Details about John Cotter
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Last updated 2023-01-09. Update your information in the RePEc Author Service.
Short-id: pco227
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Working Papers
2022
- Co-skewness across Return Horizons
Working Papers, Geary Institute, University College Dublin 
Also in Working Papers, Geary Institute, University College Dublin (2019)
- The illusion of oil return predictability: The choice of data matters!
Post-Print, HAL View citations (3)
See also Journal Article in Journal of Banking & Finance (2022)
- The non-linear trade-off between return and risk and its determinants
Working Papers, Geary Institute, University College Dublin 
See also Journal Article in Journal of Empirical Finance (2022)
2021
- Machine Learning and Factor-Based Portfolio Optimization
Papers, arXiv.org 
Also in Working Papers, Geary Institute, University College Dublin (2021)
2020
- Commodity Futures Return Predictability and Intertemporal Asset Pricing
Working Papers, Geary Institute, University College Dublin View citations (1)
- Macro-Financial Spillovers
Working Papers, Geary Institute, University College Dublin View citations (1)
2019
- Integration Among US Banks
Working Papers, Geary Institute, University College Dublin
- Nowhere to Run, Nowhere to Hide - Asset Diversification in a Flat World
Working Papers, Geary Institute, University College Dublin View citations (1)
Also in Working Papers, Geary Institute, University College Dublin (2016) View citations (1)
2018
- Are equity market anomalies disappearing? Evidence from the U.K
Working Papers, Geary Institute, University College Dublin View citations (3)
- Beyond Common Equity - The Influence of Secondary Capital on Bank Insolvency Risk
Working Papers, Geary Institute, University College Dublin 
See also Journal Article in Journal of Financial Stability (2020)
- Spillovers in Risk of Financial Institutions
Working Papers, Geary Institute, University College Dublin View citations (2)
See also Journal Article in The European Journal of Finance (2019)
2017
- Mixed-Frequency Macro-Financial Spillovers
Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum View citations (6)
Also in Working Papers, Geary Institute, University College Dublin (2017) View citations (8)
2016
- Credit Default Swaps as Indicators of Bank financial Distress
Working Papers, Geary Institute, University College Dublin View citations (2)
See also Journal Article in Journal of International Money and Finance (2019)
- The Intervaling Effect on Higher-Order Co-Moments
Working Papers, Geary Institute, University College Dublin
2015
- Long-run international diversification
Working Papers, Geary Institute, University College Dublin View citations (1)
- Subordinate Resolution - An Empirical Analysis of European Union Subsidiary Banks
Working Papers, Geary Institute, University College Dublin View citations (4)
See also Journal Article in Journal of Common Market Studies (2019)
2014
- Anatomy of a Bail-In
Working Papers, Geary Institute, University College Dublin View citations (27)
Also in Papers, arXiv.org (2014) View citations (27)
See also Journal Article in Journal of Financial Stability (2014)
- Can housing risk be diversified? A cautionary tale from the housing boom and bust
Working Papers, Geary Institute, University College Dublin View citations (5)
See also Journal Article in Review of Financial Studies (2015)
- Performance of Utility Based Hedges
Working Papers, Geary Institute, University College Dublin View citations (6)
See also Journal Article in Energy Economics (2015)
- Sovereign and bank CDS spreads: two sides of the same coin?
Working Papers, Geary Institute, University College Dublin View citations (27)
Also in MPRA Paper, University Library of Munich, Germany (2014) View citations (27)
See also Journal Article in Journal of International Financial Markets, Institutions and Money (2014)
- The Conditional Pricing of Systematic and Idiosyncratic Risk in the UK Equity Market
Working Papers, Geary Institute, University College Dublin View citations (1)
See also Journal Article in International Review of Financial Analysis (2015)
- The non-linear trade-off between return and risk: a regime-switching multi-factor framework
Papers, arXiv.org View citations (4)
Also in Working Papers, Geary Institute, University College Dublin (2014) View citations (4)
2013
- Sovereign and bank CDS spreads: two sides of the same coin for European bank default predictability?
MPRA Paper, University Library of Munich, Germany View citations (1)
2012
- Can Metropolitan Housing Risk be Diversified? A Cautionary Tale from the Recent Boom and Bust
Papers, arXiv.org View citations (2)
Also in Working Papers, Geary Institute, University College Dublin (2012) View citations (3)
- Commodity futures hedging, risk aversion and the hedging horizon
Working Papers, Geary Institute, University College Dublin View citations (19)
See also Journal Article in The European Journal of Finance (2016)
- Downside risk and the energy hedger's horizon
Working Papers, Geary Institute, University College Dublin 
See also Journal Article in Energy Economics (2013)
- What Should Be Done About The Underfunding of Defined Benefit Pension Schemes?
