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Publications

by members of

Lancaster University → Management School → Department of Accounting and Finance

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, University Library of Munich, Germany, number 100445, May.

2018

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

2017

  1. Igor Goncharov & Vasso Ioannidou & Martin C. Schmalz, 2017, "(Why) Do Central Banks Care About Their Profits?," CESifo Working Paper Series, CESifo, number 6546.
  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, Cowles Foundation for Research in Economics, Yale University, number 2116, Dec.

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, Centre for Economic Policy Research, number 11406, Jul.
  2. Xi Fu & Eser Arisoy & Mark Shackleton & Mehmet Umutlu, 2016, "Option-Implied Volatility Measures and Stock Return Predictability," Post-Print, HAL, number hal-01484672, DOI: 10.3905/jod.2016.24.1.058.

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, Centre for Economic Policy Research, number 10661, Jun.
  2. Vasios, Michalis & Payne, Richard & Nolte, Ingmar, 2015, "Profiting from Mimicking Strategies in Non-Anonymous Markets," MPRA Paper, University Library of Munich, Germany, number 61710.

2014

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

2013

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

2012

  1. Degryse, Hans & Ioannidou , Vasso & von Schedvin, Erik, 2012, "On the Non-Exclusivity of Loan Contracts: An Empirical Investigation," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 258, Feb.
  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, Tilburg University, Center for Economic Research, number 2012-078.
  3. Beck, T.H.L. & Ioannidou, V. & Schäfer, L., 2012, "Foreigners vs. Natives : Bank Lending Technologies and Loan Pricing," Discussion Paper, Tilburg University, Center for Economic Research, number 2012-055.

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, Federal Reserve Bank of Atlanta, number 2011-12.
  2. Fabian Krüger & Ingmar Nolte, 2011, "Disagreement, Uncertainty and the True Predictive Density," Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz, number 2011-43, Sep.
  3. Robert J. Shiller & Rafal M. Wojakowski & M. Shahid Ebrahim & Mark B. Shackleton, 2011, "Continuous Workout Mortgages," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1794, Apr.

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, Federal Reserve Bank of Atlanta, number 2010-06.

2009

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

2008

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

2007

  1. Lechner, Sandra & Nolte, Ingmar, 2007, "Customer trading in the foreign exchange market empirical evidence from an internet trading platform," CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE), number 07/03.
  2. Carlos Martins, 2007, "Consistency of Dividend Signalling and Future Maturity Level:Evidence from UK Data," Working Papers de Economia (Economics Working Papers), Departamento de Economia, Gestão e Engenharia Industrial, Universidade de Aveiro, number 40, Feb.
  3. 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, University of Konstanz, Center of Finance and Econometrics (CoFE), number 07/02.
  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, University of Konstanz, Center of Finance and Econometrics (CoFE), number 07/04.

2006

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

2003

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

2002

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

2001

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

2000

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

Journal articles

2026

  1. Li, Qiyuan & Li, Yifan & Nolte, Ingmar & Nolte, Sandra & Yu, Shifan, 2026, "Testing for jumps in a discretely observed price process with endogenous sampling times," Journal of Econometrics, Elsevier, volume 254, issue PA, DOI: 10.1016/j.jeconom.2025.106132.
  2. Filip Bašić & Alberto Martín-Utrera & Ingmar Nolte & Sandra Nolte, 2026, "The risk of falling short: implementation shortfall variance in portfolio construction," The European Journal of Finance, Taylor & Francis Journals, volume 32, issue 4-6, pages 546-563, April, DOI: 10.1080/1351847X.2025.2558117.

