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 1 44 1 2 10 159
Continuous Workout Mortgages 0 0 1 43 1 2 13 195
Continuous Workout Mortgages: Efficient Pricing and Systemic Implications 0 0 5 21 5 10 39 70
Option-Implied Volatility Measures and Stock Return Predictability 0 0 1 1 1 5 19 42
Total Working Papers 0 0 8 109 8 19 81 466

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 3 38 0 3 14 108
Asymmetric Effects of Volatility Risk on Stock Returns: Evidence from VIX and VIX Futures 0 0 1 6 0 0 4 27
CAPM, Higher Co‐moment and Factor Models of UK Stock Returns 0 0 0 19 0 1 7 49
Closed-form transformations from risk-neutral to real-world distributions 0 0 2 228 1 3 9 469
Cojumps in stock prices: Empirical evidence 2 3 5 43 7 12 28 204
Continuous Workout Mortgages: Efficient pricing and systemic implications 0 1 2 3 3 4 12 21
Corporate Risk Management and Hedge Accounting 1 1 4 4 1 1 13 19
Discussion Of Arbitrage‐Free Valuation of Exhaustible Resource Firms 0 0 0 2 0 0 0 6
Distinguishing short and long memory volatility specifications 0 0 0 28 1 1 1 155
Durable vs. disposable equipment choice under interest rate uncertainty 0 0 0 17 0 0 0 128
Efficient quadrature and node positioning for exotic option valuation 0 0 0 1 0 0 0 3
Empirical pricing kernels obtained from the UK index options market 0 0 0 27 0 0 3 83
Evaluating Natural Resource Investments under Different Model Dynamics: Managerial Insights 0 0 0 0 0 0 2 5
Finite maturity caps and floors on continuous flows 0 0 0 32 0 2 9 145
Forecasting currency volatility: A comparison of implied volatilities and AR(FI)MA models 0 1 8 277 0 3 35 785
Generalised Geske‐‐Johnson Interpolation of Option Prices 0 0 0 0 0 0 0 0
Harvesting and recovery decisions under uncertainty 0 0 1 14 0 0 4 51
Hedging efficiency in the Greek options market before and after the financial crisis of 2008 0 1 1 14 1 5 10 85
How real option disinvestment flexibility augments project NPV 0 0 0 46 0 0 3 146
Hysteresis effects under CIR interest rates 0 0 0 11 0 0 5 66
Mitigating financial fragility with Continuous Workout Mortgages 0 0 0 21 1 1 3 115
NAV inflation and impact on performance in China 0 0 0 0 1 1 3 3
Omitted debt risk, financial distress and the cross-section of expected equity returns 0 0 0 12 0 1 6 91
On the errors and comparison of Vega estimation methods 0 0 0 1 0 0 1 5
On the expected payoff and true probability of exercise of European options 0 0 1 216 1 1 3 878
On the use and improvement of Hull and White's control variate technique 0 0 0 103 0 0 0 346
Participating mortgages and the efficiency of financial intermediation 0 0 0 36 1 1 5 159
Pricing options with American-style average reset features 0 0 0 9 0 0 0 34
Reducing the impact of real estate foreclosures with Amortizing Participation Mortgages 0 0 1 3 1 1 5 24
Smooth pasting as rate of return equalization 0 0 1 33 1 1 2 134
Stock-return volatility and daily equity trading by investor groups in Korea 0 0 0 8 0 0 10 47
Strategic entry and market leadership in a two-player real options game 0 0 1 79 2 2 8 222
Surprise vs anticipated information announcements: Are prices affected differently? An investigation in the context of stock splits 5 7 7 72 15 18 25 184
The Binomial Black–Scholes model and the Greeks 1 1 2 6 1 1 4 22
The Expected Return and Exercise Time of Merton‐style Real Options 0 0 0 1 0 0 1 2
The Option and Decision to Repurchase Stock 0 0 1 11 2 3 8 45
The simplest American and Real Option approximations: Geske-Johnson interpolation in maturity and yield 0 0 0 197 0 0 1 657
Valuing the strategic option to sell life insurance business: Theory and evidence 0 0 0 54 0 0 1 195
Total Journal Articles 9 15 41 1,672 40 66 245 5,718
4 registered items for which data could not be found
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Statistics updated 2021-01-03