EconPapers    
Economics at your fingertips  
 

Details about John Cotter

E-mail:
Homepage:http://www.ucd.ie/bankingfinance/staff/professorjohncotter/
Phone:0035317168900
Postal address:Centre for Financial Markets School of Business University College Dublin Carysfort Avenue Blackrock Co Dublin
Workplace:Centre for Financial Markets (CFM), School of Business, University College Dublin, (more information at EDIRC)
Geary Institute, University College Dublin, (more information at EDIRC)
Anderson Graduate School of Management, University of California-Los Angeles (UCLA), (more information at EDIRC)

Access statistics for papers by John Cotter.

Last updated 2019-01-21. Update your information in the RePEc Author Service.

Short-id: pco227


Jump to Journal Articles

Working Papers

2018

  1. Are equity market anomalies disappearing? Evidence from the U.K
    Working Papers, Geary Institute, University College Dublin Downloads
  2. Beyond Common Equity - The Influence of Secondary Capital on Bank Insolvency Risk
    Working Papers, Geary Institute, University College Dublin Downloads
  3. Spillovers in Risk of Financial Institutions
    Working Papers, Geary Institute, University College Dublin Downloads

2017

  1. Mixed-Frequency Macro-Financial Spillovers
    Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum Downloads
    Also in Working Papers, Geary Institute, University College Dublin (2017) Downloads View citations (1)

2016

  1. Credit Default Swaps as Indicators of Bank Financial Distress
    Working Papers, Geary Institute, University College Dublin Downloads View citations (1)
  2. Nowhere to run, nowhere to hide: asset diversification in a flat world
    Working Papers, Geary Institute, University College Dublin Downloads View citations (1)
  3. The Intervaling Effect on Higher-Order Co-Moments
    Working Papers, Geary Institute, University College Dublin Downloads

2015

  1. Eurozone bank resolution and Bail-In - Intervention, triggers and writedowns
    Working Papers, Geary Institute, University College Dublin Downloads
  2. Long-run international diversification
    Working Papers, Geary Institute, University College Dublin Downloads

2014

  1. Anatomy of a Bail-In
    Working Papers, Geary Institute, University College Dublin Downloads View citations (10)
    Also in Papers, arXiv.org (2014) Downloads View citations (9)

    See also Journal Article in Journal of Financial Stability (2014)
  2. Can housing risk be diversified? A cautionary tale from the housing boom and bust
    Working Papers, Geary Institute, University College Dublin Downloads View citations (1)
    See also Journal Article in Review of Financial Studies (2015)
  3. Performance of Utility Based Hedges
    Working Papers, Geary Institute, University College Dublin Downloads View citations (1)
    See also Journal Article in Energy Economics (2015)
  4. Sovereign and bank CDS spreads: two sides of the same coin?
    Working Papers, Geary Institute, University College Dublin Downloads View citations (9)
    Also in MPRA Paper, University Library of Munich, Germany (2014) Downloads View citations (9)

    See also Journal Article in Journal of International Financial Markets, Institutions and Money (2014)
  5. The Conditional Pricing of Systematic and Idiosyncratic Risk in the UK Equity Market
    Working Papers, Geary Institute, University College Dublin Downloads
    See also Journal Article in International Review of Financial Analysis (2015)
  6. The non-linear trade-off between return and risk: a regime-switching multi-factor framework
    Papers, arXiv.org Downloads View citations (3)
    Also in Working Papers, Geary Institute, University College Dublin (2014) Downloads View citations (3)

2013

  1. Sovereign and bank CDS spreads: two sides of the same coin for European bank default predictability?
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)

2012

  1. Can Metropolitan Housing Risk be Diversified? A Cautionary Tale from the Recent Boom and Bust
    Papers, arXiv.org Downloads
    Also in Working Papers, Geary Institute, University College Dublin (2012) Downloads
  2. Commodity futures hedging, risk aversion and the hedging horizon
    Working Papers, Geary Institute, University College Dublin Downloads View citations (4)
    See also Journal Article in The European Journal of Finance (2016)
  3. Downside risk and the energy hedger's horizon
    Working Papers, Geary Institute, University College Dublin Downloads
    See also Journal Article in Energy Economics (2013)
  4. What Should Be Done About The Underfunding of Defined Benefit Pension Schemes?
    Working Papers, Geary Institute, University College Dublin Downloads View citations (1)

2011

  1. A Comparative Anatomy of REITs and Residential Real Estate Indexes: Returns, Risks and Distributional Characteristics
    Papers, arXiv.org Downloads View citations (2)
    Also in Working Papers, Geary Institute, University College Dublin (2010) Downloads View citations (2)
  2. A Utility Based Approach to Energy Hedging
    Papers, arXiv.org Downloads View citations (3)
    Also in Working Papers, Geary Institute, University College Dublin (2011) Downloads View citations (1)

