| . |
Shackleton, Mark B.'s
Scholarly Papers
Click on the title of any column to sort the table by that
column. |
|
|
| |
|
|
Aggregate Statistics |
|
Total
Downloads
6,530 |
Total
Citations
126 |
|
|
|
|
|
1.
|
|
Forecasting Currency Volatility: A Comparison of Implied Volatilities and AR(FI)MA Models
|
Show Abstracts |
Hide Abstracts |
Versions (2)
|
hide multiple versions |
Export Bibliographic Info |
|
Pong, Shiu-yan Eddie
Lancaster University - Department of Accounting and Finance Shackleton, Mark B.
Lancaster University - Department of Accounting and Finance Taylor, Stephen J.
Lancaster University - Department of Accounting and Finance Xu, Xinzhong
Peking University - Guang Hua School of Management
|
|
Posted:
|
|
16 Mar 02
|
|
Last Revised:
|
|
14 Jan 04
|
|
1,198
(6,935)
|
47
|
|
|
|
|
Pong, Shiu-yan Eddie
Lancaster University - Department of Accounting and Finance Shackleton, Mark B.
Lancaster University - Department of Accounting and Finance Taylor, Stephen J.
Lancaster University - Department of Accounting and Finance Xu, Xinzhong
Peking University - Guang Hua School of Management
|
|
0
|
|
|
| |
|
| |
Realized volatility, Fractional integration, Forecasting, Implied volatilities, Exchange rates
|
|
|
|
|
|
|
Pong, Shiu-yan Eddie
Lancaster University - Department of Accounting and Finance Shackleton, Mark B.
Lancaster University - Department of Accounting and Finance Taylor, Stephen J.
Lancaster University - Department of Accounting and Finance Xu, Xinzhong
Peking University - Guang Hua School of Management
|
|
1,198
|
47
|
|
| |
|
| |
Realized volatility, Fractional integration, Forecasting, Implied volatilities, Exchange rates
|
|
|
|
|
|
2.
|
|
|
Liu, Xiaoquan
Essex Business School Shackleton, Mark B.
Lancaster University - Department of Accounting and Finance Taylor, Stephen J.
Lancaster University - Department of Accounting and Finance Xu, Xinzhong
Peking University - Guang Hua School of Management
|
|
989
(9,551)
|
24
|
|
| |
|
| |
|
|
|
3.
|
|
CAPM, Higher Co-moment and Factor Models of UK Stock Returns
|
Show Abstracts |
Hide Abstracts |
Versions (2)
|
hide multiple versions |
Export Bibliographic Info |
|
Hung, Chi-Hsiou Daniel
Adam Smith Business School Shackleton, Mark B.
Lancaster University - Department of Accounting and Finance Xu, Xinzhong
Peking University - Guang Hua School of Management
|
|
Posted:
|
|
23 Jun 03
|
|
Last Revised:
|
|
20 Apr 07
|
|
718
(15,611)
|
18
|
|
|
|
|
Hung, Chi-Hsiou Daniel
Adam Smith Business School Shackleton, Mark B.
Lancaster University - Department of Accounting and Finance Xu, Xinzhong
Peking University - Guang Hua School of Management
|
|
19
|
18
|
|
| |
|
| |
|
|
|
|
|
|
|
Hung, Chi-Hsiou Daniel
Adam Smith Business School Shackleton, Mark B.
Lancaster University - Department of Accounting and Finance Xu, Xinzhong
Peking University - Guang Hua School of Management
|
|
699
|
18
|
|
| |
|
| |
Fama French Factors, CAPM, comoment, coskewness, cokurtosis, cross section, UK stock returns.
|
|
|
|
|
|
4.
|
|
|
Shackleton, Mark B.
Lancaster University - Department of Accounting and Finance Tsekrekos, Andrianos E.
Athens University of Economics and Business - Department of Accounting and Finance Wojakowski, Rafal M.
