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Details about Mark B. Shackleton

Homepage:http://www.lancs.ac.uk/staff/shacklem
Phone:44 1524 594131
Postal address:Accounting and Finance Lancaster University Bailrigg Lancaster LA1 4YX, UK.
Workplace:Department of Accounting and Finance, Management School, Lancaster University, (more information at EDIRC)

Access statistics for papers by Mark B. Shackleton.

Last updated 2014-06-16. Update your information in the RePEc Author Service.

Short-id: psh172


Jump to Journal Articles

Working Papers

2011

  1. Continuous Workout Mortgages
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2011) Downloads View citations (2)

Journal Articles

2014

  1. Cojumps in stock prices: Empirical evidence
    Journal of Banking & Finance, 2014, 40, (C), 443-459 Downloads View citations (1)

2013

  1. Hedging efficiency in the Greek options market before and after the financial crisis of 2008
    Journal of Multinational Financial Management, 2013, 23, (1), 1-18 Downloads
  2. Mitigating financial fragility with Continuous Workout Mortgages
    Journal of Economic Behavior & Organization, 2013, 85, (C), 269-285 Downloads View citations (2)

2011

  1. Hysteresis effects under CIR interest rates
    European Journal of Operational Research, 2011, 211, (3), 594-600 Downloads View citations (1)
  2. Omitted debt risk, financial distress and the cross-section of expected equity returns
    Journal of Banking & Finance, 2011, 35, (5), 1213-1227 Downloads View citations (1)
  3. Participating mortgages and the efficiency of financial intermediation
    Journal of Banking & Finance, 2011, 35, (11), 3042-3054 Downloads View citations (2)

2010

  1. A multi-horizon comparison of density forecasts for the S&P 500 using index returns and option prices
    Journal of Banking & Finance, 2010, 34, (11), 2678-2693 Downloads View citations (9)
  2. Harvesting and recovery decisions under uncertainty
    Journal of Economic Dynamics and Control, 2010, 34, (12), 2533-2546 Downloads View citations (2)

2009

  1. Durable vs. disposable equipment choice under interest rate uncertainty
    The European Journal of Finance, 2009, 15, (2), 157-167 Downloads View citations (1)
  2. Empirical pricing kernels obtained from the UK index options market
    Applied Economics Letters, 2009, 16, (10), 989-993 Downloads View citations (1)

2008

  1. Distinguishing short and long memory volatility specifications
    Econometrics Journal, 2008, 11, (3), 617-637 Downloads View citations (4)
  2. Surprise vs anticipated information announcements: Are prices affected differently? An investigation in the context of stock splits
    Journal of Banking & Finance, 2008, 32, (5), 643-653 Downloads View citations (3)

2007

  1. Closed-form transformations from risk-neutral to real-world distributions
    Journal of Banking & Finance, 2007, 31, (5), 1501-1520 Downloads View citations (15)
  2. Finite maturity caps and floors on continuous flows
    Journal of Economic Dynamics and Control, 2007, 31, (12), 3843-3859 Downloads View citations (3)
  3. Generalised Geske--Johnson Interpolation of Option Prices
    Journal of Business Finance & Accounting, 2007, 34, (5-6), 976-1001 Downloads View citations (2)

2006

  1. How real option disinvestment flexibility augments project NPV
    European Journal of Operational Research, 2006, 168, (1), 240-252 Downloads View citations (7)

2005

  1. On the use and improvement of Hull and White's control variate technique
    Applied Financial Economics, 2005, 15, (16), 1171-1179 Downloads
  2. Smooth pasting as rate of return equalization
    Economics Letters, 2005, 89, (2), 200-206 Downloads View citations (7)

2004

  1. CAPM, Higher Co-moment and Factor Models of UK Stock Returns
    Journal of Business Finance & Accounting, 2004, 31, (1-2), 87-112 Downloads View citations (11)
  2. Forecasting currency volatility: A comparison of implied volatilities and AR(FI)MA models
    Journal of Banking & Finance, 2004, 28, (10), 2541-2563 Downloads View citations (61)
  3. Pricing options with American-style average reset features
    Quantitative Finance, 2004, 4, (3), 292-300 Downloads View citations (1)
  4. Strategic entry and market leadership in a two-player real options game
    Journal of Banking & Finance, 2004, 28, (1), 179-201 Downloads View citations (6)

2003

  1. The simplest American and Real Option approximations: Geske-Johnson interpolation in maturity and yield
    Applied Economics Letters, 2003, 10, (11), 709-716 Downloads

2002

  1. The Expected Return and Exercise Time of Merton-style Real Options
    Journal of Business Finance & Accounting, 2002, 29, (3&4), 541-555 Downloads View citations (4)

2001

  1. On the expected payoff and true probability of exercise of European options
    Applied Economics Letters, 2001, 8, (4), 269-271 Downloads View citations (1)

2000

  1. Valuing the strategic option to sell life insurance business: Theory and evidence
    Journal of Banking & Finance, 2000, 24, (10), 1681-1702 Downloads

1998

  1. "Discussion Of" Arbitrage-Free Valuation of Exhaustible Resource Firms
    Journal of Business Finance & Accounting, 1998, 25, (9-10), 1391-1395 Downloads
 
Page updated 2014-09-09