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Publications

by members of

Department of Accounting and Finance
Management School
Lancaster University
Lancaster, United Kingdom

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institution, not those affilated at the time of publication. List of registered members. Register yourself. Citation analysis. Find also a compilation of publications from alumni here.

This page is updated in the first days of each month.

| Working papers | Journal articles | Chapters |

Working papers

2020

  1. Lubberink, Martien, 2020. "Max Headroom: Discretionary Capital Buffers and Bank Risk," MPRA Paper 100445, University Library of Munich, Germany.

2018

  1. Hans Degryse & Vasso Ioannidou & José María Liberti & Jason Sturgess, 2018. "How Do Laws and Institutions affect Recovery Rates on Collateral?," Working Papers 870, Queen Mary University of London, School of Economics and Finance.

2017

  1. Igor Goncharov & Vasso Ioannidou & Martin C. Schmalz, 2017. "(Why) Do Central Banks Care About Their Profits?," CESifo Working Paper Series 6546, CESifo.
  2. Robert J. Shiller & Rafal M. Wojakowski & M. Shahid Ebrahim & Mark B. Shackleton, 2017. "Continuous Workout Mortgages: Efficient Pricing and Systemic Implications," Cowles Foundation Discussion Papers 2116, Cowles Foundation for Research in Economics, Yale University.

2016

  1. Ioannidou, Vasso & Degryse, Hans & Liberti, Jose Maria & Sturgess, Jason, 2016. "When Do Laws and Institutions Affect Recovery Rates on Collateral?," CEPR Discussion Papers 11406, C.E.P.R. Discussion Papers.
  2. Xi Fu & Eser Arisoy & Mark Shackleton & Mehmet Umutlu, 2016. "Option-Implied Volatility Measures and Stock Return Predictability," Post-Print hal-01484672, HAL.

2015

  1. Huizinga, Harry & Ioannidou, Vasso & Horváth, Bálint, 2015. "Determinants and Valuation Effects of the Home Bias in European Banks' Sovereign Debt Portfolios," CEPR Discussion Papers 10661, C.E.P.R. Discussion Papers.
  2. Vasios, Michalis & Payne, Richard & Nolte, Ingmar, 2015. "Profiting from Mimicking Strategies in Non-Anonymous Markets," MPRA Paper 61710, University Library of Munich, Germany.

2014

  1. Alexey Akimov & Chyi Lin Lee & Simon Stevenson, 2014. "The Sensitivity of European Publically Listed Real Estate to Interest Rates," ERES eres2014_77, European Real Estate Society (ERES).
  2. Lubberink, Martien, 2014. "A Primer on Regulatory Bank Capital Adjustments," MPRA Paper 55290, University Library of Munich, Germany.
  3. Lubberink, Martien, 2014. "Are banks’ below-par own debt repurchases a cause for prudential concern?," MPRA Paper 59475, University Library of Munich, Germany.

2013

  1. Alexey Akimov & Simon Stevenson, 2013. "Securitised Real Estate Regime-Switching Behaviour and the Relationship with Market Interest Rates," ERES eres2013_346, European Real Estate Society (ERES).

2012

  1. Degryse, Hans & Ioannidou , Vasso & von Schedvin, Erik, 2012. "On the Non-Exclusivity of Loan Contracts: An Empirical Investigation," Working Paper Series 258, Sveriges Riksbank (Central Bank of Sweden).
  2. Berger, A.N. & Frame, W.S. & Ioannidou, V., 2012. "Reexamining the Empirical Relation between Loan Risk and Collateral : The Role of the Economic Characteristics of Collateral," Discussion Paper 2012-078, Tilburg University, Center for Economic Research.
  3. Beck, T.H.L. & Ioannidou, V. & Schäfer, L., 2012. "Foreigners vs. Natives : Bank Lending Technologies and Loan Pricing," Discussion Paper 2012-055, Tilburg University, Center for Economic Research.