Lancaster University - Management School
|
| Posted: |
|
16 Mar 02
|
|
Last Revised:
|
|
22 Jan 13
|
|
636
(18,604)
|
2
|
|
| |
|
| |
Real options, Intertemporal optimal exchange, Two-player stochastic game, Expected active times and probabilities
|
|
|
5.
|
|
|
Keswani, Aneel
Faculty of Finance, Cass Business School, City University, London Shackleton, Mark B.
Lancaster University - Department of Accounting and Finance
|
| Posted: |
|
14 Mar 04
|
|
Last Revised:
|
|
12 May 11
|
|
537
(23,451)
|
2
|
|
| |
|
| |
Financial education, decision analysis, real options, project valuation with disinvestment
|
|
|
6.
|
|
|
Shackleton, Mark B.
Lancaster University - Department of Accounting and Finance Taylor, Stephen J.
Lancaster University - Department of Accounting and Finance Yu, Peng
Lancaster University - Department of Accounting and Finance
|
| Posted: |
|
17 Mar 08
|
|
Last Revised:
|
|
11 May 10
|
|
473
(27,705)
|
9
|
|
| |
|
| |
ARCH Models, Density Forecasts, Risk-Neutral Densities, Risk Transformations
|
|
|
7.
|
|
|
Pong, Shiu-yan Eddie
Lancaster University - Department of Accounting and Finance Shackleton, Mark B.
Lancaster University - Department of Accounting and Finance Taylor, Stephen J.
Lancaster University - Department of Accounting and Finance
|
| Posted: |
|
31 Jan 06
|
|
Last Revised:
|
|
04 Apr 08
|
|
291
(50,490)
|
1
|
|
| |
|
| |
long memory, volatility, spectral test
|
|
|
8.
|
|
|
Shackleton, Mark B.
Lancaster University - Department of Accounting and Finance Wojakowski, Rafal M.
Lancaster University - Management School
|
| Posted: |
|
22 Mar 02
|
|
Last Revised:
|
|
09 Mar 08
|
|
279
(52,988)
|
4
|
|
| |
|
| |
Finite maturity, caps and floors, continuous flows, time integral of options, implied volatilities
|
|
|
9.
|
|
|
Hwang, Soosung
Sungkyunkwan University - Department of Economics Keswani, Aneel
Faculty of Finance, Cass Business School, City University, London Shackleton, Mark B.
Lancaster University - Department of Accounting and Finance
|
|
212
(71,266)
|
1
|
|
| |
|
| |
Stock Splits, Market Efficiency, Underreaction
|
|
|
10.
|
|
|
Aretz, Kevin
Manchester Business School Shackleton, Mark B.
Lancaster University - Department of Accounting and Finance
|
| Posted: |
|
03 Mar 08
|
|
Last Revised:
|
|
18 Oct 10
|
|
203
(74,507)
|
1
|
|
| |
|
| |
CAPM, characteristic anomalies, equity and debt market portfolio, calibration
|
|
|
11.
|
|
|
O'Brien, Fergal
University of Limerick - Kemmy Business School Shackleton, Mark B.
Lancaster University - Department of Accounting and Finance
|
|
172
(87,433)
|
|
|
| |
|
| |
Option returns, CAPM, systematic, skewness, kurtosis, comoments, cross-section
|
|
|
12.
|
|
|
Sodal, Sigbjorn
Agder University College Shackleton, Mark B.
Lancaster University - Department of Accounting and Finance
|
|
149
(99,614)
|
6
|
|
| |
|
| |
Smooth pasting, rates of return, option elasticity, real option
|
|
|
13.
|
|
|
Chung, San-Lin
National Taiwan University - Department of Finance Shackleton, Mark B.
Lancaster University - Department of Accounting and Finance
|
|
124
(116,264)
|
|
|
| |
|
| |
Geske-Johnson two-point pricing, real options, American, Bermudan and Arctic options
|
|
|
14.
|
|
|
Ebrahim, Muhammed Shahid
Bangor University - University of Wales System Shackleton, Mark B.