Working Papers, Geary Institute, University College Dublin View citations (2)
2011
- A Comparative Anatomy of REITs and Residential Real Estate Indexes: Returns, Risks and Distributional Characteristics
Papers, arXiv.org View citations (3)
Also in Working Papers, Geary Institute, University College Dublin (2010) View citations (2)
- A Utility Based Approach to Energy Hedging
Papers, arXiv.org View citations (3)
Also in Working Papers, Geary Institute, University College Dublin (2011) View citations (1)
See also Journal Article in Energy Economics (2012)
- Absolute Return Volatility
Working Papers, Geary Institute, University College Dublin View citations (4)
Also in Papers, arXiv.org (2011) View citations (4) MPRA Paper, University Library of Munich, Germany (2005) View citations (1) MPRA Paper, University Library of Munich, Germany (2005)
- An Empirical Analysis of Dynamic Multiscale Hedging using Wavelet Decomposition
Papers, arXiv.org View citations (1)
Also in Working Papers, Geary Institute, University College Dublin (2011) View citations (1)
See also Journal Article in Journal of Futures Markets (2012)
- Estimating Financial Risk Measures for Futures Positions:A Non-Parametric Approach
Working Papers, Geary Institute, University College Dublin 
Also in MPRA Paper, University Library of Munich, Germany (2007) View citations (2) Papers, arXiv.org (2011) 
See also Journal Article in Journal of Futures Markets (2010)
- Evaluating the Precision of Estimators of Quantile-Based Risk Measures
Working Papers, Geary Institute, University College Dublin 
Also in Papers, arXiv.org (2011)  MPRA Paper, University Library of Munich, Germany (2007) View citations (2)
- Exponential Spectral Risk Measures
Papers, arXiv.org 
Also in MPRA Paper, University Library of Munich, Germany (2007) View citations (1)
See also Journal Article in The IUP Journal of Financial Economics (2007)
- Extreme Measures of Agricultural Financial Risk
Papers, arXiv.org View citations (1)
See also Journal Article in Journal of Agricultural Economics (2012)
- Extreme Spectral Risk Measures: An Application to Futures Clearinghouse Margin Requirements
Working Papers, Geary Institute, University College Dublin View citations (2)
Also in MPRA Paper, University Library of Munich, Germany (2006) View citations (36) Papers, arXiv.org (2011) View citations (1)
See also Journal Article in Journal of Banking & Finance (2006)
- Financial Risks and the Pension Protection Fund: Can it Survive Them?
Papers, arXiv.org 
Also in Working Papers, Geary Institute, University College Dublin (2011) View citations (1) MPRA Paper, University Library of Munich, Germany (2006) View citations (1)
- Hedging Effectiveness under Conditions of Asymmetry
Papers, arXiv.org 
Also in MPRA Paper, University Library of Munich, Germany (2007) View citations (1) Working Papers, Geary Institute, University College Dublin (2011) 
See also Journal Article in The European Journal of Finance (2012)
- Hedging: Scaling and the Investor Horizon
Papers, arXiv.org 
Also in Working Papers, Geary Institute, University College Dublin (2010) View citations (1)
- Housing risk and return: Evidence from a housing asset-pricing model
Papers, arXiv.org View citations (10)
Also in Working Papers, Geary Institute, University College Dublin (2010) View citations (4)
- How Unlucky is 25-Sigma?