2011

  1. Allen N. Berger & W. Scott Frame & Vasso P. Ioannidou, 2011. "Reexamining the empirical relation between loan risk and collateral: the roles of collateral characteristics and types," FRB Atlanta Working Paper 2011-12, Federal Reserve Bank of Atlanta.
  2. Robert J. Shiller & Rafal M. Wojakowski & M. Shahid Ebrahim & Mark B. Shackleton, 2011. "Continuous Workout Mortgages," NBER Working Papers 17007, National Bureau of Economic Research, Inc.
  3. Fabian Krüger & Ingmar Nolte, 2011. "Disagreement, Uncertainty and the True Predictive Density," Working Paper Series of the Department of Economics, University of Konstanz 2011-43, Department of Economics, University of Konstanz.

2010

  1. Allen N. Berger & W. Scott Frame & Vasso P. Ioannidou, 2010. "Tests of ex ante versus ex post theories of collateral using private and public information," FRB Atlanta Working Paper 2010-06, Federal Reserve Bank of Atlanta.

2009

  1. Ioannidou, V. & Ongena, S. & Peydro, J.L., 2009. "Monetary Policy, Risk-Taking, and Pricing : Evidence from a Quasi-Natural Experiment," Discussion Paper 2009-31 S, Tilburg University, Center for Economic Research.
  2. Ingmar Nolte & Valeri Voev, 2009. "Least Squares Inference on Integrated Volatility and the Relationship between Efficient Prices and Noise," CREATES Research Papers 2009-16, Department of Economics and Business Economics, Aarhus University.

2008

  1. Ingmar Nolte & Valeri Voev, 2008. "Estimating High-Frequency Based (Co-) Variances: A Unified Approach," CREATES Research Papers 2008-31, Department of Economics and Business Economics, Aarhus University.
  2. Elena Biewen & Sandra Nolte & Martin Rosemann, 2008. "Multiplicative Measurement Error and the Simulation Extrapolation Method," IAW Discussion Papers 39, Institut für Angewandte Wirtschaftsforschung (IAW).

2007

  1. Carlos Martins, 2007. "Consistency of Dividend Signalling and Future Maturity Level:Evidence from UK Data," Working Papers de Economia (Economics Working Papers) 40, Departamento de Economia, Gestão e Engenharia Industrial, Universidade de Aveiro.
  2. Nolte, Ingmar & Voev, Valeri, 2007. "Panel intensity models with latent factors: An application to the trading dynamics on the foreign exchange market," CoFE Discussion Papers 07/02, University of Konstanz, Center of Finance and Econometrics (CoFE).
  3. Lechner, Sandra & Nolte, Ingmar, 2007. "Customer trading in the foreign exchange market empirical evidence from an internet trading platform," CoFE Discussion Papers 07/03, University of Konstanz, Center of Finance and Econometrics (CoFE).
  4. Bien, Katarzyna & Nolte, Ingmar & Pohlmeier, Winfried, 2007. "An inflated Multivariate Integer Count Hurdle model: An application to bid and ask quote dynamics," CoFE Discussion Papers 07/04, University of Konstanz, Center of Finance and Econometrics (CoFE).

2006

  1. Benedikt Goderis & Vasso P. Ioannidou, 2006. "Do High Interest Rates Defend Currencies During Speculative Attacks? New evidence," CSAE Working Paper Series 2006-11, Centre for the Study of African Economies, University of Oxford.
  2. Ioannidou, V. & de Dreu, J., 2006. "The Impact of Explicit Deposit Insurance on Market Discipline," Discussion Paper 2006-5, Tilburg University, Center for Economic Research.
  3. Katarzyna Bien & Ingmar Nolte & Winfried Pohlmeier, 2006. "Estimating liquidity using information on the multivariate trading process," Working Papers 10, Department of Applied Econometrics, Warsaw School of Economics.
  4. Bien, Katarzyna & Nolte, Ingmar & Pohlmeier, Winfried, 2006. "A Multivariate Integer Count Hurdle model: Theory and application to exchange rate dynamics," CoFE Discussion Papers 06/06, University of Konstanz, Center of Finance and Econometrics (CoFE).

