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 44 2 10 11 213
Continuous Workout Mortgages 0 0 0 45 4 6 8 176
Continuous Workout Mortgages: Efficient Pricing and Systemic Implications 0 0 2 32 1 5 11 139
Option-Implied Volatility Measures and Stock Return Predictability 0 0 0 2 2 4 7 89
Total Working Papers 0 0 2 123 9 25 37 617

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 1 6 8 146
Asymmetric Effects of Volatility Risk on Stock Returns: Evidence from VIX and VIX Futures 0 0 1 9 1 1 3 38
Buyback behaviour and the option funding hypothesis 0 0 0 5 1 2 5 33
CAPM, Higher Co‐moment and Factor Models of UK Stock Returns 0 0 0 22 2 6 11 115
Closed-form transformations from risk-neutral to real-world distributions 0 0 0 241 3 4 8 516
Cojumps in stock prices: Empirical evidence 0 1 3 59 2 6 10 255
Continuous Workout Mortgages: Efficient pricing and systemic implications 0 0 0 4 0 3 7 68
Corporate Risk Management and Hedge Accounting 0 1 5 16 3 6 11 49
Corporate social responsibility and insider horizon 0 0 0 0 5 8 13 13
Discussion Of Arbitrage‐Free Valuation of Exhaustible Resource Firms 0 0 0 2 0 1 1 9
Distinguishing short and long memory volatility specifications 0 0 0 28 3 5 8 169
Durable vs. disposable equipment choice under interest rate uncertainty 0 0 0 17 0 0 1 135
Efficient quadrature and node positioning for exotic option valuation 0 0 2 4 1 1 3 8
Empirical pricing kernels obtained from the UK index options market 0 0 0 27 0 1 2 87
Evaluating Natural Resource Investments under Different Model Dynamics: Managerial Insights 0 0 1 4 1 1 3 19
Finite maturity caps and floors on continuous flows 0 0 1 33 0 0 2 157
Forecasting currency volatility: A comparison of implied volatilities and AR(FI)MA models 0 0 0 286 6 6 9 870
Generalised Geske‐‐Johnson Interpolation of Option Prices 0 0 0 2 1 3 4 11
Harvesting and recovery decisions under uncertainty 0 0 0 15 3 4 7 63
Hedging efficiency in the Greek options market before and after the financial crisis of 2008 1 1 1 16 1 3 3 95
How real option disinvestment flexibility augments project NPV 0 0 0 51 0 0 2 159
Hysteresis effects under CIR interest rates 0 0 0 14 2 2 3 82
Mitigating financial fragility with Continuous Workout Mortgages 0 0 0 25 2 4 6 133
NAV inflation and impact on performance in China 0 0 0 2 1 1 2 9
Omitted debt risk, financial distress and the cross-section of expected equity returns 0 0 0 12 0 0 0 157
On the errors and comparison of Vega estimation methods 0 0 0 1 0 1 1 11
On the expected payoff and true probability of exercise of European options 0 0 0 216 1 1 3 884
On the use and improvement of Hull and White's control variate technique 0 0 0 104 0 2 2 354
Participating mortgages and the efficiency of financial intermediation 0 0 0 39 0 0 2 171
Pricing options with American-style average reset features 0 0 0 10 0 0 1 37
Reducing the impact of real estate foreclosures with Amortizing Participation Mortgages 0 0 0 3 0 2 4 39
Smooth pasting as rate of return equalization 0 0 0 33 0 4 4 140
Stock-return volatility and daily equity trading by investor groups in Korea 0 0 2 15 2 2 5 73
Strategic entry and market leadership in a two-player real options game 0 0 1 81 0 0 4 234
Surprise vs anticipated information announcements: Are prices affected differently? An investigation in the context of stock splits 0 1 3 76 3 5 11 211
The Binomial Black–Scholes model and the Greeks 0 0 0 9 0 3 4 36
The Expected Return and Exercise Time of Merton‐style Real Options 0 0 0 2 4 7 10 18
The Option and Decision to Repurchase Stock 0 0 0 13 0 1 3 57
The simplest American and Real Option approximations: Geske-Johnson interpolation in maturity and yield 0 1 2 199 1 2 5 663
Valuing the strategic option to sell life insurance business: Theory and evidence 0 0 0 54 3 3 3 200
What drives a firm's ES performance? Evidence from stock returns 0 1 3 16 2 11 16 62
Total Journal Articles 1 6 25 1,812 55 118 210 6,586

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Statistics updated 2026-01-09