    See also Journal Article in Energy Economics (2012)
  3. Absolute Return Volatility
    Working Papers, Geary Institute, University College Dublin Downloads
    Also in MPRA Paper, University Library of Munich, Germany (2005) Downloads
    MPRA Paper, University Library of Munich, Germany (2005) Downloads
    Papers, arXiv.org (2011) Downloads
  4. An Empirical Analysis of Dynamic Multiscale Hedging using Wavelet Decomposition
    Papers, arXiv.org Downloads View citations (1)
    Also in Working Papers, Geary Institute, University College Dublin (2011) Downloads View citations (1)

    See also Journal Article in Journal of Futures Markets (2012)
  5. Estimating Financial Risk Measures for Futures Positions:A Non-Parametric Approach
    Working Papers, Geary Institute, University College Dublin Downloads
    Also in Papers, arXiv.org (2011) Downloads
    MPRA Paper, University Library of Munich, Germany (2007) Downloads View citations (1)

    See also Journal Article in Journal of Futures Markets (2010)
  6. Evaluating the Precision of Estimators of Quantile-Based Risk Measures
    Working Papers, Geary Institute, University College Dublin Downloads
    Also in MPRA Paper, University Library of Munich, Germany (2007) Downloads View citations (1)
    Papers, arXiv.org (2011) Downloads
  7. Exponential Spectral Risk Measures
    Papers, arXiv.org Downloads
    Also in MPRA Paper, University Library of Munich, Germany (2007) Downloads

    See also Journal Article in The IUP Journal of Financial Economics (2007)
  8. Extreme Measures of Agricultural Financial Risk
    Papers, arXiv.org Downloads View citations (1)
    See also Journal Article in Journal of Agricultural Economics (2012)
  9. Extreme Spectral Risk Measures: An Application to Futures Clearinghouse Margin Requirements
    Papers, arXiv.org Downloads View citations (1)
    Also in Working Papers, Geary Institute, University College Dublin (2011) Downloads
    MPRA Paper, University Library of Munich, Germany (2006) Downloads View citations (23)

    See also Journal Article in Journal of Banking & Finance (2006)
  10. Financial Risks and the Pension Protection Fund: Can it Survive Them?
    Papers, arXiv.org Downloads
    Also in MPRA Paper, University Library of Munich, Germany (2006) Downloads View citations (1)
    Working Papers, Geary Institute, University College Dublin (2011) Downloads
  11. Hedging Effectiveness under Conditions of Asymmetry
    Working Papers, Geary Institute, University College Dublin Downloads
    Also in Papers, arXiv.org (2011) Downloads
    MPRA Paper, University Library of Munich, Germany (2007) Downloads View citations (1)

    See also Journal Article in The European Journal of Finance (2012)
  12. Hedging: Scaling and the Investor Horizon
    Papers, arXiv.org Downloads
    Also in Working Papers, Geary Institute, University College Dublin (2010) Downloads View citations (1)
  13. Housing risk and return: Evidence from a housing asset-pricing model
    Papers, arXiv.org Downloads View citations (8)
    Also in Working Papers, Geary Institute, University College Dublin (2010) Downloads View citations (2)
  14. How Unlucky is 25-Sigma?
    Papers, arXiv.org Downloads View citations (4)
    Also in Working Papers, Geary Institute, University College Dublin (2010) Downloads View citations (1)
  15. Implied Correlation from VaR
    Working Papers, Geary Institute, University College Dublin Downloads View citations (1)
    Also in Papers, arXiv.org (2011) Downloads
    MPRA Paper, University Library of Munich, Germany (2006) Downloads
  16. Integration and Contagion in US Housing Markets
    Papers, arXiv.org Downloads View citations (6)
    Also in MPRA Paper, University Library of Munich, Germany (2011) Downloads View citations (8)
    Working Papers, Geary Institute, University College Dublin (2011) Downloads View citations (6)
  17. Intra-Day Seasonality in Foreign Exchange Market Transactions
    Papers, arXiv.org Downloads
    Also in MPRA Paper, University Library of Munich, Germany (2007) Downloads