2003

  1. Ioannidou, V. & Pierides, Y., 2003. "The Bank's Choice of Financing and the Correlation Structure of Loan Returns," Discussion Paper 2003-51, Tilburg University, Center for Economic Research.
  2. Sandra Lechner & Anne Rozan & François Laisney, 2003. "A model of the anchoring effect in dichotomous choice valuation with follow-up," Working Papers of BETA 2003-07, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
  3. Pohlmeier, Winfried & Lechner, Sandra, 2003. "Schätzung ökonometrischer Modelle auf der Grundlage anonymisierter Daten," CoFE Discussion Papers 03/04, University of Konstanz, Center of Finance and Econometrics (CoFE).
  4. Vicky Henderson & David Hobson & William Shaw & Rafal Wojakowski, 2003. "Bounds for Floating-Strike Asian Options using Symmetry," OFRC Working Papers Series 2003mf04, Oxford Financial Research Centre.

2002

  1. Ioannidou, V., 2002. "Does Monetary Policy Affect the Central Bank's Role in Bank Supervision?," Discussion Paper 2002-54, Tilburg University, Center for Economic Research.
  2. Ioannidou, V., 2002. "Monetary policy and bank supervision," Other publications TiSEM 52862c07-5fe7-405a-b793-7, Tilburg University, School of Economics and Management.

2001

  1. Vicky Henderson & Rafal Wojakowski, 2001. "On the Equivalence of Floating and Fixed-Strike Asian Options," OFRC Working Papers Series 2001mf08, Oxford Financial Research Centre.

2000

  1. Buijink, W.F.J. & Lubberink, M., 2000. "Properties of financial accounting earnings : Some recent insights," Other publications TiSEM 90a76694-10aa-4adf-988f-2, Tilburg University, School of Economics and Management.

Journal articles

2023

  1. Seok Young Hong & Ingmar Nolte & Stephen J Taylor & Xiaolu Zhao, 2023. "Volatility Estimation and Forecasts Based on Price Durations," Journal of Financial Econometrics, Oxford University Press, vol. 21(1), pages 106-144.

2022

  1. Shackleton, Mark & Yan, Jiali & Yao, Yaqiong, 2022. "What drives a firm's ES performance? Evidence from stock returns," Journal of Banking & Finance, Elsevier, vol. 136(C).
  2. Li, Yifan & Nolte, Ingmar & Vasios, Michalis & Voev, Valeri & Xu, Qi, 2022. "Weighted Least Squares Realized Covariation Estimation," Journal of Banking & Finance, Elsevier, vol. 137(C).
  3. Rodrigo Hizmeri & Marwan Izzeldin & Ingmar Nolte & Vasileios Pappas, 2022. "A generalized heterogeneous autoregressive model using market information," Quantitative Finance, Taylor & Francis Journals, vol. 22(8), pages 1513-1534, August.
  4. Lubberink, Martien, 2022. "Max headroom: Discretionary capital buffers and bank risk," International Review of Financial Analysis, Elsevier, vol. 84(C).

2021

  1. Hiroyuki Aman & Wendy Beekes & Philip Brown, 2021. "Corporate Governance and Transparency in Japan," The International Journal of Accounting (TIJA), World Scientific Publishing Co. Pte. Ltd., vol. 56(01), pages 1-40, March.
  2. Li, Yifan & Nolte, Ingmar & Nolte, Sandra, 2021. "High-frequency volatility modeling: A Markov-Switching Autoregressive Conditional Intensity model," Journal of Economic Dynamics and Control, Elsevier, vol. 124(C).
  3. Torben Andersen & Ilya Archakov & Leon Grund & Nikolaus Hautsch & Yifan Li & Sergey Nasekin & Ingmar Nolte & Manh Cuong Pham & Stephen Taylor & Viktor Todorov, 2021. "A Descriptive Study of High-Frequency Trade and Quote Option Data [Stealth Trading in Options Markets]," Journal of Financial Econometrics, Oxford University Press, vol. 19(1), pages 128-177.
  4. Mosammet Asma Jahan & Martien Lubberink & Karen Van Peursem, 2021. "Does prestigious board membership matter? Evidence from New Zealand," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(1), pages 977-1015, March.
  5. Anantavrasilp, Sereeparp & Huijgen, Carel & Lubberink, Martien, 2021. "Do firms anticipate security issues by conservative reporting?," Journal of Contemporary Accounting and Economics, Elsevier, vol. 17(2).