Papers, arXiv.org View citations (7)
Also in Working Papers, Geary Institute, University College Dublin (2010) View citations (3)
- Implied Correlation from VaR
Working Papers, Geary Institute, University College Dublin View citations (3)
Also in MPRA Paper, University Library of Munich, Germany (2006)  Papers, arXiv.org (2011) View citations (2)
- Integration and Contagion in US Housing Markets
Working Papers, Geary Institute, University College Dublin View citations (12)
Also in Papers, arXiv.org (2011) View citations (12) MPRA Paper, University Library of Munich, Germany (2011) View citations (13)
- Intra-Day Seasonality in Foreign Exchange Market Transactions
Papers, arXiv.org 
Also in MPRA Paper, University Library of Munich, Germany (2007) 
See also Journal Article in International Review of Economics & Finance (2010)
- Intra-Day Seasonality in Foreign Market Transactions
Working Papers, Geary Institute, University College Dublin 
Also in Working Papers, Geary Institute, University College Dublin (2011)  Working Papers, Geary Institute, University College Dublin (2011)
- Margin Requirements with Intraday Dynamics
Working Papers, Geary Institute, University College Dublin View citations (1)
- Margin setting with high-frequency data1
Papers, arXiv.org
- Minimum Capital Requirement Calculations for UK Futures
Papers, arXiv.org 
Also in MPRA Paper, University Library of Munich, Germany (2004) View citations (7) Working Papers, Geary Institute, University College Dublin (2011) 
See also Journal Article in Journal of Futures Markets (2004)
- Modeling Long Memory in REITs
Papers, arXiv.org 
Also in MPRA Paper, University Library of Munich, Germany (2007)  Working Papers, Geary Institute, University College Dublin (2011) View citations (4)
See also Journal Article in Real Estate Economics (2008)
- Modelling Catastrophic Risk in International Equity Markets: An Extreme Value Approach
Working Papers, Geary Institute, University College Dublin 
Also in Papers, arXiv.org (2011)  MPRA Paper, University Library of Munich, Germany (2006) View citations (1)
- Multivariate Modeling of Daily REIT Volatility
Papers, arXiv.org View citations (1)
Also in MPRA Paper, University Library of Munich, Germany (2005)  Working Papers, Geary Institute, University College Dublin (2011) View citations (1)
See also Journal Article in The Journal of Real Estate Finance and Economics (2006)
- Re-evaluating Hedging Performance
Working Papers, Geary Institute, University College Dublin View citations (6)
Also in MPRA Paper, University Library of Munich, Germany (2005) View citations (11)
See also Journal Article in Journal of Futures Markets (2006)
- Real and Nominal Foreign Exchange Volatility Effects on Exports – The Importance of Timing
Working Papers, Geary Institute, University College Dublin View citations (2)
- Scaling conditional tail probability and quantile estimators
Papers, arXiv.org 
Also in Working Papers, Geary Institute, University College Dublin (2010)
- Spectral Risk Measures and the Choice of Risk Aversion Function
Papers, arXiv.org
- Spectral Risk Measures with an Application to Futures Clearinghouse Variation Margin Requirements
Working Papers, Geary Institute, University College Dublin 
Also in Papers, arXiv.org (2011)  Working Papers, Geary Institute, University College Dublin (2011)  MPRA Paper, University Library of Munich, Germany (2006) View citations (8)
- Spectral Risk Measures: Properties and Limitations
Papers, arXiv.org 
Also in Working Papers, Geary Institute, University College Dublin (2010) View citations (1)
See also Journal Article in Journal of Financial Services Research (2008)
- Tail Behaviour of the Euro
Working Papers, Geary Institute, University College Dublin 
Also in MPRA Paper, University Library of Munich, Germany (2005) View citations (12) Papers, arXiv.org (2011) 
See also Journal Article in Applied Economics (2005)
- The tail risks of FX return distributions: a comparison of the returns associated with limit orders and market orders
Papers, arXiv.org 
Also in MPRA Paper, University Library of Munich, Germany (2007) View citations (3)
See also Journal Article in Finance Research Letters (2007)
- Time Varying Risk Aversion: An Application to Energy Hedging
Papers, arXiv.org 
Also in Working Papers, Geary Institute, University College Dublin (2010) View citations (13)
See also Journal Article in Energy Economics (2010)
- U.S. Core Inflation: A Wavelet Analysis
Working Papers, Geary Institute, University College Dublin View citations (9)
Also in MPRA Paper, University Library of Munich, Germany (2006) View citations (5) Papers, arXiv.org (2011) View citations (7)
See also Journal Article in Macroeconomic Dynamics (2011)
- Uncovering Long Memory in High Frequency UK Futures
Papers, arXiv.org 
Also in Working Papers, Geary Institute, University College Dublin (2011)  MPRA Paper, University Library of Munich, Germany (2004) View citations (4)
