John Cotter
Personal Details
First Name: | John |
Middle Name: | |
Last Name: | Cotter |
Suffix: | |
RePEc Short-ID: | pco227 |
[This author has chosen not to make the email address public] | |
https://johncotter.org/ | |
School of Business University College Dublin Carysfort Avenue Blackrock Co Dublin | |
0035317168900 |
Affiliation
(in no particular order)
Anderson Graduate School of Management
University of California-Los Angeles (UCLA)
Los Angeles, California (United States)http://www.anderson.ucla.edu/
RePEc:edi:aguclus (more details at EDIRC)
Geary Institute
University College Dublin
Dublin, Irelandhttp://www.ucd.ie/geary/
RePEc:edi:geucdie (more details at EDIRC)
Centre for Financial Markets (CFM)
School of Business
University College Dublin
Dublin, Irelandhttp://www.ucd.ie/bankingfinance/centreforfinancialmarkets/
RePEc:edi:cfucdie (more details at EDIRC)
Research output
Jump to: Working papers Articles ChaptersWorking papers
- John Cotter & Emmanuel Eyiah-Donkor & Valerio Potì, 2023.
"Commodity futures return predictability and intertemporal asset pricing,"
Post-Print
hal-04192933, HAL.
- Cotter, John & Eyiah-Donkor, Emmanuel & Potì, Valerio, 2023. "Commodity futures return predictability and intertemporal asset pricing," Journal of Commodity Markets, Elsevier, vol. 31(C).
- John Cotter & Emmanuel Eyiah-Donkor & Valerio Potì, 2020. "Commodity Futures Return Predictability and Intertemporal Asset Pricing," Working Papers 202011, Geary Institute, University College Dublin.
- Thomas Conlon & John Cotter & Emmanuel Eyiah-Donkor, 2022.
"The illusion of oil return predictability: The choice of data matters!,"
Post-Print
hal-03519860, HAL.
- Conlon, Thomas & Cotter, John & Eyiah-Donkor, Emmanuel, 2022. "The illusion of oil return predictability: The choice of data matters!," Journal of Banking & Finance, Elsevier, vol. 134(C).
- John Cotter & Enrique Salvador, 2022.
"The non-linear trade-off between return and risk and its determinants,"
Working Papers
202203, Geary Institute, University College Dublin.
- Cotter, John & Salvador, Enrique, 2022. "The non-linear trade-off between return and risk and its determinants," Journal of Empirical Finance, Elsevier, vol. 67(C), pages 100-132.
- Thomas Conlon & John Cotter & Iason Kynigakis, 2021.
"Machine Learning and Factor-Based Portfolio Optimization,"
Papers
2107.13866, arXiv.org.
- Thomas Conlon & John Cotter & Iason Kynigakis, 2021. "Machine Learning and Factor-Based Portfolio Optimization," Working Papers 202111, Geary Institute, University College Dublin.
- John Cotter & Mark Hallam & Kamil Yilmaz, 2020.
"Macro-Financial Spillovers,"
Working Papers
202005, Geary Institute, University College Dublin.
- Cotter, John & Hallam, Mark & Yilmaz, Kamil, 2023. "Macro-financial spillovers," Journal of International Money and Finance, Elsevier, vol. 133(C).
- Abhinav Anand & John Cotter, 2019. "Integration Among US Banks," Working Papers 201913, Geary Institute, University College Dublin.
- Thomas Conlon & John Cotter & Chenglu Jin, 2019.
"Co-skewness across Return Horizons,"
Working Papers
201910, Geary Institute, University College Dublin.
- Chenglu Jin & Thomas Conlon & John Cotter, 2023. "Co-Skewness across Return Horizons," Journal of Financial Econometrics, Oxford University Press, vol. 21(5), pages 1483-1518.
- Chenglu Jin & Thomas Conlon & John Cotter, 2022. "Co-skewness across Return Horizons," Working Papers 202210, Geary Institute, University College Dublin.
- John Cotter & Anita Suurlaht, 2018.
"Spillovers in Risk of Financial Institutions,"
Working Papers
201805, Geary Institute, University College Dublin.
- John Cotter & Anita Suurlaht, 2019. "Spillovers in risk of financial institutions," The European Journal of Finance, Taylor & Francis Journals, vol. 25(17), pages 1765-1792, November.
- John Cotter & Niall McGeever, 2018. "Are equity market anomalies disappearing? Evidence from the U.K," Working Papers 201804, Geary Institute, University College Dublin.
- Thomas Conlon & John Cotter & Philip Molyneux, 2018.
"Beyond Common Equity - The Influence of Secondary Capital on Bank Insolvency Risk,"
Working Papers
201806, Geary Institute, University College Dublin.
- Conlon, Thomas & Cotter, John & Molyneux, Philip, 2020. "Beyond common equity: The influence of secondary capital on bank insolvency risk," Journal of Financial Stability, Elsevier, vol. 47(C).
- John Cotter & Mark Hallam & Kamil Yilmaz, 2017.
"Mixed-Frequency Macro-Financial Spillovers,"
Koç University-TUSIAD Economic Research Forum Working Papers
1704, Koc University-TUSIAD Economic Research Forum.
- John Cotter & Mark Hallam & Kamil Yilmaz, 2017. "Mixed-frequency macro-financial spillovers," Working Papers 201704, Geary Institute, University College Dublin.
- Thomas Conlon & John Cotter & Chenglu Jin, 2016. "The Intervaling Effect on Higher-Order Co-Moments," Working Papers 201602, Geary Institute, University College Dublin.