2020

  1. Mark Shackleton & Jiali Yan & Yaqiong Yao, 2020. "NAV inflation and impact on performance in China," European Financial Management, European Financial Management Association, vol. 26(1), pages 118-142, January.
  2. Sonika, Rohit & Shackleton, Mark B., 2020. "Buyback behaviour and the option funding hypothesis," Journal of Banking & Finance, Elsevier, vol. 114(C).
  3. David Happersberger & Harald Lohre & Ingmar Nolte, 2020. "Estimating portfolio risk for tail risk protection strategies," European Financial Management, European Financial Management Association, vol. 26(4), pages 1107-1146, September.

2019

  1. Aman, Hiroyuki & Beekes, Wendy & Chang, Millicent & Wee, Marvin, 2019. "The role of credibility in the relation between management forecasts and analyst forecasts in Japan," Pacific-Basin Finance Journal, Elsevier, vol. 55(C), pages 29-45.
  2. Aman, Hiroyuki & Beekes, Wendy & Berkman, Henk & Bohmann, Marc & Bradbury, Michael & Chapple, Larelle & Chang, Millicent & Clout, Victoria & Faff, Robert & Han, Jianlei & Hillier, David & Hodgson, All, 2019. "Responsible science: Celebrating the 50-year legacy of Ball and Brown (1968) using a registration-based framework," Pacific-Basin Finance Journal, Elsevier, vol. 56(C), pages 129-150.
  3. Shiller, Robert J. & Wojakowski, Rafal M. & Ebrahim, M. Shahid & Shackleton, Mark B., 2019. "Continuous Workout Mortgages: Efficient pricing and systemic implications," Journal of Economic Behavior & Organization, Elsevier, vol. 157(C), pages 244-274.
  4. Nolte, Ingmar & Nolte, Sandra & Pohlmeier, Winfried, 2019. "What determines forecasters’ forecasting errors?," International Journal of Forecasting, Elsevier, vol. 35(1), pages 11-24.
  5. Yizhe Dong & Martien Lubberink & Diandian MA & Mark Tippett, 2019. "Earnings Momentum, Adaptation Value, and Nonlinearities in the Valuation of Chinese Equity Stocks," Abacus, Accounting Foundation, University of Sydney, vol. 55(2), pages 333-361, June.

2018

  1. Kenneth Peasnell & Yuan Yin & Martien Lubberink, 2018. "Analysts’ stock recommendations, earnings growth and risk," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 58(1), pages 217-254, March.

2017

  1. Omar, Ayman M.A. & Wisniewski, Tomasz Piotr & Nolte, Sandra, 2017. "Diversifying away the risk of war and cross-border political crisis," Energy Economics, Elsevier, vol. 64(C), pages 494-510.

2016

  1. Berger, Allen N. & Frame, W. Scott & Ioannidou, Vasso, 2016. "Reexamining the empirical relation between loan risk and collateral: The roles of collateral liquidity and types," Journal of Financial Intermediation, Elsevier, vol. 26(C), pages 28-46.
  2. Wendy Beekes & Philip Brown & Wenwen Zhan & Qiyu Zhang, 2016. "Corporate Governance, Companies’ Disclosure Practices and Market Transparency: A Cross Country Study," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 43(3-4), pages 263-297, March.
  3. Wojakowski, Rafal M. & Ebrahim, M. Shahid & Shackleton, Mark B., 2016. "Reducing the impact of real estate foreclosures with Amortizing Participation Mortgages," Journal of Banking & Finance, Elsevier, vol. 71(C), pages 62-74.
  4. Xi Fu & Matteo Sandri & Mark B. Shackleton, 2016. "Asymmetric Effects of Volatility Risk on Stock Returns: Evidence from VIX and VIX Futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(11), pages 1029-1056, November.
  5. Krüger, Fabian & Nolte, Ingmar, 2016. "Disagreement versus uncertainty: Evidence from distribution forecasts," Journal of Banking & Finance, Elsevier, vol. 72(S), pages 172-186.
  6. Ingmar Nolte & Sandra Nolte, 2016. "The information content of retail investors' order flow," The European Journal of Finance, Taylor & Francis Journals, vol. 22(2), pages 80-104, January.

