024:i:c:s1544612324013114.

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2025Forecasting volatility in commodity markets with climate risk. (2025). Tang, Yusui ; Zhou, Ling ; Peng, Pei ; Guo, Yangli. In: Finance Research Letters. RePEc:eee:finlet:v:78:y:2025:i:c:s1544612325003575.

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2025Responsive CSR as damage control and the effect of institutional owner commitment. (2025). Dennis, Steven A ; Tsai, Hua-Hsin ; Via, Marc Tony. In: Global Finance Journal. RePEc:eee:glofin:v:67:y:2025:i:c:s1044028325000894.

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2024Forecasting day-ahead expected shortfall on the EUR/USD exchange rate: The (I)relevance of implied volatility. (2024). Vrost, Toma ; Plihal, Toma ; Lyocsa, Tefan. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:4:p:1275-1301.

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2024Portfolio pumping and dumping among Chinese mutual fund companies. (2024). Wang, Xianzhen ; Jiang, Christine. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:162:y:2024:i:c:s037842662400075x.

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2024A new side of deglobalization: Why did US multinational corporations deconsolidate their subsidiaries from Venezuela?. (2024). Garay, Urbi ; Ortiz, Norma ; Tellez-Falla, Diego F ; Zambrano, Carlos Jaramillo. In: Journal of Business Research. RePEc:eee:jbrese:v:182:y:2024:i:c:s0148296324002698.

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2025Innovation and product positioning: When to add or replace. (2025). Kort, Peter ; Nunes, Cludia ; Balter, Anne G ; Pereira, Diogo. In: Omega. RePEc:eee:jomega:v:136:y:2025:i:c:s0305048325000532.

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2024Blockchain ETFs and the cryptocurrency and Nasdaq markets: Multifractal and asymmetric cross-correlations. (2024). NEKHILI, Ramzi ; Kristjanpoller, Werner ; Bouri, Elie. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:637:y:2024:i:c:s0378437124000979.

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2025How corporate business similarity affects ESG Performance?. (2025). Tu, Wei ; He, Juan. In: International Review of Economics & Finance. RePEc:eee:reveco:v:103:y:2025:i:c:s1059056025006173.

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2024Does climate governance moderate the relationship between ESG reporting and firm value? Empirical evidence from India. (2024). Tiwari, Aviral ; Mishra, Geeti ; Patro, Archana. In: International Review of Economics & Finance. RePEc:eee:reveco:v:91:y:2024:i:c:p:920-941.

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2024Pricing derivatives on foreign assets using Markov-modulated cojump-diffusion dynamics. (2024). Lian, Yu-Min ; Liao, Szu-Lang ; Chen, Jun-Home. In: International Review of Economics & Finance. RePEc:eee:reveco:v:93:y:2024:i:pb:p:503-519.

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2024Pricing vulnerable options under cross-asset markov-modulated jump-diffusion dynamics. (2024). Lian, Yu-Min ; Chen, Jun-Home. In: International Review of Economics & Finance. RePEc:eee:reveco:v:94:y:2024:i:c:s1059056024003848.

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2025Fed-Driven Systemic Tail Risk: High-Frequency Measurement, Evidence and Implications. (2025). Yang, Xiye ; Neely, Christopher ; Erdemlioglu, Deniz. In: Working Papers. RePEc:fip:fedlwp:96490.

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2024An Option Pricing Formula for Active Hedging Under Logarithmic Investment Strategy. (2024). Wu, Jingyu ; Wang, Mancang ; Zhu, Minting. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:23:p:3874-:d:1540006.

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2024Volatility Modeling and Spillover: The Turkish and Russian Stock Markets. (2024). Genyurk, Galip. In: Istanbul Business Research. RePEc:ist:ibsibr:v:53:y:2024:i:1:p:81-101.

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2024Empirical Analysis of Turkish Banking Sector Institutional and Macroeconomic Determinants of Risks. (2024). Basar, Selim ; Akyol, Hikmet. In: Istanbul Journal of Economics-Istanbul Iktisat Dergisi. RePEc:ist:journl:v:73:y:2024:i:1:p:59-98.