2025

  1. Yifan Li & Ingmar Nolte & Sandra Nolte & Shifan Yu, 2025, "Decoupling Interday and Intraday Volatility Dynamics With Price Durations," Journal of Time Series Analysis, Wiley Blackwell, volume 46, issue 6, pages 1224-1250, November, DOI: 10.1111/jtsa.12849.
  2. Li, Yifan & Nolte, Ingmar & Nolte, Sandra & Yu, Shifan, 2025, "Realized candlestick wicks," Journal of Econometrics, Elsevier, volume 250, issue C, DOI: 10.1016/j.jeconom.2025.106014.
  3. Frenkel Michael & Nolte Sandra & Prantl Susanne, 2025, "Editorial: 2024 Best Paper Award," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, volume 245, issue 3, pages 247-249, DOI: 10.1515/jbnst-2025-0013.
  4. Torben G. Andersen & Kim Christensen & Ingmar Nolte, 2025, "Special Issue in Honour of Stephen J. Taylor: Guest Editors' Introduction," Journal of Time Series Analysis, Wiley Blackwell, volume 46, issue 6, pages 1029-1031, November, DOI: 10.1111/jtsa.70014.
  5. Shackleton, Mark & Yao, Yaqiong & Zuo, Ziran, 2025, "Corporate social responsibility and insider horizon," Journal of Corporate Finance, Elsevier, volume 90, issue C, DOI: 10.1016/j.jcorpfin.2024.102696.

2024

  1. Anastasios Kagkadis & Ingmar Nolte & Sandra Nolte & Nikolaos Vasilas, 2024, "Factor Timing with Portfolio Characteristics," The Review of Asset Pricing Studies, Society for Financial Studies, volume 14, issue 1, pages 84-118.
  2. Liao, Shushu & Nolte, Ingmar & Pawlina, Grzegorz, 2024, "Can Capital Adjustment Costs Explain the Decline in Investment–Cash Flow Sensitivity?," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 59, issue 5, pages 2399-2424, August.
  3. Li, Yifan & Nolte, Ingmar & Pham, Manh Cuong, 2024, "Parametric risk-neutral density estimation via finite lognormal-Weibull mixtures," Journal of Econometrics, Elsevier, volume 241, issue 2, DOI: 10.1016/j.jeconom.2024.105748.

2023

  1. Torben Andersen & Kim Christensen & Ingmar Nolte, 2023, "Announcement: Call for Papers for Special Issue in Honour of Stephen J. Taylor," Journal of Time Series Analysis, Wiley Blackwell, volume 44, issue 4, pages 336-336, July, DOI: 10.1111/jtsa.12693.
  2. 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, volume 21, issue 1, pages 106-144.

2022

  1. Lubberink, Martien, 2022, "Max headroom: Discretionary capital buffers and bank risk," International Review of Financial Analysis, Elsevier, volume 84, issue C, DOI: 10.1016/j.irfa.2022.102402.
  2. Li, Yifan & Nolte, Ingmar & Vasios, Michalis & Voev, Valeri & Xu, Qi, 2022, "Weighted Least Squares Realized Covariation Estimation," Journal of Banking & Finance, Elsevier, volume 137, issue C, DOI: 10.1016/j.jbankfin.2022.106420.
  3. Rodrigo Hizmeri & Marwan Izzeldin & Ingmar Nolte & Vasileios Pappas, 2022, "A generalized heterogeneous autoregressive model using market information," Quantitative Finance, Taylor & Francis Journals, volume 22, issue 8, pages 1513-1534, August, DOI: 10.1080/14697688.2022.2076606.
  4. Shackleton, Mark & Yan, Jiali & Yao, Yaqiong, 2022, "What drives a firm's ES performance? Evidence from stock returns," Journal of Banking & Finance, Elsevier, volume 136, issue C, DOI: 10.1016/j.jbankfin.2021.106304.

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., volume 56, issue 01, pages 1-40, March, DOI: 10.1142/S1094406021500037.
  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, volume 124, issue C, DOI: 10.1016/j.jedc.2021.104077.
  3. 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, volume 61, issue 1, pages 977-1015, March, DOI: 10.1111/acfi.12601.
  4. Anantavrasilp, Sereeparp & Huijgen, Carel & Lubberink, Martien, 2021, "Do firms anticipate security issues by conservative reporting?," Journal of Contemporary Accounting and Economics, Elsevier, volume 17, issue 2, DOI: 10.1016/j.jcae.2021.100260.
  5. 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, volume 19, issue 1, pages 128-177.