2015

  1. Vasso Ioannidou & Steven Ongena & José-Luis Peydró, 2015. "Monetary Policy, Risk-Taking, and Pricing: Evidence from a Quasi-Natural Experiment," Review of Finance, European Finance Association, vol. 19(1), pages 95-144.
  2. Wendy Beekes & Philip Brown & Qiyu Zhang & Steven Cahan, 2015. "Corporate governance and the informativeness of disclosures in Australia: a re-examination," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 55(4), pages 931-963, December.
  3. Umutlu, Mehmet & Shackleton, Mark B., 2015. "Stock-return volatility and daily equity trading by investor groups in Korea," Pacific-Basin Finance Journal, Elsevier, vol. 34(C), pages 43-70.
  4. Nolte, Ingmar & Xu, Qi, 2015. "The economic value of volatility timing with realized jumps," Journal of Empirical Finance, Elsevier, vol. 34(C), pages 45-59.
  5. Alexey Akimov & Simon Stevenson & James Young, 2015. "Synchronisation and commonalities in metropolitan housing market cycles," Urban Studies, Urban Studies Journal Limited, vol. 52(9), pages 1665-1682, July.
  6. Alexey Akimov & Simon Stevenson & Maxim Zagonov, 2015. "Public Real Estate and the Term Structure of Interest Rates: A Cross-Country Study," The Journal of Real Estate Finance and Economics, Springer, vol. 51(4), pages 503-540, November.

2014

  1. Gilder, Dudley & Shackleton, Mark B. & Taylor, Stephen J., 2014. "Cojumps in stock prices: Empirical evidence," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 443-459.
  2. Rohit Sonika & Nicholas F. Carline & Mark B. Shackleton, 2014. "The Option and Decision to Repurchase Stock," Financial Management, Financial Management Association International, vol. 43(4), pages 833-855, December.
  3. Nolte, Ingmar & Nolte, Sandra & Vasios, Michalis, 2014. "Sell-side analysts’ career concerns during banking stresses," Journal of Banking & Finance, Elsevier, vol. 49(C), pages 424-441.
  4. Simon Stevenson & Alexey Akimov & Elaine Hutson & Alexandra Krystalogianni, 2014. "Concordance in Global Office Market Cycles," Regional Studies, Taylor & Francis Journals, vol. 48(3), pages 456-470, March.

2013

  1. Shiller, Robert J. & Wojakowski, Rafał M. & Ebrahim, M. Shahid & Shackleton, Mark B., 2013. "Mitigating financial fragility with Continuous Workout Mortgages," Journal of Economic Behavior & Organization, Elsevier, vol. 85(C), pages 269-285.
  2. Shackleton, Mark B. & Voukelatos, Nikolaos, 2013. "Hedging efficiency in the Greek options market before and after the financial crisis of 2008," Journal of Multinational Financial Management, Elsevier, vol. 23(1), pages 1-18.
  3. Argyro Panaretou & Mark B. Shackleton & Paul A Taylor, 2013. "Corporate Risk Management and Hedge Accounting," Contemporary Accounting Research, John Wiley & Sons, vol. 30(1), pages 116-139, March.