See also Journal Article in The European Journal of Finance (2005)
- Uncovering Volatility Dynamics in Daily REIT Returns
Papers, arXiv.org View citations (9)
Also in MPRA Paper, University Library of Munich, Germany (2005) View citations (2)
- Varying the VaR for Unconditional and Conditional Environments
Working Papers, Geary Institute, University College Dublin 
Also in MPRA Paper, University Library of Munich, Germany (2004) View citations (3) Papers, arXiv.org (2011) 
See also Journal Article in Journal of International Money and Finance (2007)
- Volatility and Irish Exports
Working Papers, Geary Institute, University College Dublin 
Also in MPRA Paper, University Library of Munich, Germany (2005) 
See also Journal Article in Economic Inquiry (2008)
2007
- Extreme risk in Asian equity markets
MPRA Paper, University Library of Munich, Germany View citations (6)
2006
- Margin setting with high-frequency data
MPRA Paper, University Library of Munich, Germany View citations (2)
- Real & Nominal Foreign Exchange Volatility Effects on Exports – The Importance of Timing
MPRA Paper, University Library of Munich, Germany
2004
- Downside Risk for European Equity Markets
MPRA Paper, University Library of Munich, Germany View citations (14)
- International Equity Market Integration in a Small Open Economy: Ireland January 1990 – December 2000
MPRA Paper, University Library of Munich, Germany View citations (6)
See also Journal Article in International Review of Financial Analysis (2004)
- Modelling extreme financial returns of global equity markets
MPRA Paper, University Library of Munich, Germany
- Realized volatility and minimum capital requirements
Money Macro and Finance (MMF) Research Group Conference 2003, Money Macro and Finance Research Group
2001
- Margin Exceedences for European Stock Index Futures using Extreme Value Theory
MPRA Paper, University Library of Munich, Germany View citations (40)
See also Journal Article in Journal of Banking & Finance (2001)
2000
- Volatility and the Euro: an Irish perspective
MPRA Paper, University Library of Munich, Germany View citations (1)
1994
- Event Studies of Irish Equities: Earnings Announcements, Seasonality and Size
Working Papers, University College Cork - Department of Economics
Journal Articles
2022
- The illusion of oil return predictability: The choice of data matters!
Journal of Banking & Finance, 2022, 134, (C) View citations (2)
See also Working Paper (2022)
- The non-linear trade-off between return and risk and its determinants
Journal of Empirical Finance, 2022, 67, (C), 100-132 
See also Working Paper (2022)
2020
- Beyond common equity: The influence of secondary capital on bank insolvency risk
Journal of Financial Stability, 2020, 47, (C) View citations (8)
See also Working Paper (2018)
2019
- Credit default swaps as indicators of bank financial distress
Journal of International Money and Finance, 2019, 94, (C), 132-139 View citations (12)
See also Working Paper (2016)
- Spillovers in risk of financial institutions
The European Journal of Finance, 2019, 25, (17), 1765-1792 View citations (5)
See also Working Paper (2018)
- Subordinate Resolution ‐‐ An Empirical Analysis of European Union Subsidiary Banks
Journal of Common Market Studies, 2019, 57, (4), 857-876 View citations (5)
See also Working Paper (2015)
2018
- Long-run wavelet-based correlation for financial time series
European Journal of Operational Research, 2018, 271, (2), 676-696 View citations (10)
2017
- Asset allocation with correlation: A composite trade-off
European Journal of Operational Research, 2017, 262, (3), 1164-1180 View citations (20)
- Predictability and diversification benefits of investing in commodity and currency futures
International Review of Financial Analysis, 2017, 50, (C), 52-66 View citations (6)
2016
- Commodity futures hedging, risk aversion and the hedging horizon
The European Journal of Finance, 2016, 22, (15), 1534-1560 View citations (32)
See also Working Paper (2012)
2015
- A Comparative Anatomy of Residential REITs and Private Real Estate Markets: Returns, Risks and Distributional Characteristics
Real Estate Economics, 2015, 43, (1), 209-240 View citations (16)
- Can Housing Risk Be Diversified? A Cautionary Tale from the Housing Boom and Bust
Review of Financial Studies, 2015, 28, (3), 913-936 View citations (25)
See also Working Paper (2014)
- Performance of utility based hedges
Energy Economics, 2015, 49, (C), 718-726 View citations (12)
See also Working Paper (2014)
- The conditional pricing of systematic and idiosyncratic risk in the UK equity market
International Review of Financial Analysis, 2015, 37, (C), 184-193 View citations (6)
See also Working Paper (2014)
2014
- Anatomy of a bail-in
Journal of Financial Stability, 2014, 15, (C), 257-263 View citations (27)
See also Working Paper (2014)
- Sovereign and bank CDS spreads: Two sides of the same coin?