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2024Forecasting Value at Risk and Expected Shortfall of Foreign Exchange Rate Volatility of Major African Currencies via GARCH and Dynamic Conditional Correlation Analysis. (2024). Nadarajah, Saralees ; Okorie, Idika E ; Nzeribe, Geraldine E ; Afuecheta, Emmanuel. In: Computational Economics. RePEc:kap:compec:v:63:y:2024:i:1:d:10.1007_s10614-022-10340-9.

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2024Scenario Generation for Financial Data with a Machine Learning Approach Based on Realized Volatility and Copulas. (2024). Valle, Cristiano Arbex ; Mesquita, Caio Mario ; Machado, Adriano Cesar. In: Computational Economics. RePEc:kap:compec:v:63:y:2024:i:5:d:10.1007_s10614-023-10387-2.

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2025Explaining Exchange Rate Forecasts with Macroeconomic Fundamentals Using Interpretive Machine Learning. (2025). Basar, Ayse ; M. I. M. Wahab, ; Cevik, Mucahit ; Neghab, Davood Pirayesh. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:4:d:10.1007_s10614-024-10617-1.

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2025Measuring and Forecasting Stock Market Volatilities with High-Frequency Data. (2025). Vo, Minh. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:6:d:10.1007_s10614-024-10674-6.

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2025Hedge accounting usage and capital investment: European evidence under IFRS requirements. (2025). Spagnuolo, Flavio ; Santonastaso, Rosalinda ; Maffei, Marco ; Allini, Alessandra. In: Journal of Management & Governance. RePEc:kap:jmgtgv:v:29:y:2025:i:2:d:10.1007_s10997-024-09715-x.

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2024Corporate investment decisions with switch flexibility, constraints, and path-dependency. (2024). Martzoukos, Spiros H ; Pospori, Nayia ; Trigeorgis, Lenos. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:62:y:2024:i:3:d:10.1007_s11156-023-01234-4.

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2024Do ESG fund managers pump and dump the stocks in their portfolios? European evidence. (2024). Papathanasiou, Spyros ; Kenourgios, Dimitris ; Koutsokostas, Drosos. In: Journal of Asset Management. RePEc:pal:assmgt:v:25:y:2024:i:3:d:10.1057_s41260-024-00351-6.

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2025On the main determinants of startup investment in developing countries. (2025). Comincioli, Nicola ; Panteghini, Paolo M ; Vergalli, Sergio. In: Economia Politica: Journal of Analytical and Institutional Economics. RePEc:spr:epolit:v:42:y:2025:i:2:d:10.1007_s40888-025-00369-y.

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2025Bayesian Inference in a Structural Model of Family Home Prices. (2025). Tomat, Gian Maria. In: Italian Economic Journal: A Continuation of Rivista Italiana degli Economisti and Giornale degli Economisti. RePEc:spr:italej:v:11:y:2025:i:1:d:10.1007_s40797-023-00259-x.

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2024The Impact of Transitory Climate Risk on Firm Valuation and Financial Institutions: A Stress Test Approach. (2024). Schult, Alexander ; Mller, Sebastian ; Friedl, Gunther ; Spagnoli, Alberto. In: Schmalenbach Journal of Business Research. RePEc:spr:sjobre:v:76:y:2024:i:1:d:10.1007_s41471-023-00166-y.

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2024Leveraging prices from credit and equity option markets for portfolio risk management. (2024). Theriault, Mathieu ; Boudreault, Mathieu ; Begin, Jeanfranois. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:1:p:122-147.

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Works by Mark B. Shackleton:

