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 1 3 11 179
Continuous Workout Mortgages 0 0 0 44 0 1 11 214
Continuous Workout Mortgages: Efficient Pricing and Systemic Implications 0 0 2 32 1 4 14 143
Option-Implied Volatility Measures and Stock Return Predictability 0 0 0 2 0 5 11 94
Total Working Papers 0 0 2 123 2 13 47 630

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 0 0 47 2 4 12 150
Asymmetric Effects of Volatility Risk on Stock Returns: Evidence from VIX and VIX Futures 0 0 1 9 0 6 8 44
Buyback behaviour and the option funding hypothesis 0 0 0 5 1 3 8 36
CAPM, Higher Co‐moment and Factor Models of UK Stock Returns 0 0 0 22 1 5 15 120
Closed-form transformations from risk-neutral to real-world distributions 0 0 0 241 1 6 14 522
Cojumps in stock prices: Empirical evidence 0 0 2 59 0 7 14 262
Continuous Workout Mortgages: Efficient pricing and systemic implications 0 0 0 4 0 4 9 72
Corporate Risk Management and Hedge Accounting 0 0 4 16 1 6 16 55
Corporate social responsibility and insider horizon 0 0 0 0 0 3 16 16
Discussion Of Arbitrage‐Free Valuation of Exhaustible Resource Firms 0 0 0 2 0 1 2 10
Distinguishing short and long memory volatility specifications 0 0 0 28 0 2 9 171
Durable vs. disposable equipment choice under interest rate uncertainty 0 0 0 17 1 7 8 142
Efficient quadrature and node positioning for exotic option valuation 0 0 2 4 1 1 4 9
Empirical pricing kernels obtained from the UK index options market 0 0 0 27 0 1 2 88
Evaluating Natural Resource Investments under Different Model Dynamics: Managerial Insights 0 0 0 4 0 3 5 22
Finite maturity caps and floors on continuous flows 0 0 1 33 0 3 4 160
Forecasting currency volatility: A comparison of implied volatilities and AR(FI)MA models 0 0 0 286 0 11 19 881
Generalised Geske‐‐Johnson Interpolation of Option Prices 0 1 1 3 0 2 6 13
Harvesting and recovery decisions under uncertainty 0 0 0 15 0 2 9 65
Hedging efficiency in the Greek options market before and after the financial crisis of 2008 0 0 1 16 0 4 7 99
How real option disinvestment flexibility augments project NPV 0 0 0 51 0 3 4 162
Hysteresis effects under CIR interest rates 0 0 0 14 1 4 7 86
Mitigating financial fragility with Continuous Workout Mortgages 0 0 0 25 2 11 16 144
NAV inflation and impact on performance in China 0 0 0 2 0 3 4 12
Omitted debt risk, financial distress and the cross-section of expected equity returns 0 0 0 12 1 9 9 166
On the errors and comparison of Vega estimation methods 0 0 0 1 0 1 2 12
On the expected payoff and true probability of exercise of European options 0 0 0 216 0 4 6 888
On the use and improvement of Hull and White's control variate technique 0 0 0 104 0 2 4 356
Participating mortgages and the efficiency of financial intermediation 1 1 1 40 3 7 9 178
Pricing options with American-style average reset features 0 0 0 10 0 2 3 39
Reducing the impact of real estate foreclosures with Amortizing Participation Mortgages 0 0 0 3 13 15 18 54
Smooth pasting as rate of return equalization 0 0 0 33 1 4 8 144
Stock-return volatility and daily equity trading by investor groups in Korea 0 0 2 15 0 8 12 81
Strategic entry and market leadership in a two-player real options game 1 1 1 82 1 6 9 240
Surprise vs anticipated information announcements: Are prices affected differently? An investigation in the context of stock splits 0 0 3 76 1 14 22 225
The Binomial Black–Scholes model and the Greeks 0 0 0 9 0 2 6 38
The Expected Return and Exercise Time of Merton‐style Real Options 0 0 0 2 0 1 10 19
The Option and Decision to Repurchase Stock 0 0 0 13 0 5 7 62
The simplest American and Real Option approximations: Geske-Johnson interpolation in maturity and yield 0 0 1 199 0 2 5 665
Valuing the strategic option to sell life insurance business: Theory and evidence 0 0 0 54 0 0 3 200
What drives a firm's ES performance? Evidence from stock returns 0 1 4 17 1 4 19 66
Total Journal Articles 2 4 24 1,816 32 188 370 6,774

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Statistics updated 2026-04-09