Search Results - "Shackleton, Mark B"

A multi-horizon comparison of density forecasts for the S&P 500 using index returns and option prices by Shackleton, Mark B., Taylor, Stephen J., Yu, Peng

“…We compare density forecasts of the S&P 500 index from 1991 to 2004, obtained from option prices and daily and 5-min index returns. Risk-neutral densities are…”
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Forecasting currency volatility: A comparison of implied volatilities and AR(FI)MA models by Pong, Shiuyan, Shackleton, Mark B., Taylor, Stephen J., Xu, Xinzhong

“…We compare forecasts of the realized volatility of the pound, mark and yen exchange rates against the dollar, calculated from intraday rates, over horizons…”
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Closed-form transformations from risk-neutral to real-world distributions by Liu, Xiaoquan, Shackleton, Mark B., Taylor, Stephen J., Xu, Xinzhong

“…Risk-neutral and real-world densities are derived from option prices and risk assumptions, and are compared with historical densities obtained from time…”
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Cojumps in stock prices: Empirical evidence by Gilder, Dudley, Shackleton, Mark B., Taylor, Stephen J.

“…We examine contemporaneous jumps (cojumps) among individual stocks and a proxy for the market portfolio. We show, through a Monte Carlo study, that using…”
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Asymmetric Effects of Volatility Risk on Stock Returns: Evidence from VIX and VIX Futures by Fu, Xi, Sandri, Matteo, Shackleton, Mark B.

“…First, to separate different market conditions, this study focuses on how VIX spot (VIX), VIX futures (VXF), and their basis (VIX − VXF) perform different…”
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Stock-return volatility and daily equity trading by investor groups in Korea by Umutlu, Mehmet, Shackleton, Mark B.

“…We examine the short-run relationship between stock-return volatility and daily equity trading by several investor groups in the Korean Stock Exchange. We also…”
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Strategic entry and market leadership in a two-player real options game by Shackleton, Mark B, Tsekrekos, Andrianos E, Wojakowski, Rafał

“…We analyse the entry decisions of competing firms in a two-player stochastic real option game, when rivals earn different but correlated uncertain…”
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Reducing the impact of real estate foreclosures with Amortizing Participation Mortgages by Wojakowski, Rafal M., Ebrahim, M. Shahid, Shackleton, Mark B.

“…We employ Amortizing Participation Mortgage (APM) to offer a novel ex post renegotiation method of a foreclosure. APM belongs to the family of home loan credit…”
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Continuous Workout Mortgages: Efficient pricing and systemic implications by Shiller, Robert J., Wojakowski, Rafal M., Ebrahim, M. Shahid, Shackleton, Mark B.

“…This paper studies the Continuous Workout Mortgage (CWM), a two in one product: a fixed rate home loan coupled with negative equity insurance, to advocate its…”
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Corporate Risk Management and Hedge Accounting by Panaretou, Argyro, Shackleton, Mark B., Taylor, Paul A

“…Motivated by the debate about the economic consequences of mandatory adoption of International Financial Reporting Standards (IFRS), this study investigates…”
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The Option and Decision to Repurchase Stock by Sonika, Rohit, Carline, Nicholas F., Shackleton, Mark B.

“…Open-market repurchase programs provide firms with the flexibility to manage the cash and risk aspects of their operations. We examine at which stage cash and…”
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Hysteresis effects under CIR interest rates by Dias, José Carlos, Shackleton, Mark B.

“…Most decision making research in real options focuses on revenue uncertainty assuming discount rates remain constant. However, for many decisions revenue or…”
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Option-Implied Volatility Measures and Stock Return Predictability by Fu, Xi, Arisoy, Y. Eser, Shackleton, Mark B., Umutlu, Mehmet

“…Do changes in implied volatilities (IVs) or differences among options at different spots on the volatility surface contain predictive information for future…”
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How real option disinvestment flexibility augments project NPV by Keswani, Aneel, Shackleton, Mark B.

“…In this article we show how a project’s option value increases with incremental levels of investment and disinvestment flexibility. We do this by presenting…”
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Omitted debt risk, financial distress and the cross-section of expected equity returns by Aretz, Kevin, Shackleton, Mark B.

“…The study of Ferguson and Shockley (2003) shows that, if the Merton (1974) model can reflect reality, the omission of debt claims from the market portfolio…”
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Evaluating Natural Resource Investments under Different Model Dynamics: Managerial Insights by Tsekrekos, Andrianos E., Shackleton, Mark B., Wojakowski, Rafał

“…We focus on factors that drive the dynamics of commodity prices. We highlight the capital budgeting implications of three highly‐cited, nested, multi‐factor…”
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Hedging efficiency in the Greek options market before and after the financial crisis of 2008 by Shackleton, Mark B., Voukelatos, Nikolaos

“…► The Greek options market remained relatively efficient before the financial crisis. ► The price-efficiency of Greek options decreased significantly during…”
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Mitigating financial fragility with Continuous Workout Mortgages by Shiller, Robert J., Wojakowski, Rafał M., Ebrahim, M. Shahid, Shackleton, Mark B.

“…This paper models Continuous Workout Mortgages (CWMs) in an economic environment with refinancings and prepayments. CWMs are home loans whose balance and…”
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Participating mortgages and the efficiency of financial intermediation by Ebrahim, M. Shahid, Shackleton, Mark B., Wojakowski, Rafał M.

“…This paper establishes a basic framework to study three different variants of Participating Mortgages (PMs). We obtain results for Shared Appreciation…”
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Harvesting and recovery decisions under uncertainty by Shackleton, Mark B., Sødal, Sigbjørn

“…A stochastic forest rotation model in the Faustmann tradition is presented and exemplified. The model combines harvesting decisions with the potential to…”
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