Details about John Cotter

Access statistics for papers by John Cotter.

Last updated 2025-03-14. Update your information in the RePEc Author Service.

Short-id: pco227

Working Papers

2023

1. Commodity futures return predictability and intertemporal asset pricing
   Post-Print, HAL View citations (2)
   Also in Working Papers, Geary Institute, University College Dublin (2020) View citations (2)
   See also Journal Article Commodity futures return predictability and intertemporal asset pricing, Journal of Commodity Markets, Elsevier (2023) View citations (2) (2023)

2022

2. Co-skewness across Return Horizons
   Working Papers, Geary Institute, University College Dublin
   Also in Working Papers, Geary Institute, University College Dublin (2019)
   See also Journal Article Co-Skewness across Return Horizons*, Journal of Financial Econometrics, Oxford University Press (2023) View citations (1) (2023)
3. The illusion of oil return predictability: The choice of data matters!
   Post-Print, HAL View citations (8)
   See also Journal Article The illusion of oil return predictability: The choice of data matters!, Journal of Banking & Finance, Elsevier (2022) View citations (7) (2022)
4. The non-linear trade-off between return and risk and its determinants
   Working Papers, Geary Institute, University College Dublin
   See also Journal Article The non-linear trade-off between return and risk and its determinants, Journal of Empirical Finance, Elsevier (2022) (2022)

2021

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

2020

6. Macro-Financial Spillovers
   Working Papers, Geary Institute, University College Dublin View citations (3)
   See also Journal Article Macro-financial spillovers, Journal of International Money and Finance, Elsevier (2023) View citations (5) (2023)

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 (2)
   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 Beyond common equity: The influence of secondary capital on bank insolvency risk, Journal of Financial Stability, Elsevier (2020) View citations (11) (2020)
11. Spillovers in Risk of Financial Institutions
    Working Papers, Geary Institute, University College Dublin View citations (2)
    See also Journal Article Spillovers in risk of financial institutions, The European Journal of Finance, Taylor & Francis Journals (2019) View citations (5) (2019)

2017

12. Mixed-Frequency Macro-Financial Spillovers
    Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum View citations (7)
    Also in Working Papers, Geary Institute, University College Dublin (2017) View citations (9)

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 Credit default swaps as indicators of bank financial distress, Journal of International Money and Finance, Elsevier (2019) View citations (15) (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 Subordinate Resolution ‐‐ An Empirical Analysis of European Union Subsidiary Banks, Journal of Common Market Studies, Wiley Blackwell (2019) View citations (5) (2019)