    See also Journal Article in International Review of Economics & Finance (2010)
  18. Intra-Day Seasonality in Foreign Market Transactions
    Working Papers, Geary Institute, University College Dublin Downloads
    Also in Working Papers, Geary Institute, University College Dublin (2011) Downloads
    Working Papers, Geary Institute, University College Dublin (2011) Downloads
  19. Margin Requirements with Intraday Dynamics
    Working Papers, Geary Institute, University College Dublin Downloads
  20. Margin setting with high-frequency data1
    Papers, arXiv.org Downloads
  21. Minimum Capital Requirement Calculations for UK Futures
    Working Papers, Geary Institute, University College Dublin Downloads
    Also in MPRA Paper, University Library of Munich, Germany (2004) Downloads View citations (7)
    Papers, arXiv.org (2011) Downloads

    See also Journal Article in Journal of Futures Markets (2004)
  22. Modeling Long Memory in REITs
    Papers, arXiv.org Downloads
    Also in MPRA Paper, University Library of Munich, Germany (2007) Downloads
    Working Papers, Geary Institute, University College Dublin (2011) Downloads View citations (3)

    See also Journal Article in Real Estate Economics (2008)
  23. Modelling Catastrophic Risk in International Equity Markets: An Extreme Value Approach
    Working Papers, Geary Institute, University College Dublin Downloads
    Also in Papers, arXiv.org (2011) Downloads
    MPRA Paper, University Library of Munich, Germany (2006) Downloads

    See also Journal Article in Applied Financial Economics Letters (2006)
  24. Multivariate Modeling of Daily REIT Volatility
    Papers, arXiv.org Downloads
    Also in MPRA Paper, University Library of Munich, Germany (2005) Downloads
    Working Papers, Geary Institute, University College Dublin (2011) Downloads

    See also Journal Article in The Journal of Real Estate Finance and Economics (2006)
  25. Re-evaluating Hedging Performance
    Working Papers, Geary Institute, University College Dublin Downloads View citations (2)
    Also in MPRA Paper, University Library of Munich, Germany (2005) Downloads View citations (7)

    See also Journal Article in Journal of Futures Markets (2006)
  26. Real and Nominal Foreign Exchange Volatility Effects on Exports – The Importance of Timing
    Working Papers, Geary Institute, University College Dublin Downloads View citations (1)
  27. Scaling conditional tail probability and quantile estimators
    Papers, arXiv.org Downloads
    Also in Working Papers, Geary Institute, University College Dublin (2010) Downloads
  28. Spectral Risk Measures and the Choice of Risk Aversion Function
    Papers, arXiv.org Downloads
  29. Spectral Risk Measures with an Application to Futures Clearinghouse Variation Margin Requirements
    Papers, arXiv.org Downloads
    Also in Working Papers, Geary Institute, University College Dublin (2011) Downloads
    Working Papers, Geary Institute, University College Dublin (2011) Downloads
    MPRA Paper, University Library of Munich, Germany (2006) Downloads View citations (4)
  30. Spectral Risk Measures: Properties and Limitations
    Papers, arXiv.org Downloads
    Also in Working Papers, Geary Institute, University College Dublin (2010) Downloads

    See also Journal Article in Journal of Financial Services Research (2008)
  31. Tail Behaviour of the Euro
    Working Papers, Geary Institute, University College Dublin Downloads
    Also in Papers, arXiv.org (2011) Downloads
    MPRA Paper, University Library of Munich, Germany (2005) Downloads View citations (10)

    See also Journal Article in Applied Economics (2005)
  32. The tail risks of FX return distributions: a comparison of the returns associated with limit orders and market orders
    Papers, arXiv.org Downloads
    Also in MPRA Paper, University Library of Munich, Germany (2007) Downloads View citations (3)

    See also Journal Article in Finance Research Letters (2007)
  33. Time Varying Risk Aversion: An Application to Energy Hedging
    Papers, arXiv.org Downloads
    Also in Working Papers, Geary Institute, University College Dublin (2010) Downloads View citations (2)

    See also Journal Article in Energy Economics (2010)
  34. U.S. Core Inflation: A Wavelet Analysis
    Working Papers, Geary Institute, University College Dublin Downloads View citations (6)
    Also in Papers, arXiv.org (2011) Downloads View citations (5)
    MPRA Paper, University Library of Munich, Germany (2006) Downloads View citations (4)

    See also Journal Article in Macroeconomic Dynamics (2011)
  35. Uncovering Long Memory in High Frequency UK Futures
    Working Papers, Geary Institute, University College Dublin Downloads
    Also in Papers, arXiv.org (2011) Downloads
    MPRA Paper, University Library of Munich, Germany (2004) Downloads View citations (3)

    See also Journal Article in The European Journal of Finance (2005)
  36. Uncovering Volatility Dynamics in Daily REIT Returns
    Papers, arXiv.org Downloads View citations (3)
    Also in MPRA Paper, University Library of Munich, Germany (2005) Downloads View citations (2)
  37. Varying the VaR for Unconditional and Conditional Environments
    Working Papers, Geary Institute, University College Dublin Downloads
    Also in MPRA Paper, University Library of Munich, Germany (2004) Downloads View citations (3)
    Papers, arXiv.org (2011) Downloads