2012

  1. Andrianos E. Tsekrekos & Mark B. Shackleton & Rafał Wojakowski, 2012. "Evaluating Natural Resource Investments under Different Model Dynamics: Managerial Insights," European Financial Management, European Financial Management Association, vol. 18(4), pages 543-575, September.
  2. Ingmar Nolte, 2012. "A detailed investigation of the disposition effect and individual trading behavior: a panel survival approach," The European Journal of Finance, Taylor & Francis Journals, vol. 18(10), pages 885-919, November.
  3. Ingmar Nolte & Sandra Nolte, 2012. "How do individual investors trade?," The European Journal of Finance, Taylor & Francis Journals, vol. 18(10), pages 921-947, November.
  4. Wojakowski, Rafał M., 2012. "How should firms selectively hedge? Resolving the selective hedging puzzle," Journal of Corporate Finance, Elsevier, vol. 18(3), pages 560-569.

2011

  1. Berger, Allen N. & Scott Frame, W. & Ioannidou, Vasso, 2011. "Tests of ex ante versus ex post theories of collateral using private and public information," Journal of Financial Economics, Elsevier, vol. 100(1), pages 85-97, April.
  2. Philip Brown & Wendy Beekes & Peter Verhoeven, 2011. "Corporate governance, accounting and finance: A review," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 51(1), pages 96-172, March.
  3. Aretz, Kevin & Shackleton, Mark B., 2011. "Omitted debt risk, financial distress and the cross-section of expected equity returns," Journal of Banking & Finance, Elsevier, vol. 35(5), pages 1213-1227, May.
  4. Dias, José Carlos & Shackleton, Mark B., 2011. "Hysteresis effects under CIR interest rates," European Journal of Operational Research, Elsevier, vol. 211(3), pages 594-600, June.
  5. Ebrahim, M. Shahid & Shackleton, Mark B. & Wojakowski, Rafal M., 2011. "Participating mortgages and the efficiency of financial intermediation," Journal of Banking & Finance, Elsevier, vol. 35(11), pages 3042-3054, November.
  6. Mark Britten-Jones & Anthony Neuberger & Ingmar Nolte, 2011. "Improved Inference in Regression with Overlapping Observations," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 38(5-6), pages 657-683, June.
  7. Adam-Müller, Axel F.A. & Nolte, Ingmar, 2011. "Cross hedging under multiplicative basis risk," Journal of Banking & Finance, Elsevier, vol. 35(11), pages 2956-2964, November.
  8. Ingmar Nolte & Valeri Voev, 2011. "Least Squares Inference on Integrated Volatility and the Relationship Between Efficient Prices and Noise," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(1), pages 94-108, April.
  9. Katarzyna Bien & Ingmar Nolte & Winfried Pohlmeier, 2011. "An inflated multivariate integer count hurdle model: an application to bid and ask quote dynamics," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 26(4), pages 669-707, June.

2010

  1. Ioannidou, Vasso P. & Penas, María Fabiana, 2010. "Deposit insurance and bank risk-taking: Evidence from internal loan ratings," Journal of Financial Intermediation, Elsevier, vol. 19(1), pages 95-115, January.
  2. Vasso Ioannidou & Steven Ongena, 2010. "“Time for a Change”: Loan Conditions and Bank Behavior when Firms Switch Banks," Journal of Finance, American Finance Association, vol. 65(5), pages 1847-1877, October.
  3. Shackleton, Mark B. & Sødal, Sigbjørn, 2010. "Harvesting and recovery decisions under uncertainty," Journal of Economic Dynamics and Control, Elsevier, vol. 34(12), pages 2533-2546, December.
  4. Shackleton, Mark B. & Taylor, Stephen J. & Yu, Peng, 2010. "A multi-horizon comparison of density forecasts for the S&P 500 using index returns and option prices," Journal of Banking & Finance, Elsevier, vol. 34(11), pages 2678-2693, November.
  5. San‐Lin Chung & Kunyi Ko & Mark B. Shackleton & Chung‐Ying Yeh, 2010. "Efficient quadrature and node positioning for exotic option valuation," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 30(11), pages 1026-1057, November.