YearTitleTypeCited
2012Evaluating Natural Resource Investments under Different Model Dynamics: Managerial Insights In: European Financial Management.
[Full Text][Citation analysis]		article11
2020NAV inflation and impact on performance in China In: European Financial Management.
[Full Text][Citation analysis]		article2
2014The Option and Decision to Repurchase Stock In: Financial Management.
[Full Text][Citation analysis]		article0
1998Discussion Of Arbitrage‐Free Valuation of Exhaustible Resource Firms In: Journal of Business Finance & Accounting.
[Full Text][Citation analysis]		article0
2002The Expected Return and Exercise Time of Merton‐style Real Options In: Journal of Business Finance & Accounting.
[Full Text][Citation analysis]		article17
2004CAPM, Higher Co‐moment and Factor Models of UK Stock Returns In: Journal of Business Finance & Accounting.
[Full Text][Citation analysis]		article26
2007Generalised Geske‐‐Johnson Interpolation of Option Prices In: Journal of Business Finance & Accounting.
[Full Text][Citation analysis]		article1
2011Continuous Workout Mortgages In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper6
2011Continuous Workout Mortgages.(2011) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		paper
2017Continuous Workout Mortgages: Efficient Pricing and Systemic Implications In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper3
2019Continuous 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: 3		article
2008Distinguishing short and long memory volatility specifications In: Econometrics Journal.
[Full Text][Citation analysis]		article7
2025Corporate social responsibility and insider horizon In: Journal of Corporate Finance.
[Full Text][Citation analysis]		article1
2007Finite maturity caps and floors on continuous flows In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article17
2010Harvesting and recovery decisions under uncertainty In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article3
2005Smooth pasting as rate of return equalization In: Economics Letters.
[Full Text][Citation analysis]		article16
2006How real option disinvestment flexibility augments project NPV In: European Journal of Operational Research.
[Full Text][Citation analysis]		article20
2011Hysteresis effects under CIR interest rates In: European Journal of Operational Research.
[Full Text][Citation analysis]		article9
2020Buyback behaviour and the option funding hypothesis In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article0
2022What drives a firms ES performance? Evidence from stock returns In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article8
2000Valuing the strategic option to sell life insurance business: Theory and evidence In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article0
2004Forecasting currency volatility: A comparison of implied volatilities and AR(FI)MA models In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article145
2004Strategic entry and market leadership in a two-player real options game In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article21
2007Closed-form transformations from risk-neutral to real-world distributions In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article47
2008Surprise 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]		article9
2010A 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]		article35
2011Participating mortgages and the efficiency of financial intermediation In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article6
2011Omitted debt risk, financial distress and the cross-section of expected equity returns In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article1
2014Cojumps in stock prices: Empirical evidence In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article56
2016Reducing the impact of real estate foreclosures with Amortizing Participation Mortgages In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article4
2013Mitigating financial fragility with Continuous Workout Mortgages In: Journal of Economic Behavior & Organization.
[Full Text][Citation analysis]		article13
2013Hedging efficiency in the Greek options market before and after the financial crisis of 2008 In: Journal of Multinational Financial Management.
[Full Text][Citation analysis]		article1
2015Stock-return volatility and daily equity trading by investor groups in Korea In: Pacific-Basin Finance Journal.
[Full Text][Citation analysis]		article11
2016Option-Implied Volatility Measures and Stock Return Predictability In: Post-Print.
[Citation analysis]		paper6
2003The simplest American and Real Option approximations: Geske-Johnson interpolation in maturity and yield In: Applied Economics Letters.
[Full Text][Citation analysis]		article2
2009Empirical pricing kernels obtained from the UK index options market In: Applied Economics Letters.
[Full Text][Citation analysis]		article4
2001On the expected payoff and true probability of exercise of European options In: Applied Economics Letters.
[Full Text][Citation analysis]		article3
2005On the use and improvement of Hull and Whites control variate technique In: Applied Financial Economics.
[Full Text][Citation analysis]		article0
2009Durable vs. disposable equipment choice under interest rate uncertainty In: The European Journal of Finance.
[Full Text][Citation analysis]		article0
2004Pricing options with American-style average reset features In: Quantitative Finance.
[Full Text][Citation analysis]		article2
2013Corporate Risk Management and Hedge Accounting In: Contemporary Accounting Research.
[Full Text][Citation analysis]		article11
2002The Binomial Black–Scholes model and the Greeks In: Journal of Futures Markets.
[Full Text][Citation analysis]		article2
2005On the errors and comparison of Vega estimation methods In: Journal of Futures Markets.
[Full Text][Citation analysis]		article0
2010Efficient quadrature and node positioning for exotic option valuation In: Journal of Futures Markets.
[Full Text][Citation analysis]		article2
2016Asymmetric Effects of Volatility Risk on Stock Returns: Evidence from VIX and VIX Futures In: Journal of Futures Markets.
[Full Text][Citation analysis]		article6

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