2014

17. Anatomy of a Bail-In
    Papers, arXiv.org View citations (29)
    Also in Working Papers, Geary Institute, University College Dublin (2014) View citations (29)
    See also Journal Article Anatomy of a bail-in, Journal of Financial Stability, Elsevier (2014) View citations (29) (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 Can Housing Risk Be Diversified? A Cautionary Tale from the Housing Boom and Bust, The Review of Financial Studies, Society for Financial Studies (2015) View citations (28) (2015)
19. Performance of Utility Based Hedges
    Working Papers, Geary Institute, University College Dublin View citations (6)
    See also Journal Article Performance of utility based hedges, Energy Economics, Elsevier (2015) View citations (14) (2015)
20. Sovereign and bank CDS spreads: two sides of the same coin?
    MPRA Paper, University Library of Munich, Germany View citations (30)
    Also in Working Papers, Geary Institute, University College Dublin (2014) View citations (30)
    See also Journal Article Sovereign and bank CDS spreads: Two sides of the same coin?, Journal of International Financial Markets, Institutions and Money, Elsevier (2014) View citations (30) (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 The conditional pricing of systematic and idiosyncratic risk in the UK equity market, International Review of Financial Analysis, Elsevier (2015) View citations (7) (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 Commodity futures hedging, risk aversion and the hedging horizon, The European Journal of Finance, Taylor & Francis Journals (2016) View citations (35) (2016)
26. Downside risk and the energy hedger's horizon
    Working Papers, Geary Institute, University College Dublin
    See also Journal Article Downside risk and the energy hedger's horizon, Energy Economics, Elsevier (2013) View citations (30) (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
    Working Papers, Geary Institute, University College Dublin View citations (1)
    Also in Papers, arXiv.org (2011) View citations (3)
    See also Journal Article A utility based approach to energy hedging, Energy Economics, Elsevier (2012) View citations (17) (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)
    MPRA Paper, University Library of Munich, Germany (2005) View citations (1)
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 An empirical analysis of dynamic multiscale hedging using wavelet decomposition, Journal of Futures Markets, John Wiley & Sons, Ltd. (2012) View citations (36) (2012)
32. Estimating Financial Risk Measures for Futures Positions:A Non-Parametric Approach
    Working Papers, Geary Institute, University College Dublin
    Also in Papers, arXiv.org (2011)
    MPRA Paper, University Library of Munich, Germany (2007) View citations (2)
    See also Journal Article Estimating financial risk measures for futures positions: A nonparametric approach, Journal of Futures Markets, John Wiley & Sons, Ltd. (2010) View citations (8) (2010)
33. Evaluating the Precision of Estimators of Quantile-Based Risk Measures
    Papers, arXiv.org
    Also in Working Papers, Geary Institute, University College Dublin (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)
35. Extreme Measures of Agricultural Financial Risk
    Papers, arXiv.org View citations (1)
    See also Journal Article Extreme Measures of Agricultural Financial Risk, Journal of Agricultural Economics, Wiley Blackwell (2012) View citations (7) (2012)
36. Extreme Spectral Risk Measures: An Application to Futures Clearinghouse Margin Requirements
    Papers, arXiv.org View citations (1)
    Also in MPRA Paper, University Library of Munich, Germany (2006) View citations (41)
    Working Papers, Geary Institute, University College Dublin (2011) View citations (2)
    See also Journal Article Extreme spectral risk measures: An application to futures clearinghouse margin requirements, Journal of Banking & Finance, Elsevier (2006) View citations (49) (2006)
37. Financial Risks and the Pension Protection Fund: Can it Survive Them?
    Papers, arXiv.org
    Also in MPRA Paper, University Library of Munich, Germany (2006) View citations (1)
    Working Papers, Geary Institute, University College Dublin (2011) View citations (1)
38. Hedging Effectiveness under Conditions of Asymmetry
    Working Papers, Geary Institute, University College Dublin
    Also in Papers, arXiv.org (2011)
    MPRA Paper, University Library of Munich, Germany (2007) View citations (1)
    See also Journal Article Hedging effectiveness under conditions of asymmetry, The European Journal of Finance, Taylor & Francis Journals (2012) View citations (17) (2012)
39. Hedging: Scaling and the Investor Horizon
    Papers, arXiv.org
    Also in Working Papers, Geary Institute, University College Dublin (2010) View citations (1)
    See also Journal Article Hedging: scaling and the investor horizon, Journal of Risk, Journal of Risk
40. Housing risk and return: Evidence from a housing asset-pricing model
    Papers, arXiv.org View citations (11)
    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
    Papers, arXiv.org View citations (12)
    Also in Working Papers, Geary Institute, University College Dublin (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 Intra-day seasonality in foreign exchange market transactions, International Review of Economics & Finance, Elsevier (2010) View citations (3) (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 Minimum capital requirement calculations for UK futures, Journal of Futures Markets, John Wiley & Sons, Ltd. (2004) View citations (1) (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 Modeling Long Memory in REITs, Real Estate Economics, American Real Estate and Urban Economics Association (2008) View citations (32) (2008)
50. Modelling Catastrophic Risk in International Equity Markets: An Extreme Value Approach
    Working Papers, Geary Institute, University College Dublin
    Also in MPRA Paper, University Library of Munich, Germany (2006) View citations (1)
    Papers, arXiv.org (2011)
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 Multivariate Modeling of Daily REIT Volatility, The Journal of Real Estate Finance and Economics, Springer (2006) View citations (87) (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 Reevaluating hedging performance, Journal of Futures Markets, John Wiley & Sons, Ltd. (2006) View citations (23) (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 View citations (1)
56. Spectral Risk Measures with an Application to Futures Clearinghouse Variation Margin Requirements
    Working Papers, Geary Institute, University College Dublin
    Also in MPRA Paper, University Library of Munich, Germany (2006) View citations (8)
    Working Papers, Geary Institute, University College Dublin (2011)
    Papers, arXiv.org (2011)
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 Spectral Risk Measures: Properties and Limitations, Journal of Financial Services Research, Springer (2008) View citations (39) (2008)
58. Tail Behaviour of the Euro
    Working Papers, Geary Institute, University College Dublin
    Also in Papers, arXiv.org (2011)
    MPRA Paper, University Library of Munich, Germany (2005) View citations (12)
    See also Journal Article Tail behaviour of the euro, Applied Economics, Taylor & Francis Journals (2005) View citations (11) (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 The tail risks of FX return distributions: A comparison of the returns associated with limit orders and market orders, Finance Research Letters, Elsevier (2007) View citations (3) (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 (16)
    See also Journal Article Time-varying risk aversion: An application to energy hedging, Energy Economics, Elsevier (2010) View citations (17) (2010)
61. U.S. Core Inflation: A Wavelet Analysis
    Working Papers, Geary Institute, University College Dublin View citations (9)
    Also in Papers, arXiv.org (2011) View citations (7)
    MPRA Paper, University Library of Munich, Germany (2006) View citations (5)
    See also Journal Article U.S. CORE INFLATION: A WAVELET ANALYSIS, Macroeconomic Dynamics, Cambridge University Press (2011) View citations (7) (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 Uncovering long memory in high frequency UK futures, The European Journal of Finance, Taylor & Francis Journals (2005) View citations (21) (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)
    See also Journal Article Uncovering Volatility Dynamics in Daily REIT Returns, Journal of Real Estate Portfolio Management, Taylor & Francis Journals (2007) View citations (1) (2007)
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 Varying the VaR for unconditional and conditional environments, Journal of International Money and Finance, Elsevier (2007) View citations (24) (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 VOLATILITY AND IRISH EXPORTS, Economic Inquiry, Western Economic Association International (2008) View citations (1) (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 (13)
    See also Journal Article Downside risk for European equity markets, Applied Financial Economics, Taylor & Francis Journals (2004) View citations (13) (2004)
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 International equity market integration in a small open economy: Ireland January 1990-December 2000, International Review of Financial Analysis, Elsevier (2004) View citations (8) (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 (42)
    See also Journal Article Margin exceedences for European stock index futures using extreme value theory, Journal of Banking & Finance, Elsevier (2001) View citations (41) (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