Journal of International Financial Markets, Institutions and Money, 2014, 32, (C), 72-85 View citations (28)
See also Working Paper (2014)
2013
- Downside risk and the energy hedger's horizon
Energy Economics, 2013, 36, (C), 371-379 View citations (25)
See also Working Paper (2012)
2012
- A utility based approach to energy hedging
Energy Economics, 2012, 34, (3), 817-827 View citations (16)
See also Working Paper (2011)
- An empirical analysis of dynamic multiscale hedging using wavelet decomposition
Journal of Futures Markets, 2012, 32, (3), 272-299 View citations (33)
See also Working Paper (2011)
- Extreme Measures of Agricultural Financial Risk
Journal of Agricultural Economics, 2012, 63, (1), 65-82 View citations (5)
See also Working Paper (2011)
- Hedging effectiveness under conditions of asymmetry
The European Journal of Finance, 2012, 18, (2), 135-147 View citations (14)
See also Working Paper (2011)
2011
- U.S. CORE INFLATION: A WAVELET ANALYSIS
Macroeconomic Dynamics, 2011, 15, (4), 513-536 View citations (7)
See also Working Paper (2011)
2010
- Estimating financial risk measures for futures positions: A nonparametric approach
Journal of Futures Markets, 2010, 30, (7), 689-703 View citations (7)
See also Working Paper (2011)
- Intra-day seasonality in foreign exchange market transactions
International Review of Economics & Finance, 2010, 19, (2), 287-294 View citations (3)
See also Working Paper (2011)
- Time-varying risk aversion: An application to energy hedging
Energy Economics, 2010, 32, (2), 432-441 View citations (14)
See also Working Paper (2011)
2008
- Modeling Long Memory in REITs
Real Estate Economics, 2008, 36, (3), 533-554 View citations (32)
See also Working Paper (2011)
- Spectral Risk Measures: Properties and Limitations
Journal of Financial Services Research, 2008, 34, (1), 61-75 View citations (34)
See also Working Paper (2011)
- VOLATILITY AND IRISH EXPORTS
Economic Inquiry, 2008, 46, (4), 540-560 View citations (1)
See also Working Paper (2011)
2007
- Exponential Spectral Risk Measures
The IUP Journal of Financial Economics, 2007, V, (4), 57-66 View citations (1)
See also Working Paper (2011)
- 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 View citations (3)
See also Working Paper (2011)
- Varying the VaR for unconditional and conditional environments
Journal of International Money and Finance, 2007, 26, (8), 1338-1354 View citations (22)
See also Working Paper (2011)
2006
- Extreme Value Estimation of Boom and Crash Statistics
The European Journal of Finance, 2006, 12, (6-7), 553-566 View citations (2)
- Extreme spectral risk measures: An application to futures clearinghouse margin requirements
Journal of Banking & Finance, 2006, 30, (12), 3469-3485 View citations (44)
See also Working Paper (2011)
- Multivariate Modeling of Daily REIT Volatility
The Journal of Real Estate Finance and Economics, 2006, 32, (3), 305-325 View citations (83)
See also Working Paper (2011)
- Reevaluating hedging performance
Journal of Futures Markets, 2006, 26, (7), 677-702 View citations (21)
See also Working Paper (2011)
2005
- Extreme risk in futures contracts
Applied Economics Letters, 2005, 12, (8), 489-492 View citations (5)
- Tail behaviour of the euro
Applied Economics, 2005, 37, (7), 827-840 View citations (12)
See also Working Paper (2011)
- Uncovering long memory in high frequency UK futures
The European Journal of Finance, 2005, 11, (4), 325-337 View citations (21)
See also Working Paper (2011)
2004
- International equity market integration in a small open economy: Ireland January 1990-December 2000
International Review of Financial Analysis, 2004, 13, (5), 669-685 View citations (8)
See also Working Paper (2004)
- Minimum capital requirement calculations for UK futures
Journal of Futures Markets, 2004, 24, (2), 193-220 View citations (1)
See also Working Paper (2011)
2001
- Margin exceedences for European stock index futures using extreme value theory
Journal of Banking & Finance, 2001, 25, (8), 1475-1502 View citations (40)
See also Working Paper (2001)
2000
- 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 View citations (6)
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