2020

  1. Alexey Akimov & Chyi Lin Lee & Simon Stevenson, 2020, "Interest Rate Sensitivity in European Public Real Estate Markets," Journal of Real Estate Portfolio Management, Taylor & Francis Journals, volume 25, issue 2, pages 138-150, August, DOI: 10.1080/10835547.2020.1803694.
  2. David Happersberger & Harald Lohre & Ingmar Nolte, 2020, "Estimating portfolio risk for tail risk protection strategies," European Financial Management, European Financial Management Association, volume 26, issue 4, pages 1107-1146, September, DOI: 10.1111/eufm.12256.
  3. Mark Shackleton & Jiali Yan & Yaqiong Yao, 2020, "NAV inflation and impact on performance in China," European Financial Management, European Financial Management Association, volume 26, issue 1, pages 118-142, January, DOI: 10.1111/eufm.12207.
  4. Sonika, Rohit & Shackleton, Mark B., 2020, "Buyback behaviour and the option funding hypothesis," Journal of Banking & Finance, Elsevier, volume 114, issue C, DOI: 10.1016/j.jbankfin.2020.105800.

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, volume 55, issue C, pages 29-45, DOI: 10.1016/j.pacfin.2019.03.002.
  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, volume 56, issue C, pages 129-150, DOI: 10.1016/j.pacfin.2019.05.002.
  3. Nolte, Ingmar & Nolte, Sandra & Pohlmeier, Winfried, 2019, "What determines forecasters’ forecasting errors?," International Journal of Forecasting, Elsevier, volume 35, issue 1, pages 11-24, DOI: 10.1016/j.ijforecast.2018.07.007.
  4. 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, volume 55, issue 2, pages 333-361, June, DOI: 10.1111/abac.12145.
  5. 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, volume 157, issue C, pages 244-274, DOI: 10.1016/j.jebo.2017.12.006.

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, volume 58, issue 1, pages 217-254, March, DOI: 10.1111/acfi.12202.

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, volume 64, issue C, pages 494-510, DOI: 10.1016/j.eneco.2016.02.015.

2016

  1. Alexey Akimov & Elaine Hutson & Simon Stevenson, 2016, "The Interaction of Volatility, Volume and Skewness: Empirical Evidence from REITs," Journal of Real Estate Portfolio Management, Taylor & Francis Journals, volume 22, issue 1, pages 1-17, January, DOI: 10.1080/10835547.2016.12089976.
  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, volume 43, issue 3-4, pages 263-297, March.
  3. 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, volume 26, issue C, pages 28-46, DOI: 10.1016/j.jfi.2015.11.002.
  4. Ingmar Nolte & Sandra Nolte, 2016, "The information content of retail investors' order flow," The European Journal of Finance, Taylor & Francis Journals, volume 22, issue 2, pages 80-104, January, DOI: 10.1080/1351847X.2014.963633.
  5. Krüger, Fabian & Nolte, Ingmar, 2016, "Disagreement versus uncertainty: Evidence from distribution forecasts," Journal of Banking & Finance, Elsevier, volume 72, issue S, pages 172-186, DOI: 10.1016/j.jbankfin.2015.05.007.
  6. 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, volume 71, issue C, pages 62-74, DOI: 10.1016/j.jbankfin.2016.05.005.
  7. 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., volume 36, issue 11, pages 1029-1056, November.

