Mark B. Shackleton : Citation Profile

Are you Mark B. Shackleton?

Lancaster University

11

H index

12

i10 index

466

Citations

RESEARCH PRODUCTION:

36

Articles

4

Papers

RESEARCH ACTIVITY:

   22 years (2000 - 2022). See details.
   Cites by year: 21
   Journals where Mark B. Shackleton has often published
   Relations with other researchers
   Recent citing documents: 40.    Total self citations: 10 (2.1 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/psh172
   Updated: 2024-12-03    RAS profile: 2022-10-05    
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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)

Rodrigues, Artur (5)

Sévi, Benoît (5)

Crisóstomo, Ricardo (5)

Caporin, Massimiliano (5)

Gallo, Giampiero (4)

ORNELAS, JOSE (4)

Clements, Adam (4)

Cites to:

merton, robert (17)

Bollerslev, Tim (17)

Andersen, Torben (14)

Pindyck, Robert (12)

Scholes, Myron (11)

Dixit, Avinash (11)

Fama, Eugene (11)

Diebold, Francis (11)

Campbell, John (9)

Shiller, Robert (9)

Stiglitz, Joseph (9)

Main data

Where Mark B. Shackleton has published?

Journals with more than one article published# docs
Journal of Banking & Finance12
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 (2024 and 2023)

YearTitle of citing document
2023Explaining 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.

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2024On 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.

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2023Assessing 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.

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2023Secured 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.

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2023Is 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.

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2024Systemic 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.

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

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2023Pioneer, 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.

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2024Finite 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.

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2023The 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.

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2023A 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.

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2023A 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.

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2023Jumps 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.

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2024Geopolitical 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.

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2024ESG 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.

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2023Co-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.

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2023Climate 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.

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2023Equity 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.

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2023Discovering 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.

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2023Investment 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.

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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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2023How 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.

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2024Blockchain 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.

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2024Does 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.

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2023Return–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.

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2023Systemic Tail Risk: High-Frequency Measurement, Evidence and Implications. (2023). Yang, Xiye ; Neely, Christopher J ; Erdemlioglu, Deniz. In: Working Papers. RePEc:fip:fedlwp:96490.

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2023On 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.

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2024Corporate 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.

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2024Option?implied information and stock herding. (2019). Verousis, Thanos ; Voukelatos, Nikolaos. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:24:y:2019:i:4:p:1429-1442.

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2024Density forecast comparisons for stock prices, obtained from high‐frequency returns and daily option prices. (2018). Taylor, Stephen J ; Fan, Rui ; Sandri, Matteo . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:38:y:2018:i:1:p:83-103.

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2024Leveraging 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.

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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
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]		paper2
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: 2		article
2008Distinguishing short and long memory volatility specifications In: Econometrics Journal.
[Full Text][Citation analysis]		article7
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]		article15
2006How real option disinvestment flexibility augments project NPV In: European Journal of Operational Research.
[Full Text][Citation analysis]		article19
2011Hysteresis effects under CIR interest rates In: European Journal of Operational Research.
[Full Text][Citation analysis]		article7
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]		article4
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]		article140
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]		article46
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]		article34
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]		article52
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]		article3
2001On the expected payoff and true probability of exercise of European options In: Applied Economics Letters.
[Full Text][Citation analysis]		article2
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]		article10
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

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 3 2024. Contact: CitEc Team