Details about John Cotter

Access statistics for papers by John Cotter.

Last updated 2023-01-09. Update your information in the RePEc Author Service.

Short-id: pco227

Working Papers

2022

1. Co-skewness across Return Horizons
   Working Papers, Geary Institute, University College Dublin
   Also in Working Papers, Geary Institute, University College Dublin (2019)
2. 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)
3. 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

4. Machine Learning and Factor-Based Portfolio Optimization
   Papers, arXiv.org
   Also in Working Papers, Geary Institute, University College Dublin (2021)

2020

5. Commodity Futures Return Predictability and Intertemporal Asset Pricing
   Working Papers, Geary Institute, University College Dublin View citations (1)
6. Macro-Financial Spillovers
   Working Papers, Geary Institute, University College Dublin View citations (1)

2019

7. Integration Among US Banks
   Working Papers, Geary Institute, University College Dublin
8. 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

9. Are equity market anomalies disappearing? Evidence from the U.K
   Working Papers, Geary Institute, University College Dublin View citations (3)
10. 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)
11. 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

12. 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

13. 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)
14. The Intervaling Effect on Higher-Order Co-Moments
    Working Papers, Geary Institute, University College Dublin

2015

15. Long-run international diversification
    Working Papers, Geary Institute, University College Dublin View citations (1)
16. 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

17. 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)
18. 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)
19. Performance of Utility Based Hedges
    Working Papers, Geary Institute, University College Dublin View citations (6)
    See also Journal Article in Energy Economics (2015)
20. 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)
21. 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)
22. 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

23. 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

24. 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)
25. 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)
26. Downside risk and the energy hedger's horizon
    Working Papers, Geary Institute, University College Dublin
    See also Journal Article in Energy Economics (2013)
27. What Should Be Done About The Underfunding of Defined Benefit Pension Schemes?
    Working Papers, Geary Institute, University College Dublin View citations (2)

2011

28. 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)
29. 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)
30. 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)
31. 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)
32. 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)
33. 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)
34. 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)
35. Extreme Measures of Agricultural Financial Risk
    Papers, arXiv.org View citations (1)
    See also Journal Article in Journal of Agricultural Economics (2012)
36. 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)
37. 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)
38. 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)
39. Hedging: Scaling and the Investor Horizon
    Papers, arXiv.org
    Also in Working Papers, Geary Institute, University College Dublin (2010) View citations (1)
40. 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)
41. How Unlucky is 25-Sigma?
    Papers, arXiv.org View citations (7)
    Also in Working Papers, Geary Institute, University College Dublin (2010) View citations (3)
42. 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)
43. 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)
44. 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)
45. 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)
46. Margin Requirements with Intraday Dynamics
    Working Papers, Geary Institute, University College Dublin View citations (1)
47. Margin setting with high-frequency data1
    Papers, arXiv.org
48. 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)
49. 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)
50. 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)
51. 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)
52. 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)
53. Real and Nominal Foreign Exchange Volatility Effects on Exports – The Importance of Timing
    Working Papers, Geary Institute, University College Dublin View citations (2)
54. Scaling conditional tail probability and quantile estimators
    Papers, arXiv.org
    Also in Working Papers, Geary Institute, University College Dublin (2010)
55. Spectral Risk Measures and the Choice of Risk Aversion Function
    Papers, arXiv.org
56. 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)
57. 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)
58. 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)
59. 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)
60. 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)
61. 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)
62. 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)
63. 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)
64. 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)
65. 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

66. Extreme risk in Asian equity markets
    MPRA Paper, University Library of Munich, Germany View citations (6)

2006

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

2004

69. Downside Risk for European Equity Markets
    MPRA Paper, University Library of Munich, Germany View citations (14)
70. 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)
71. Modelling extreme financial returns of global equity markets
    MPRA Paper, University Library of Munich, Germany
72. Realized volatility and minimum capital requirements
    Money Macro and Finance (MMF) Research Group Conference 2003, Money Macro and Finance Research Group

2001

73. 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

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

1994

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

Journal Articles

2022

1. 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)
2. 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

3. 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

4. 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)
5. Spillovers in risk of financial institutions
   The European Journal of Finance, 2019, 25, (17), 1765-1792 View citations (5)
   See also Working Paper (2018)
6. 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

7. Long-run wavelet-based correlation for financial time series
   European Journal of Operational Research, 2018, 271, (2), 676-696 View citations (10)

2017

8. Asset allocation with correlation: A composite trade-off
   European Journal of Operational Research, 2017, 262, (3), 1164-1180 View citations (20)
9. 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

10. 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

11. 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)
12. 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)
13. Performance of utility based hedges
    Energy Economics, 2015, 49, (C), 718-726 View citations (12)
    See also Working Paper (2014)
14. 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

15. Anatomy of a bail-in
    Journal of Financial Stability, 2014, 15, (C), 257-263 View citations (27)
    See also Working Paper (2014)
16. 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

17. Downside risk and the energy hedger's horizon
    Energy Economics, 2013, 36, (C), 371-379 View citations (25)
    See also Working Paper (2012)

2012

18. A utility based approach to energy hedging
    Energy Economics, 2012, 34, (3), 817-827 View citations (16)
    See also Working Paper (2011)
19. 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)
20. Extreme Measures of Agricultural Financial Risk
    Journal of Agricultural Economics, 2012, 63, (1), 65-82 View citations (5)
    See also Working Paper (2011)
21. 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

22. U.S. CORE INFLATION: A WAVELET ANALYSIS
    Macroeconomic Dynamics, 2011, 15, (4), 513-536 View citations (7)
    See also Working Paper (2011)

2010

23. 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)
24. 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)
25. 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

26. Modeling Long Memory in REITs
    Real Estate Economics, 2008, 36, (3), 533-554 View citations (32)
    See also Working Paper (2011)
27. Spectral Risk Measures: Properties and Limitations
    Journal of Financial Services Research, 2008, 34, (1), 61-75 View citations (34)
    See also Working Paper (2011)
28. VOLATILITY AND IRISH EXPORTS
    Economic Inquiry, 2008, 46, (4), 540-560 View citations (1)
    See also Working Paper (2011)

2007

29. Exponential Spectral Risk Measures
    The IUP Journal of Financial Economics, 2007, V, (4), 57-66 View citations (1)
    See also Working Paper (2011)
30. 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)
31. 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

32. Extreme Value Estimation of Boom and Crash Statistics
    The European Journal of Finance, 2006, 12, (6-7), 553-566 View citations (2)
33. 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)
34. 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)
35. Reevaluating hedging performance
    Journal of Futures Markets, 2006, 26, (7), 677-702 View citations (21)
    See also Working Paper (2011)

2005

36. Extreme risk in futures contracts
    Applied Economics Letters, 2005, 12, (8), 489-492 View citations (5)
37. Tail behaviour of the euro
    Applied Economics, 2005, 37, (7), 827-840 View citations (12)
    See also Working Paper (2011)
38. 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

39. 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)
40. 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

41. 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

42. 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)