2015

  1. 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, volume 51, issue 4, pages 503-540, November, DOI: 10.1007/s11146-014-9492-x.
  2. Alexey Akimov & Simon Stevenson & James Young, 2015, "Synchronisation and commonalities in metropolitan housing market cycles," Urban Studies, Urban Studies Journal Limited, volume 52, issue 9, pages 1665-1682, July, DOI: 10.1177/0042098014535643.
  3. 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, volume 55, issue 4, pages 931-963, December.
  4. 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, volume 19, issue 1, pages 95-144.
  5. Nolte, Ingmar & Xu, Qi, 2015, "The economic value of volatility timing with realized jumps," Journal of Empirical Finance, Elsevier, volume 34, issue C, pages 45-59, DOI: 10.1016/j.jempfin.2015.03.019.
  6. Umutlu, Mehmet & Shackleton, Mark B., 2015, "Stock-return volatility and daily equity trading by investor groups in Korea," Pacific-Basin Finance Journal, Elsevier, volume 34, issue C, pages 43-70, DOI: 10.1016/j.pacfin.2015.05.003.

2014

  1. Simon Stevenson & Alexey Akimov & Elaine Hutson & Alexandra Krystalogianni, 2014, "Concordance in Global Office Market Cycles," Regional Studies, Taylor & Francis Journals, volume 48, issue 3, pages 456-470, March, DOI: 10.1080/00343404.2013.799763.
  2. Nolte, Ingmar & Nolte, Sandra & Vasios, Michalis, 2014, "Sell-side analysts’ career concerns during banking stresses," Journal of Banking & Finance, Elsevier, volume 49, issue C, pages 424-441, DOI: 10.1016/j.jbankfin.2014.03.010.
  3. Rohit Sonika & Nicholas F. Carline & Mark B. Shackleton, 2014, "The Option and Decision to Repurchase Stock," Financial Management, Financial Management Association International, volume 43, issue 4, pages 833-855, December.
  4. Gilder, Dudley & Shackleton, Mark B. & Taylor, Stephen J., 2014, "Cojumps in stock prices: Empirical evidence," Journal of Banking & Finance, Elsevier, volume 40, issue C, pages 443-459, DOI: 10.1016/j.jbankfin.2013.04.025.

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, volume 85, issue C, pages 269-285, DOI: 10.1016/j.jebo.2012.04.010.
  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, volume 23, issue 1, pages 1-18, DOI: 10.1016/j.mulfin.2012.10.005.
  3. Argyro Panaretou & Mark B. Shackleton & Paul A Taylor, 2013, "Corporate Risk Management and Hedge Accounting," Contemporary Accounting Research, John Wiley & Sons, volume 30, issue 1, pages 116-139, March, DOI: 10.1111/j.1911-3846.2011.01143.x.

2012

  1. Ingmar Nolte & Sandra Nolte, 2012, "How do individual investors trade?," The European Journal of Finance, Taylor & Francis Journals, volume 18, issue 10, pages 921-947, November, DOI: 10.1080/1351847X.2011.601647.
  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, volume 18, issue 10, pages 885-919, November, DOI: 10.1080/1351847X.2011.601635.
  3. 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, volume 18, issue 4, pages 543-575, September, DOI: 10.1111/j.1468-036X.2010.00544.x.
  4. Wojakowski, Rafał M., 2012, "How should firms selectively hedge? Resolving the selective hedging puzzle," Journal of Corporate Finance, Elsevier, volume 18, issue 3, pages 560-569, DOI: 10.1016/j.jcorpfin.2012.02.003.