    See also Journal Article in Journal of International Money and Finance (2007)
  38. Volatility and Irish Exports
    Working Papers, Geary Institute, University College Dublin Downloads
    Also in MPRA Paper, University Library of Munich, Germany (2005) Downloads

    See also Journal Article in Economic Inquiry (2008)

2007

  1. Extreme risk in Asian equity markets
    MPRA Paper, University Library of Munich, Germany Downloads View citations (4)

2006

  1. Margin setting with high-frequency data
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
  2. Real & Nominal Foreign Exchange Volatility Effects on Exports – The Importance of Timing
    MPRA Paper, University Library of Munich, Germany Downloads

2004

  1. Downside Risk for European Equity Markets
    MPRA Paper, University Library of Munich, Germany Downloads View citations (12)
    See also Journal Article in Applied Financial Economics (2004)
  2. International Equity Market Integration in a Small Open Economy: Ireland January 1990 – December 2000
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
    See also Journal Article in International Review of Financial Analysis (2004)
  3. Modelling extreme financial returns of global equity markets
    MPRA Paper, University Library of Munich, Germany Downloads
  4. Realized volatility and minimum capital requirements
    Money Macro and Finance (MMF) Research Group Conference 2003, Money Macro and Finance Research Group Downloads

2001

  1. Margin Exceedences for European Stock Index Futures using Extreme Value Theory
    MPRA Paper, University Library of Munich, Germany Downloads View citations (33)
    See also Journal Article in Journal of Banking & Finance (2001)

2000

  1. Volatility and the Euro: an Irish perspective
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)

1994

  1. Event Studies of Irish Equities: Earnings Announcements, Seasonality and Size
    Working Papers, University College Cork - Department of Economics

Journal Articles

2018

  1. Long-run wavelet-based correlation for financial time series
    European Journal of Operational Research, 2018, 271, (2), 676-696 Downloads

2017

  1. Asset allocation with correlation: A composite trade-off
    European Journal of Operational Research, 2017, 262, (3), 1164-1180 Downloads View citations (3)
  2. Predictability and diversification benefits of investing in commodity and currency futures
    International Review of Financial Analysis, 2017, 50, (C), 52-66 Downloads View citations (1)

2016

  1. Commodity futures hedging, risk aversion and the hedging horizon
    The European Journal of Finance, 2016, 22, (15), 1534-1560 Downloads View citations (3)
    See also Working Paper (2012)

2015

  1. A Comparative Anatomy of Residential REITs and Private Real Estate Markets: Returns, Risks and Distributional Characteristics
    Real Estate Economics, 2015, 43, (1), 209-240 Downloads View citations (3)
  2. Can Housing Risk Be Diversified? A Cautionary Tale from the Housing Boom and Bust
    Review of Financial Studies, 2015, 28, (3), 913-936 Downloads View citations (5)
    See also Working Paper (2014)
  3. Performance of utility based hedges
    Energy Economics, 2015, 49, (C), 718-726 Downloads View citations (6)
    See also Working Paper (2014)
  4. The conditional pricing of systematic and idiosyncratic risk in the UK equity market
    International Review of Financial Analysis, 2015, 37, (C), 184-193 Downloads View citations (4)
    See also Working Paper (2014)

2014

  1. Anatomy of a bail-in
    Journal of Financial Stability, 2014, 15, (C), 257-263 Downloads View citations (9)
    See also Working Paper (2014)
  2. Sovereign and bank CDS spreads: Two sides of the same coin?
    Journal of International Financial Markets, Institutions and Money, 2014, 32, (C), 72-85 Downloads View citations (7)
    See also Working Paper (2014)

2013

  1. Downside risk and the energy hedger's horizon
    Energy Economics, 2013, 36, (C), 371-379 Downloads View citations (9)
    See also Working Paper (2012)

2012

  1. A utility based approach to energy hedging
    Energy Economics, 2012, 34, (3), 817-827 Downloads View citations (11)
    See also Working Paper (2011)
  2. An empirical analysis of dynamic multiscale hedging using wavelet decomposition
    Journal of Futures Markets, 2012, 32, (3), 272-299 View citations (19)
    See also Working Paper (2011)
  3. Extreme Measures of Agricultural Financial Risk
    Journal of Agricultural Economics, 2012, 63, (1), 65-82 Downloads View citations (3)
    See also Working Paper (2011)
  4. Hedging effectiveness under conditions of asymmetry
    The European Journal of Finance, 2012, 18, (2), 135-147 Downloads View citations (6)
    See also Working Paper (2011)