Lancaster University - Department of Accounting and Finance Wojakowski, Rafal M.
Lancaster University - Management School
|
|
101
(135,644)
|
3
|
|
| |
|
| |
Participating Mortgage (PM), Shared Appreciation Mortgage (SAM), Shared Income Mortgage (SIM), Shared Equity Mortgage (SEM), Profit Caps and Floors.
|
|
|
15.
|
|
Continuous Workout Mortgages
|
Show Abstracts |
Hide Abstracts |
Versions (3)
|
hide multiple versions |
Export Bibliographic Info |
|
Shiller, Robert J.
Yale University - Cowles Foundation Wojakowski, Rafal M.
Lancaster University - Management School Ebrahim, Muhammed Shahid
Bangor University - University of Wales System Shackleton, Mark B.
Lancaster University - Department of Accounting and Finance
|
|
Posted:
|
|
23 Apr 11
|
|
Last Revised:
|
|
09 May 11
|
|
94
(142,466)
|
2
|
|
|
|
|
Shiller, Robert J.
Yale University - Cowles Foundation Wojakowski, Rafal M.
Lancaster University - Management School Ebrahim, Muhammed Shahid
Bangor University - University of Wales System Shackleton, Mark B.
Lancaster University - Department of Accounting and Finance
|
|
10
|
2
|
|
| |
|
| |
|
|
|
|
|
|
|
Shiller, Robert J.
Yale University - Cowles Foundation Wojakowski, Rafal M.
Lancaster University - Management School Ebrahim, Muhammed Shahid
Bangor University - University of Wales System Shackleton, Mark B.
Lancaster University - Department of Accounting and Finance
|
|
44
|
2
|
|
| |
|
| |
Continuous Workout Mortgage (CWM), Repayment, Interest-only, House price index, Prepayment intensity, Cap and floor on continuous flow
|
|
|
|
|
|
|
Shiller, Robert J.
Yale University - Cowles Foundation Wojakowski, Rafal M.
Lancaster University - Management School Ebrahim, Muhammed Shahid
Bangor University - University of Wales System Shackleton, Mark B.
Lancaster University - Department of Accounting and Finance
|
|
40
|
2
|
|
| |
|
| |
Continuous Workout Mortgage (CWM), Repayment, Interest-only, House price index, Prepayment intensity, Cap and floor on continuous flow
|
|
|
|
|
|
16.
|
|
|
Sonika, Rohit
Lancaster University - Department of Accounting and Finance Carline, Nicholas F.
University of Birmingham - The Birmingham Business School Shackleton, Mark B.
Lancaster University - Department of Accounting and Finance
|
| Posted: |
|
31 Jul 11
|
|
Last Revised:
|
|
04 Apr 13
|
|
88
(148,881)
|
|
|
| |
|
| |
Share repurchase, open-market, flexibility, cash, risk
|
|
|
17.
|
|
|
Gilder, Dudley
Finance and Accounting Group, Aston Business School, Aston University Shackleton, Mark B.
Lancaster University - Department of Accounting and Finance Taylor, Stephen J.
Lancaster University - Department of Accounting and Finance
|
| Posted: |
|
24 Mar 12
|
|
Last Revised:
|
|
06 Mar 13
|
|
85
(152,155)
|
|
|
| |
|
| |
High-Frequency Data, Non-parametric Jump Tests, Realised Volatility, Macroeconomic News
|
|
|
18.
|
|
Evaluating Natural Resource Investments Under Different Model Dynamics: Managerial Insights
|
Show Abstracts |
Hide Abstracts |
Versions (2)
|
hide multiple versions |
Export Bibliographic Info |
|
Tsekrekos, Andrianos E.
Athens University of Economics and Business - Department of Accounting and Finance Shackleton, Mark B.