2011

  1. 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, volume 51, issue 1, pages 96-172, March.
  2. 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, volume 100, issue 1, pages 85-97, April.
  3. Mark Britten-Jones & Anthony Neuberger & Ingmar Nolte, 2011, "Improved Inference in Regression with Overlapping Observations," Journal of Business Finance & Accounting, Wiley Blackwell, volume 38, issue 5-6, pages 657-683, June, DOI: j.1468-5957.2011.02244.x.
  4. Adam-Müller, Axel F.A. & Nolte, Ingmar, 2011, "Cross hedging under multiplicative basis risk," Journal of Banking & Finance, Elsevier, volume 35, issue 11, pages 2956-2964, November.
  5. 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, volume 30, issue 1, pages 94-108, April, DOI: 10.1080/10473289.2011.637876.
  6. 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., volume 26, issue 4, pages 669-707, June.
  7. Dias, José Carlos & Shackleton, Mark B., 2011, "Hysteresis effects under CIR interest rates," European Journal of Operational Research, Elsevier, volume 211, issue 3, pages 594-600, June.
  8. Ebrahim, M. Shahid & Shackleton, Mark B. & Wojakowski, Rafal M., 2011, "Participating mortgages and the efficiency of financial intermediation," Journal of Banking & Finance, Elsevier, volume 35, issue 11, pages 3042-3054, November.
  9. Aretz, Kevin & Shackleton, Mark B., 2011, "Omitted debt risk, financial distress and the cross-section of expected equity returns," Journal of Banking & Finance, Elsevier, volume 35, issue 5, pages 1213-1227, May.

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, volume 19, issue 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, volume 65, issue 5, pages 1847-1877, October, DOI: 10.1111/j.1540-6261.2010.01596.x.
  3. Shackleton, Mark B. & Sødal, Sigbjørn, 2010, "Harvesting and recovery decisions under uncertainty," Journal of Economic Dynamics and Control, Elsevier, volume 34, issue 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, volume 34, issue 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., volume 30, issue 11, pages 1026-1057, November.

2009

  1. 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, volume 16, issue 10, pages 989-993, DOI: 10.1080/13504850701222210.
  2. Jose Carlos Dias & Mark Shackleton, 2009, "Durable vs. disposable equipment choice under interest rate uncertainty," The European Journal of Finance, Taylor & Francis Journals, volume 15, issue 2, pages 157-167, DOI: 10.1080/13518470802560790.

2008

  1. Goderis, Benedikt & Ioannidou, Vasso P., 2008, "Do high interest rates defend currencies during speculative attacks New evidence," Journal of International Economics, Elsevier, volume 74, issue 1, pages 158-169, January.
  2. Ingmar Nolte, 2008, "Modeling a Multivariate Transaction Process," Journal of Financial Econometrics, Oxford University Press, volume 6, issue 1, pages 143-170, Winter.
  3. Shiuyan Pong & Mark B. Shackleton & Stephen J. Taylor, 2008, "Distinguishing short and long memory volatility specifications," Econometrics Journal, Royal Economic Society, volume 11, issue 3, pages 617-637, November.
  4. 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, volume 32, issue 5, pages 643-653, May.

2007

  1. König, 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, volume 37, issue 2, pages 281-312, April.
  2. Nolte, Ingmar & Pohlmeier, Winfried, 2007, "Using forecasts of forecasters to forecast," International Journal of Forecasting, Elsevier, volume 23, issue 1, pages 15-28.
  3. San–Lin Chung & Mark B. Shackleton, 2007, "Generalised Geske‐‐Johnson Interpolation of Option Prices," Journal of Business Finance & Accounting, Wiley Blackwell, volume 34, issue 5‐6, pages 976-1001, June, DOI: 10.1111/j.1468-5957.2007.02014.x.
  4. Shackleton, Mark B. & Wojakowski, Rafal, 2007, "Finite maturity caps and floors on continuous flows," Journal of Economic Dynamics and Control, Elsevier, volume 31, issue 12, pages 3843-3859, December.
  5. 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, volume 31, issue 5, pages 1501-1520, May.

2006

  1. Wendy Beekes & Philip Brown, 2006, "Do Better‐Governed Australian Firms Make More Informative Disclosures?," Journal of Business Finance & Accounting, Wiley Blackwell, volume 33, issue 3‐4, pages 422-450, April, DOI: 10.1111/j.1468-5957.2006.00614.x.
  2. Roman Liesenfeld & Ingmar Nolte & Winfried Pohlmeier, 2006, "Modelling financial transaction price movements: a dynamic integer count data model," Empirical Economics, Springer, volume 30, issue 4, pages 795-825, January, DOI: 10.1007/s00181-005-0001-1.
  3. Keswani, Aneel & Shackleton, Mark B., 2006, "How real option disinvestment flexibility augments project NPV," European Journal of Operational Research, Elsevier, volume 168, issue 1, pages 240-252, January.