2011

  1. U.S. CORE INFLATION: A WAVELET ANALYSIS
    Macroeconomic Dynamics, 2011, 15, (04), 513-536 Downloads View citations (5)
    See also Working Paper (2011)

2010

  1. Estimating financial risk measures for futures positions: A nonparametric approach
    Journal of Futures Markets, 2010, 30, (7), 689-703 Downloads View citations (5)
    See also Working Paper (2011)
  2. Intra-day seasonality in foreign exchange market transactions
    International Review of Economics & Finance, 2010, 19, (2), 287-294 Downloads View citations (2)
    See also Working Paper (2011)
  3. Time-varying risk aversion: An application to energy hedging
    Energy Economics, 2010, 32, (2), 432-441 Downloads View citations (10)
    See also Working Paper (2011)

2008

  1. Modeling Long Memory in REITs
    Real Estate Economics, 2008, 36, (3), 533-554 Downloads View citations (15)
    See also Working Paper (2011)
  2. Spectral Risk Measures: Properties and Limitations
    Journal of Financial Services Research, 2008, 34, (1), 61-75 Downloads View citations (19)
    See also Working Paper (2011)
  3. VOLATILITY AND IRISH EXPORTS
    Economic Inquiry, 2008, 46, (4), 540-560 Downloads View citations (1)
    See also Working Paper (2011)

2007

  1. Exponential Spectral Risk Measures
    The IUP Journal of Financial Economics, 2007, V, (4), 57-66
    See also Working Paper (2011)
  2. The tail risks of FX return distributions: A comparison of the returns associated with limit orders and market orders
    Finance Research Letters, 2007, 4, (3), 146-154 Downloads View citations (3)
    See also Working Paper (2011)
  3. Varying the VaR for unconditional and conditional environments
    Journal of International Money and Finance, 2007, 26, (8), 1338-1354 Downloads View citations (20)
    See also Working Paper (2011)

2006

  1. Extreme Value Estimation of Boom and Crash Statistics
    The European Journal of Finance, 2006, 12, (6-7), 553-566 Downloads View citations (2)
  2. Extreme spectral risk measures: An application to futures clearinghouse margin requirements
    Journal of Banking & Finance, 2006, 30, (12), 3469-3485 Downloads View citations (32)
    See also Working Paper (2011)
  3. Modelling catastrophic risk in international equity markets: an extreme value approach
    Applied Financial Economics Letters, 2006, 2, (1), 13-17 Downloads
    See also Working Paper (2011)
  4. Multivariate Modeling of Daily REIT Volatility
    The Journal of Real Estate Finance and Economics, 2006, 32, (3), 305-325 Downloads View citations (62)
    See also Working Paper (2011)
  5. Reevaluating hedging performance
    Journal of Futures Markets, 2006, 26, (7), 677-702 Downloads View citations (10)
    See also Working Paper (2011)

2005

  1. Extreme risk in futures contracts
    Applied Economics Letters, 2005, 12, (8), 489-492 Downloads View citations (3)
  2. Tail behaviour of the euro
    Applied Economics, 2005, 37, (7), 827-840 Downloads View citations (10)
    See also Working Paper (2011)
  3. Uncovering long memory in high frequency UK futures
    The European Journal of Finance, 2005, 11, (4), 325-337 Downloads View citations (16)
    See also Working Paper (2011)

2004

  1. Downside risk for European equity markets
    Applied Financial Economics, 2004, 14, (10), 707-716 Downloads View citations (12)
    See also Working Paper (2004)
  2. International equity market integration in a small open economy: Ireland January 1990-December 2000
    International Review of Financial Analysis, 2004, 13, (5), 669-685 Downloads View citations (5)
    See also Working Paper (2004)
  3. Minimum capital requirement calculations for UK futures
    Journal of Futures Markets, 2004, 24, (2), 193-220 Downloads View citations (1)
    See also Working Paper (2011)

2001

  1. Margin exceedences for European stock index futures using extreme value theory
    Journal of Banking & Finance, 2001, 25, (8), 1475-1502 Downloads View citations (31)
    See also Working Paper (2001)

2000

  1. The Distributional Characteristics of a Selection of Contracts Traded on the London International Financial Futures Exchange
    Journal of Business Finance & Accounting, 2000, 27, (3-4), 487-510 Downloads View citations (5)
    Also in Journal of Business Finance & Accounting, 2000, 27, (3&4), 487-510 (2000) Downloads View citations (4)
 
Page updated 2019-02-19