2009

  1. Jose Carlos Dias & Mark Shackleton, 2009. "Durable vs. disposable equipment choice under interest rate uncertainty," The European Journal of Finance, Taylor & Francis Journals, vol. 15(2), pages 157-167.
  2. Xiaoquan Liu & Mark Shackleton & Stephen Taylor & Xinzhong Xu, 2009. "Empirical pricing kernels obtained from the UK index options market," Applied Economics Letters, Taylor & Francis Journals, vol. 16(10), pages 989-993.

2008

  1. Goderis, Benedikt & Ioannidou, Vasso P., 2008. "Do high interest rates defend currencies during speculative attacks New evidence," Journal of International Economics, Elsevier, vol. 74(1), pages 158-169, January.
  2. Hwang, Soosung & Keswani, Aneel & Shackleton, Mark B., 2008. "Surprise vs anticipated information announcements: Are prices affected differently? An investigation in the context of stock splits," Journal of Banking & Finance, Elsevier, vol. 32(5), pages 643-653, May.
  3. Shiuyan Pong & Mark B. Shackleton & Stephen J. Taylor, 2008. "Distinguishing short and long memory volatility specifications," Econometrics Journal, Royal Economic Society, vol. 11(3), pages 617-637, November.
  4. Ingmar Nolte, 2008. "Modeling a Multivariate Transaction Process," Journal of Financial Econometrics, Oxford University Press, vol. 6(1), pages 143-170, Winter.

2007

  1. Liu, Xiaoquan & Shackleton, Mark B. & Taylor, Stephen J. & Xu, Xinzhong, 2007. "Closed-form transformations from risk-neutral to real-world distributions," Journal of Banking & Finance, Elsevier, vol. 31(5), pages 1501-1520, May.
  2. Shackleton, Mark B. & Wojakowski, Rafal, 2007. "Finite maturity caps and floors on continuous flows," Journal of Economic Dynamics and Control, Elsevier, vol. 31(12), pages 3843-3859, December.
  3. San–Lin Chung & Mark B. Shackleton, 2007. "Generalised Geske‐‐Johnson Interpolation of Option Prices," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 34(5‐6), pages 976-1001, June.
  4. Nolte, Ingmar & Pohlmeier, Winfried, 2007. "Using forecasts of forecasters to forecast," International Journal of Forecasting, Elsevier, vol. 23(1), pages 15-28.
  5. Kã–Nig, Thomas & Lindberg, Bjorn & Lechner, Sandra & Pohlmeier, Winfried, 2007. "Bicameral Conflict Resolution in the European Union: An Empirical Analysis of Conciliation Committee Bargains," British Journal of Political Science, Cambridge University Press, vol. 37(2), pages 281-312, April.

2006

  1. Wendy Beekes & Philip Brown, 2006. "Do Better‐Governed Australian Firms Make More Informative Disclosures?," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 33(3‐4), pages 422-450, April.
  2. Keswani, Aneel & Shackleton, Mark B., 2006. "How real option disinvestment flexibility augments project NPV," European Journal of Operational Research, Elsevier, vol. 168(1), pages 240-252, January.
  3. Roman Liesenfeld & Ingmar Nolte & Winfried Pohlmeier, 2006. "Modelling financial transaction price movements: a dynamic integer count data model," Empirical Economics, Springer, vol. 30(4), pages 795-825, January.

2005

  1. Ioannidou, Vasso P., 2005. "Does monetary policy affect the central bank's role in bank supervision?," Journal of Financial Intermediation, Elsevier, vol. 14(1), pages 58-85, January.
  2. Shackleton, Mark B. & Sodal, Sigbjorn, 2005. "Smooth pasting as rate of return equalization," Economics Letters, Elsevier, vol. 89(2), pages 200-206, November.
  3. San‐Lin Chung & Mark Shackleton, 2005. "On the errors and comparison of Vega estimation methods," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 25(1), pages 21-38, January.
  4. Lechner Sandra & Pohlmeier Winfried, 2005. "Data Masking by Noise Addition and the Estimation of Nonparametric Regression Models," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 225(5), pages 517-528, October.
  5. Carel Huijgen & Martien Lubberink, 2005. "Earnings Conservatism, Litigation and Contracting: The Case of Cross‐Listed Firms," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 32(7‐8), pages 1275-1309, September.