2005

  1. Ioannidou, Vasso P., 2005, "Does monetary policy affect the central bank's role in bank supervision?," Journal of Financial Intermediation, Elsevier, volume 14, issue 1, pages 58-85, January.
  2. 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, volume 225, issue 5, pages 517-528, October, DOI: 10.1515/jbnst-2005-0503.
  3. Carel Huijgen & Martien Lubberink, 2005, "Earnings Conservatism, Litigation and Contracting: The Case of Cross‐Listed Firms," Journal of Business Finance & Accounting, Wiley Blackwell, volume 32, issue 7‐8, pages 1275-1309, September, DOI: 10.1111/j.0306-686X.2005.00629.x.
  4. Shackleton, Mark B. & Sodal, Sigbjorn, 2005, "Smooth pasting as rate of return equalization," Economics Letters, Elsevier, volume 89, issue 2, pages 200-206, November.
  5. San-Lin Chung & Mark Shackleton, 2005, "On the use and improvement of Hull and White's control variate technique," Applied Financial Economics, Taylor & Francis Journals, volume 15, issue 16, pages 1171-1179, DOI: 10.1080/09603100500359195.
  6. San‐Lin Chung & Mark Shackleton, 2005, "On the errors and comparison of Vega estimation methods," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 25, issue 1, pages 21-38, January.

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, volume 12, issue 1, pages 47-59, January, DOI: 10.1111/j.1467-8683.2004.00342.x.
  2. 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, volume 31, issue 1‐2, pages 87-112, January, DOI: 10.1111/j.0306-686X.2004.0003.x.
  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, volume 28, issue 1, pages 179-201, January.
  4. 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, volume 28, issue 10, pages 2541-2563, October.
  5. Chuang-Chang Chang & San-Lin Chung & Mark Shackleton, 2004, "Pricing options with American-style average reset features," Quantitative Finance, Taylor & Francis Journals, volume 4, issue 3, pages 292-300, DOI: 10.1088/1469-7688/4/3/005.

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, volume 10, issue 11, pages 709-716, DOI: 10.1080/1350485032000138980.

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. Mark Shackleton & Rafal Wojakowski, 2002, "The Expected Return and Exercise Time of Merton‐style Real Options," Journal of Business Finance & Accounting, Wiley Blackwell, volume 29, issue 3‐4, pages 541-555, April, DOI: 10.1111/1468-5957.00442.
  3. San‐Lin Chung & Mark Shackleton, 2002, "The Binomial Black–Scholes model and the Greeks," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 22, issue 2, pages 143-153, February.

2001

  1. Martien Lubberink & Carel Huijgen, 2001, "A Wealth-Based Explanation for Earnings Conservatism," Review of Finance, European Finance Association, volume 5, issue 3, pages 323-349.
  2. Mark Shackleton & Rafal Wojakowski, 2001, "On the expected payoff and true probability of exercise of European options," Applied Economics Letters, Taylor & Francis Journals, volume 8, issue 4, pages 269-271, DOI: 10.1080/135048501750104079.

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, volume 24, issue 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, volume 25, issue 9‐10, pages 1391-1395, November, DOI: 10.1111/1468-5957.00243.

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, Springer, in: Luc Bauwens & Winfried Pohlmeier & David Veredas, "High Frequency Financial Econometrics", DOI: 10.1007/978-3-7908-1992-2_3.
  2. Roman Liesenfeld & Ingmar Nolte & Winfried Pohlmeier, 2008, "Modelling financial transaction price movements: a dynamic integer count data model," Studies in Empirical Economics, Springer, in: Luc Bauwens & Winfried Pohlmeier & David Veredas, "High Frequency Financial Econometrics", DOI: 10.1007/978-3-7908-1992-2_8.

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