Details about Mark B. Shackleton

Access statistics for papers by Mark B. Shackleton.

Last updated 2013-04-02. Update your information in the RePEc Author Service.

Short-id: psh172

Working Papers

2011

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

Journal Articles

2013

1. Mitigating financial fragility with Continuous Workout Mortgages
   Journal of Economic Behavior & Organization, 2013, 85, (C), 269-285

2011

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

2010

5. 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 View citations (7)
6. Harvesting and recovery decisions under uncertainty
   Journal of Economic Dynamics and Control, 2010, 34, (12), 2533-2546 View citations (1)

2009

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

2008

9. Distinguishing short and long memory volatility specifications
   Econometrics Journal, 2008, 11, (3), 617-637 View citations (4)
10. 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 View citations (3)

2007

11. Closed-form transformations from risk-neutral to real-world distributions
    Journal of Banking & Finance, 2007, 31, (5), 1501-1520 View citations (9)
12. Finite maturity caps and floors on continuous flows
    Journal of Economic Dynamics and Control, 2007, 31, (12), 3843-3859 View citations (2)
13. Generalised Geske--Johnson Interpolation of Option Prices
    Journal of Business Finance & Accounting, 2007, 34, (5-6), 976-1001

2006

14. How real option disinvestment flexibility augments project NPV
    European Journal of Operational Research, 2006, 168, (1), 240-252 View citations (4)

2005

15. On the use and improvement of Hull and White's control variate technique
    Applied Financial Economics, 2005, 15, (16), 1171-1179
16. Smooth pasting as rate of return equalization
    Economics Letters, 2005, 89, (2), 200-206 View citations (5)

2004

17. CAPM, Higher Co-moment and Factor Models of UK Stock Returns
    Journal of Business Finance & Accounting, 2004, 31, (1-2), 87-112 View citations (11)
18. Forecasting currency volatility: A comparison of implied volatilities and AR(FI)MA models
    Journal of Banking & Finance, 2004, 28, (10), 2541-2563 View citations (45)
19. Pricing options with American-style average reset features
    Quantitative Finance, 2004, 4, (3), 292-300 View citations (1)
20. Strategic entry and market leadership in a two-player real options game
    Journal of Banking & Finance, 2004, 28, (1), 179-201 View citations (5)

2003

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

2002

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

2001

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

2000

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

1998

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