2024

1. Diversification with globally integrated US stocks
   Journal of International Financial Markets, Institutions and Money, 2024, 90, (C) View citations (1)
2. Forecasting the price of oil: A cautionary note
   Journal of Commodity Markets, 2024, 33, (C)

2023

3. A financial modeling approach to industry exchange-traded funds selection
   Journal of Empirical Finance, 2023, 74, (C)
4. Co-Skewness across Return Horizons*
   Journal of Financial Econometrics, 2023, 21, (5), 1483-1518 View citations (1)
   See also Working Paper Co-skewness across Return Horizons, Working Papers (2022) (2022)
5. Commodity futures return predictability and intertemporal asset pricing
   Journal of Commodity Markets, 2023, 31, (C) View citations (2)
   See also Working Paper Commodity futures return predictability and intertemporal asset pricing, Post-Print (2023) View citations (2) (2023)
6. Macro-financial spillovers
   Journal of International Money and Finance, 2023, 133, (C) View citations (5)
   See also Working Paper Macro-Financial Spillovers, Working Papers (2020) View citations (3) (2020)

2022

7. The illusion of oil return predictability: The choice of data matters!
   Journal of Banking & Finance, 2022, 134, (C) View citations (7)
   See also Working Paper The illusion of oil return predictability: The choice of data matters!, Post-Print (2022) View citations (8) (2022)
8. 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 The non-linear trade-off between return and risk and its determinants, Working Papers (2022) (2022)

2020

9. Beyond common equity: The influence of secondary capital on bank insolvency risk
   Journal of Financial Stability, 2020, 47, (C) View citations (11)
   See also Working Paper Beyond Common Equity - The Influence of Secondary Capital on Bank Insolvency Risk, Working Papers (2018) (2018)

