11
H index
12
i10 index
463
Citations
Mark B. Shackleton : Citation Profile
Lancaster University | RESEARCH PRODUCTION: 36 Articles 4 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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22 years (2000 - 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:
| Cites to:
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Main data
Where Mark B. Shackleton has published?
| Journals with more than one article published | # docs |
|---|---|
| Journal of Banking & Finance | 12 |
| Journal of Futures Markets | 4 |
| Applied Economics Letters | 3 |
| Journal of Economic Behavior & Organization | 2 |
| Journal of Economic Dynamics and Control | 2 |
| European Journal of Operational Research | 2 |
| European Financial Management | 2 |
| 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 |
| 2024 | On the Main Determinants of Start-Up Investment in Developing Countries. (2024). Panteghini, Paolo ; Vergalli, Sergio ; Comincioli, Nicola. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11014. 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 |
| 2024 | Systemic risk monitoring model from the perspective of public information arrival. (2024). Zhu, Xingting ; Liu, Bin ; Yan, Han ; Wu, Yan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000664. Full description at Econpapers || Download paper |
| 2024 | Stock co-jump networks. (2024). Zheng, Xinghua ; Liu, Guoli ; Ding, YI. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s030440762300057x. 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 |
| 2024 | Finite maturity caps and floors on continuous flows under the constant elasticity of variance process. (2024). da Silva, Fernando Correia ; Vidal, Joo Pedro ; Dias, Jose Carlos. In: European Journal of Operational Research. RePEc:eee:ejores:v:316:y:2024:i:1:p:361-385. 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 | A financial modeling approach to industry exchange-traded funds selection. (2023). Conlon, Thomas ; cotter, john ; Post, Thierry ; Kovalenko, Illia. In: Journal of Empirical Finance. RePEc:eee:empfin:v:74:y:2023:i:c:s0927539823001081. Full description at Econpapers || Download paper |
| 2023 | Jumps in the Chinese crude oil futures volatility forecasting: New evidence. (2023). Wu, Hanlin ; Li, Pan ; Guo, Yangli. In: Energy Economics. RePEc:eee:eneeco:v:126:y:2023:i:c:s014098832300453x. Full description at Econpapers || Download paper |
| 2024 | Geopolitical risk and stock price crash risk: The mitigating role of ESG performance. (2024). Pellegrino, Luigi Raffaele ; Meles, Antonio ; Fiorillo, Paolo ; Verdoliva, Vincenzo. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s105752192300474x. Full description at Econpapers || Download paper |
| 2024 | ESG scores and debt costs: Exploring indebtedness, agency costs, and financial system impact. (2024). Meneses, Lilian Lima ; Alves, Carlos Francisco. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924001728. Full description at Econpapers || Download paper |
| 2023 | Co-jump dynamicity in the cryptocurrency market: A network modelling perspective. (2023). Chen, Yan ; Bouri, Elie ; Zhang, Lei. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pb:s1544612323007444. 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 |
| 2024 | Portfolio 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. 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 |
| 2024 | Blockchain ETFs and the cryptocurrency and Nasdaq markets: Multifractal and asymmetric cross-correlations. (2024). Bouri, Elie ; Nekhili, Ramzi ; Kristjanpoller, Werner. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:637:y:2024:i:c:s0378437124000979. Full description at Econpapers || Download paper |
| 2024 | Does climate governance moderate the relationship between ESG reporting and firm value? Empirical evidence from India. (2024). Tiwari, Aviral Kumar ; Patro, Archana ; Mishra, Geeti. In: International Review of Economics & Finance. RePEc:eee:reveco:v:91:y:2024:i:c:p:920-941. 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 |
| 2024 | Corporate investment decisions with switch flexibility, constraints, and path-dependency. (2024). Trigeorgis, Lenos ; Pospori, Nayia ; Martzoukos, Spiros H. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:62:y:2024:i:3:d:10.1007_s11156-023-01234-4. Full description at Econpapers || Download paper |
| 2023 | Investors trading behaviour and stock market volatility during crisis periods: A dual long?memory model for the Korean Stock Exchange. (2021). Kartsaklas, Aris ; Yfanti, Stavroula ; Karanasos, Menelaos ; Caporale, Guglielmo Maria. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:3:p:4441-4461. Full description at Econpapers || Download paper |
| 2023 | 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 |
| 2024 | Leveraging prices from credit and equity option markets for portfolio risk management. (2024). Boudreault, Mathieu ; Begin, Jeanfranois ; Theriault, Mathieu. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:1:p:122-147. 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 | 11 |
| 2020 | NAV inflation and impact on performance in China In: European Financial Management. [Full Text][Citation analysis] | article | 2 |
| 2014 | The Option and Decision to Repurchase Stock In: Financial Management. [Full Text][Citation analysis] | article | 0 |
| 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 | 7 |
| 2007 | Finite maturity caps and floors on continuous flows In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 17 |
| 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 | 15 |
| 2006 | How real option disinvestment flexibility augments project NPV In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 19 |
| 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 | 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 | 140 |
| 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 | 45 |
| 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 | 33 |
| 2011 | Participating mortgages and the efficiency of financial intermediation In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 6 |
| 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 | 51 |
| 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 | 11 |
| 2016 | Option-Implied Volatility Measures and Stock Return Predictability In: Post-Print. [Citation analysis] | paper | 6 |
| 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 | 6 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 3 2024. Contact: CitEc Team