Access Statistics for Mark B. Shackleton

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Continuous Workout Mortgages 0 0 0 45 0 1 4 168
Continuous Workout Mortgages 0 0 0 44 0 1 2 202
Continuous Workout Mortgages: Efficient Pricing and Systemic Implications 0 0 1 30 2 3 9 128
Option-Implied Volatility Measures and Stock Return Predictability 0 0 0 2 0 2 7 80
Total Working Papers 0 0 1 121 2 7 22 578


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A multi-horizon comparison of density forecasts for the S&P 500 using index returns and option prices 0 1 3 46 0 2 8 135
Asymmetric Effects of Volatility Risk on Stock Returns: Evidence from VIX and VIX Futures 0 0 2 8 0 0 2 34
Buyback behaviour and the option funding hypothesis 1 1 1 5 2 3 3 27
CAPM, Higher Co‐moment and Factor Models of UK Stock Returns 0 0 0 22 0 0 13 103
Closed-form transformations from risk-neutral to real-world distributions 0 0 1 240 1 1 3 506
Cojumps in stock prices: Empirical evidence 0 1 2 55 0 3 11 240
Continuous Workout Mortgages: Efficient pricing and systemic implications 0 0 0 4 2 4 13 58
Corporate Risk Management and Hedge Accounting 0 0 2 10 0 0 2 35
Discussion Of Arbitrage‐Free Valuation of Exhaustible Resource Firms 0 0 0 2 0 0 0 8
Distinguishing short and long memory volatility specifications 0 0 0 28 0 0 1 160
Durable vs. disposable equipment choice under interest rate uncertainty 0 0 0 17 2 2 2 134
Efficient quadrature and node positioning for exotic option valuation 0 0 0 1 0 1 1 4
Empirical pricing kernels obtained from the UK index options market 0 0 0 27 0 0 0 85
Evaluating Natural Resource Investments under Different Model Dynamics: Managerial Insights 0 0 0 3 0 0 2 16
Finite maturity caps and floors on continuous flows 0 0 0 32 0 0 0 151
Forecasting currency volatility: A comparison of implied volatilities and AR(FI)MA models 0 1 3 285 1 2 17 859
Generalised Geske‐‐Johnson Interpolation of Option Prices 0 0 0 2 1 1 1 6
Harvesting and recovery decisions under uncertainty 0 0 0 15 0 0 0 55
Hedging efficiency in the Greek options market before and after the financial crisis of 2008 0 0 0 15 0 0 0 91
How real option disinvestment flexibility augments project NPV 0 0 0 51 0 0 1 155
Hysteresis effects under CIR interest rates 1 2 2 14 1 4 7 77
Mitigating financial fragility with Continuous Workout Mortgages 0 0 1 25 0 1 3 127
NAV inflation and impact on performance in China 0 0 0 1 0 0 0 6
Omitted debt risk, financial distress and the cross-section of expected equity returns 0 0 0 12 0 0 12 155
On the errors and comparison of Vega estimation methods 0 0 0 1 0 0 0 8
On the expected payoff and true probability of exercise of European options 0 0 0 216 0 0 1 880
On the use and improvement of Hull and White's control variate technique 0 0 0 104 0 0 0 351
Participating mortgages and the efficiency of financial intermediation 0 0 1 38 2 2 4 166
Pricing options with American-style average reset features 0 0 0 9 0 0 0 35
Reducing the impact of real estate foreclosures with Amortizing Participation Mortgages 0 0 0 3 0 0 1 35
Smooth pasting as rate of return equalization 0 0 0 33 0 0 0 136
Stock-return volatility and daily equity trading by investor groups in Korea 0 0 1 12 0 2 4 64
Strategic entry and market leadership in a two-player real options game 0 1 1 80 0 1 2 229
Surprise vs anticipated information announcements: Are prices affected differently? An investigation in the context of stock splits 0 0 0 73 0 0 0 199
The Binomial Black–Scholes model and the Greeks 0 0 2 9 0 0 4 31
The Expected Return and Exercise Time of Merton‐style Real Options 0 0 0 2 0 0 1 7
The Option and Decision to Repurchase Stock 0 0 0 13 0 0 3 54
The simplest American and Real Option approximations: Geske-Johnson interpolation in maturity and yield 0 0 0 197 0 0 0 658
Valuing the strategic option to sell life insurance business: Theory and evidence 0 0 0 54 0 0 0 197
What drives a firm's ES performance? Evidence from stock returns 0 0 4 10 1 2 13 32
Total Journal Articles 2 7 26 1,774 13 31 135 6,309


Statistics updated 2024-04-03