2019

10. Credit default swaps as indicators of bank financial distress
    Journal of International Money and Finance, 2019, 94, (C), 132-139 View citations (15)
    See also Working Paper Credit Default Swaps as Indicators of Bank financial Distress, Working Papers (2016) View citations (2) (2016)
11. Spillovers in risk of financial institutions
    The European Journal of Finance, 2019, 25, (17), 1765-1792 View citations (5)
    See also Working Paper Spillovers in Risk of Financial Institutions, Working Papers (2018) View citations (2) (2018)
12. 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 Subordinate Resolution - An Empirical Analysis of European Union Subsidiary Banks, Working Papers (2015) View citations (4) (2015)

2018

13. Long-run wavelet-based correlation for financial time series
    European Journal of Operational Research, 2018, 271, (2), 676-696 View citations (14)

2017

14. Asset allocation with correlation: A composite trade-off
    European Journal of Operational Research, 2017, 262, (3), 1164-1180 View citations (23)
15. 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

16. Commodity futures hedging, risk aversion and the hedging horizon
    The European Journal of Finance, 2016, 22, (15), 1534-1560 View citations (35)
    See also Working Paper Commodity futures hedging, risk aversion and the hedging horizon, Working Papers (2012) View citations (19) (2012)

2015

17. 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 (17)
18. Can Housing Risk Be Diversified? A Cautionary Tale from the Housing Boom and Bust
    The Review of Financial Studies, 2015, 28, (3), 913-936 View citations (28)
    See also Working Paper Can housing risk be diversified? A cautionary tale from the housing boom and bust, Working Papers (2014) View citations (5) (2014)
19. Performance of utility based hedges
    Energy Economics, 2015, 49, (C), 718-726 View citations (14)
    See also Working Paper Performance of Utility Based Hedges, Working Papers (2014) View citations (6) (2014)
20. 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 (7)
    See also Working Paper The Conditional Pricing of Systematic and Idiosyncratic Risk in the UK Equity Market, Working Papers (2014) View citations (1) (2014)

2014

21. Anatomy of a bail-in
    Journal of Financial Stability, 2014, 15, (C), 257-263 View citations (29)
    See also Working Paper Anatomy of a Bail-In, Papers (2014) View citations (29) (2014)
22. 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 (30)
    See also Working Paper Sovereign and bank CDS spreads: two sides of the same coin?, MPRA Paper (2014) View citations (30) (2014)

2013

23. Downside risk and the energy hedger's horizon
    Energy Economics, 2013, 36, (C), 371-379 View citations (30)
    See also Working Paper Downside risk and the energy hedger's horizon, Working Papers (2012) (2012)

2012

24. A utility based approach to energy hedging
    Energy Economics, 2012, 34, (3), 817-827 View citations (17)
    See also Working Paper A Utility Based Approach to Energy Hedging, Working Papers (2011) View citations (1) (2011)
25. An empirical analysis of dynamic multiscale hedging using wavelet decomposition
    Journal of Futures Markets, 2012, 32, (3), 272-299 View citations (36)
    See also Working Paper An Empirical Analysis of Dynamic Multiscale Hedging using Wavelet Decomposition, Papers (2011) View citations (1) (2011)
26. Extreme Measures of Agricultural Financial Risk
    Journal of Agricultural Economics, 2012, 63, (1), 65-82 View citations (7)
    See also Working Paper Extreme Measures of Agricultural Financial Risk, Papers (2011) View citations (1) (2011)
27. Hedging effectiveness under conditions of asymmetry
    The European Journal of Finance, 2012, 18, (2), 135-147 View citations (17)
    See also Working Paper Hedging Effectiveness under Conditions of Asymmetry, Working Papers (2011) (2011)

2011

28. U.S. CORE INFLATION: A WAVELET ANALYSIS
    Macroeconomic Dynamics, 2011, 15, (4), 513-536 View citations (7)
    See also Working Paper U.S. Core Inflation: A Wavelet Analysis, Working Papers (2011) View citations (9) (2011)

2010

29. Estimating financial risk measures for futures positions: A nonparametric approach
    Journal of Futures Markets, 2010, 30, (7), 689-703 View citations (8)
    See also Working Paper Estimating Financial Risk Measures for Futures Positions:A Non-Parametric Approach, Working Papers (2011) (2011)
30. 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 Intra-Day Seasonality in Foreign Exchange Market Transactions, Papers (2011) (2011)
31. Time-varying risk aversion: An application to energy hedging
    Energy Economics, 2010, 32, (2), 432-441 View citations (17)
    See also Working Paper Time Varying Risk Aversion: An Application to Energy Hedging, Papers (2011) (2011)