2004

  1. Wendy Beekes & Peter Pope & Steven Young, 2004. "The Link Between Earnings Timeliness, Earnings Conservatism and Board Composition: evidence from the UK," Corporate Governance: An International Review, Wiley Blackwell, vol. 12(1), pages 47-59, January.
  2. Pong, Shiuyan & Shackleton, Mark B. & Taylor, Stephen J. & Xu, Xinzhong, 2004. "Forecasting currency volatility: A comparison of implied volatilities and AR(FI)MA models," Journal of Banking & Finance, Elsevier, vol. 28(10), pages 2541-2563, October.
  3. Shackleton, Mark B. & Tsekrekos, Andrianos E. & Wojakowski, Rafal, 2004. "Strategic entry and market leadership in a two-player real options game," Journal of Banking & Finance, Elsevier, vol. 28(1), pages 179-201, January.
  4. Chuang-Chang Chang & San-Lin Chung & Mark Shackleton, 2004. "Pricing options with American-style average reset features," Quantitative Finance, Taylor & Francis Journals, vol. 4(3), pages 292-300.
  5. Daniel Chi‐Hsiou Hung & Mark Shackleton & Xinzhong Xu, 2004. "CAPM, Higher Co‐moment and Factor Models of UK Stock Returns," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(1‐2), pages 87-112, January.

2003

  1. San-Lin Chung & Mark Shackleton, 2003. "The simplest American and Real Option approximations: Geske-Johnson interpolation in maturity and yield," Applied Economics Letters, Taylor & Francis Journals, vol. 10(11), pages 709-716.

2002

  1. Charles T. Carlstrom & Timothy S. Fuerst & Vasso P. Ioannidou, 2002. "Stock prices and output growth: an examination of the credit channel," Economic Commentary, Federal Reserve Bank of Cleveland, issue Aug.
  2. San‐Lin Chung & Mark Shackleton, 2002. "The Binomial Black–Scholes model and the Greeks," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 22(2), pages 143-153, February.
  3. Mark Shackleton & Rafal Wojakowski, 2002. "The Expected Return and Exercise Time of Merton‐style Real Options," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 29(3‐4), pages 541-555, April.

2001

  1. Mark Shackleton & Rafal Wojakowski, 2001. "On the expected payoff and true probability of exercise of European options," Applied Economics Letters, Taylor & Francis Journals, vol. 8(4), pages 269-271.
  2. Martien Lubberink & Carel Huijgen, 2001. "A Wealth-Based Explanation for Earnings Conservatism," Review of Finance, European Finance Association, vol. 5(3), pages 323-349.

2000

  1. Klumpes, Paul J. M. & Shackleton, Mark B., 2000. "Valuing the strategic option to sell life insurance business: Theory and evidence," Journal of Banking & Finance, Elsevier, vol. 24(10), pages 1681-1702, October.

1998

  1. Mark B. Shackleton, 1998. "Discussion Of Arbitrage‐Free Valuation of Exhaustible Resource Firms," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 25(9‐10), pages 1391-1395, November.

Chapters

2008

  1. Katarzyna Bien & Ingmar Nolte & Winfried Pohlmeier, 2008. "A multivariate integer count hurdle model: theory and application to exchange rate dynamics," Studies in Empirical Economics, in: Luc Bauwens & Winfried Pohlmeier & David Veredas (ed.), High Frequency Financial Econometrics, pages 31-48, Springer.
  2. Roman Liesenfeld & Ingmar Nolte & Winfried Pohlmeier, 2008. "Modelling financial transaction price movements: a dynamic integer count data model," Studies in Empirical Economics, in: Luc Bauwens & Winfried Pohlmeier & David Veredas (ed.), High Frequency Financial Econometrics, pages 167-197, Springer.

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