Lancaster University - Department of Accounting and Finance Wojakowski, Rafał
affiliation not provided to SSRN
|
|
Posted:
|
|
06 May 11
|
|
Last Revised:
|
|
28 Aug 12
|
|
45
(211,916)
|
|
|
|
|
|
Tsekrekos, Andrianos E.
Athens University of Economics and Business - Department of Accounting and Finance Shackleton, Mark B.
Lancaster University - Department of Accounting and Finance Wojakowski, Rafał
affiliation not provided to SSRN
|
|
0
|
|
|
| |
|
| |
natural resource investment, real options, factor models, commodity prices, least‐squares Monte Carlo simulation
|
|
|
|
|
|
|
Tsekrekos, Andrianos E.
Athens University of Economics and Business - Department of Accounting and Finance Shackleton, Mark B.
Lancaster University - Department of Accounting and Finance Wojakowski, Rafal M.
Lancaster University - Management School
|
| Posted: |
|
06 May 11
|
|
Last Revised:
|
|
28 Aug 12
|
|
45
|
|
|
| |
|
| |
Natural resource investment, Real options, Factor models, Commodity prices, least–squares Monte Carlo simulation
|
|
|
|
|
|
19.
|
|
|
Gager, Philip C.
University of Cumbria Shackleton, Mark B.
Lancaster University - Department of Accounting and Finance
|
| Posted: |
|
05 Nov 09
|
|
Last Revised:
|
|
12 May 11
|
|
44
(213,979)
|
|
|
| |
|
| |
game and net present valuation, Markovian and Matrix methods
|
|
|
20.
|
|
|
Dias, José Carlos
ISCAC Business School Shackleton, Mark B.
Lancaster University - Department of Accounting and Finance
|
| Posted: |
|
09 Jul 10
|
|
Last Revised:
|
|
12 May 11
|
|
40
(222,144)
|
|
|
| |
|
| |
Finance, Real Options, Interest Rate Uncertainty, Perpetuities, Investment Hysteresis
|
|
|
21.
|
|
|
Wojakowski, Rafal M.
Lancaster University - Management School Shackleton, Mark B.
Lancaster University - Department of Accounting and Finance
|
|
37
(228,645)
|
5
|
|
| |
|
| |
|
|
|
22.
|
|
|
Chung, San-Lin
National Central University at Taiwan - Department of Finance Shackleton, Mark B.
Lancaster University - Department of Accounting and Finance
|
|
13
(303,036)
|
|
|
| |
|
| |
Geske-Johnson two-point pricing, real options, American, Bermudan and Artic options
|
|
|
23.
|
|
|
Pong, Shiuyan
affiliation not provided to SSRN Shackleton, Mark B.
Lancaster University - Department of Accounting and Finance Taylor, Stephen J.
Lancaster University - Department of Accounting and Finance
|
|
2
(339,273)
|
1
|
|
| |
|
| |
|
|
|
24.
|
|
|
Ebrahim, Muhammed Shahid
Bangor University - University of Wales System Shackleton, Mark B.
Lancaster University - Department of Accounting and Finance Wojakowski, Rafal M.
Lancaster University - Management School
|
| Posted: |
|
01 Dec 10
|
|
Last Revised:
|
|
11 Apr 11
|
|
|
|
|
| |
|
| |
|
|
|
25.
|
|
|
Shackleton, Mark B.
Lancaster University - Department of Accounting and Finance Wojakowski, Rafal M.
Lancaster University - Management School
|
|
|
|
|
| |
|
| |
Rate of return on option, Actual probability, Change of numeraire, True probability of exercise, Put call parity
|
|
|
26.
|
|
|
Chang, Chuang-Chang
National Central University at Taiwan - Department of Finance Shackleton, Mark B.
Lancaster University - Department of Accounting and Finance Chung, San-Lin
National Central University at Taiwan - Department of Finance
|
|
|
|
|
| |
|
| |
Tri-nomial tree, reset option, American and average features
|
|