2008

32. Modeling Long Memory in REITs
    Real Estate Economics, 2008, 36, (3), 533-554 View citations (32)
    See also Working Paper Modeling Long Memory in REITs, Papers (2011) (2011)
33. Spectral Risk Measures: Properties and Limitations
    Journal of Financial Services Research, 2008, 34, (1), 61-75 View citations (39)
    See also Working Paper Spectral Risk Measures: Properties and Limitations, Papers (2011) (2011)
34. VOLATILITY AND IRISH EXPORTS
    Economic Inquiry, 2008, 46, (4), 540-560 View citations (1)
    See also Working Paper Volatility and Irish Exports, Working Papers (2011) (2011)

2007

35. 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 The tail risks of FX return distributions: a comparison of the returns associated with limit orders and market orders, Papers (2011) (2011)
36. Uncovering Volatility Dynamics in Daily REIT Returns
    Journal of Real Estate Portfolio Management, 2007, 13, (2), 119-128 View citations (1)
    See also Working Paper Uncovering Volatility Dynamics in Daily REIT Returns, Papers (2011) View citations (9) (2011)
37. Varying the VaR for unconditional and conditional environments
    Journal of International Money and Finance, 2007, 26, (8), 1338-1354 View citations (24)
    See also Working Paper Varying the VaR for Unconditional and Conditional Environments, Working Papers (2011) (2011)

2006

38. Extreme Value Estimation of Boom and Crash Statistics
    The European Journal of Finance, 2006, 12, (6-7), 553-566 View citations (2)
39. Extreme spectral risk measures: An application to futures clearinghouse margin requirements
    Journal of Banking & Finance, 2006, 30, (12), 3469-3485 View citations (49)
    See also Working Paper Extreme Spectral Risk Measures: An Application to Futures Clearinghouse Margin Requirements, Papers (2011) View citations (1) (2011)
40. Multivariate Modeling of Daily REIT Volatility
    The Journal of Real Estate Finance and Economics, 2006, 32, (3), 305-325 View citations (87)
    See also Working Paper Multivariate Modeling of Daily REIT Volatility, Papers (2011) View citations (1) (2011)
41. Reevaluating hedging performance
    Journal of Futures Markets, 2006, 26, (7), 677-702 View citations (23)
    See also Working Paper Re-evaluating Hedging Performance, Working Papers (2011) View citations (6) (2011)

2005

42. Extreme risk in futures contracts
    Applied Economics Letters, 2005, 12, (8), 489-492 View citations (4)
43. Tail behaviour of the euro
    Applied Economics, 2005, 37, (7), 827-840 View citations (11)
    See also Working Paper Tail Behaviour of the Euro, Working Papers (2011) (2011)
44. 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 Uncovering Long Memory in High Frequency UK Futures, Papers (2011) (2011)

2004

45. Downside risk for European equity markets
    Applied Financial Economics, 2004, 14, (10), 707-716 View citations (13)
    See also Working Paper Downside Risk for European Equity Markets, MPRA Paper (2004) View citations (13) (2004)
46. 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 International Equity Market Integration in a Small Open Economy: Ireland January 1990 – December 2000, MPRA Paper (2004) View citations (6) (2004)
47. Minimum capital requirement calculations for UK futures
    Journal of Futures Markets, 2004, 24, (2), 193-220 View citations (1)
    See also Working Paper Minimum Capital Requirement Calculations for UK Futures, Papers (2011) (2011)

2001

48. Margin exceedences for European stock index futures using extreme value theory
    Journal of Banking & Finance, 2001, 25, (8), 1475-1502 View citations (41)
    See also Working Paper Margin Exceedences for European Stock Index Futures using Extreme Value Theory, MPRA Paper (2001) View citations (42) (2001)

2000

49. 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 (5)

Undated

50. Hedging: scaling and the investor horizon
    Journal of Risk
    See also Working Paper Hedging: Scaling and the Investor Horizon, Papers (2011) (2011)

Chapters

2012

1. Re-Evaluating Hedging Performance for Asymmetry: The Case of Crude Oil
   A chapter in Derivative Securities Pricing and Modelling, 2012, pp 259-280