- Davide Avino & Thomas Conlon & John Cotter, 2016.
"Credit Default Swaps as Indicators of Bank financial Distress,"
Working Papers
201601, Geary Institute, University College Dublin.
- Avino, Davide E. & Conlon, Thomas & Cotter, John, 2019. "Credit default swaps as indicators of bank financial distress," Journal of International Money and Finance, Elsevier, vol. 94(C), pages 132-139.
- John Cotter & Stuart Gabriel & Richard Roll, 2016.
"Nowhere to run, nowhere to hide: asset diversification in a flat world,"
Working Papers
201612, Geary Institute, University College Dublin.
- John Cotter & Stuart Gabriel & Richard Roll, 2019. "Nowhere to Run, Nowhere to Hide - Asset Diversification in a Flat World," Working Papers 201909, Geary Institute, University College Dublin.
- Thomas Conlon & John Cotter, 2015.
"Subordinate Resolution - An Empirical Analysis of European Union Subsidiary Banks,"
Working Papers
201501, Geary Institute, University College Dublin.
- Thomas Conlon & John Cotter, 2019. "Subordinate Resolution ‐‐ An Empirical Analysis of European Union Subsidiary Banks," Journal of Common Market Studies, Wiley Blackwell, vol. 57(4), pages 857-876, July.
- Thomas Conlon & John Cotter & Ramazan Gençay, 2015. "Long-run international diversification," Working Papers 201502, Geary Institute, University College Dublin.
- John Cotter & Jim Hanly, 2014.
"Performance of Utility Based Hedges,"
Working Papers
201404, Geary Institute, University College Dublin.
- Cotter, John & Hanly, Jim, 2015. "Performance of utility based hedges," Energy Economics, Elsevier, vol. 49(C), pages 718-726.
- Avino, Davide & Cotter, John, 2014.
"Sovereign and bank CDS spreads: two sides of the same coin?,"
MPRA Paper
55208, University Library of Munich, Germany.
- Avino, Davide & Cotter, John, 2014. "Sovereign and bank CDS spreads: Two sides of the same coin?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 32(C), pages 72-85.
- John Cotter & Davide Avino, 2014. "Sovereign and bank CDS spreads: two sides of the same coin?," Working Papers 201402, Geary Institute, University College Dublin.
- John Cotter & Stuart Gabriel & Richard Roll, 2014.
"Can housing risk be diversified? A cautionary tale from the housing boom and bust,"
Working Papers
201412, Geary Institute, University College Dublin.
- John Cotter & Stuart Gabriel & Richard Roll, 2015. "Can Housing Risk Be Diversified? A Cautionary Tale from the Housing Boom and Bust," The Review of Financial Studies, Society for Financial Studies, vol. 28(3), pages 913-936.
- Thomas Conlon & John Cotter, 2014.
"Anatomy of a Bail-In,"
Papers
1403.7628, arXiv.org.
- Conlon, Thomas & Cotter, John, 2014. "Anatomy of a bail-in," Journal of Financial Stability, Elsevier, vol. 15(C), pages 257-263.
- Thomas Conlon & John Cotter, 2014. "Anatomy of a Bail-In," Working Papers 201405, Geary Institute, University College Dublin.
- John Cotter & Niall O'Sullivan & Francesco Rossi, 2014.
"The Conditional Pricing of Systematic and Idiosyncratic Risk in the UK Equity Market,"
Working Papers
201403, Geary Institute, University College Dublin.
- Cotter, John & Sullivan, Niall O' & Rossi, Francesco, 2015. "The conditional pricing of systematic and idiosyncratic risk in the UK equity market," International Review of Financial Analysis, Elsevier, vol. 37(C), pages 184-193.
- John Cotter & Enrique Salvador, 2014.
"The non-linear trade-off between return and risk: a regime-switching multi-factor framework,"
Papers
1410.6005, arXiv.org.
- John Cotter & Enrique Salvador, 2014. "The non-linear trade-off between return and risk: a regime-switching multi-factor framework," Working Papers 201414, Geary Institute, University College Dublin.
- Avino, Davide & Cotter, John, 2013. "Sovereign and bank CDS spreads: two sides of the same coin for European bank default predictability?," MPRA Paper 56782, University Library of Munich, Germany.
- John Cotter & David Blake & Kevin Dowd, 2012. "What Should Be Done About The Underfunding of Defined Benefit Pension Schemes?," Working Papers 201202, Geary Institute, University College Dublin.
- John Cotter & Stuart Gabriel & Richard Roll, 2012.
"Can Metropolitan Housing Risk be Diversified? A Cautionary Tale from the Recent Boom and Bust,"
Papers
1208.0371, arXiv.org.
- John Cotter & Stuart Gabriel & Richard Roll, 2012. "Can metropolitan housing risk be diversified? A cautionary tale from the recent boom and bust," Working Papers 201217, Geary Institute, University College Dublin.
- Thomas Conlon & John Cotter, 2012.
"Downside risk and the energy hedger's horizon,"
Working Papers
201219, Geary Institute, University College Dublin.
- Conlon, Thomas & Cotter, John, 2013. "Downside risk and the energy hedger's horizon," Energy Economics, Elsevier, vol. 36(C), pages 371-379.
- Thomas Conlon & John Cotter & Ramazan Gencay, 2012.
"Commodity futures hedging, risk aversion and the hedging horizon,"
Working Papers
201218, Geary Institute, University College Dublin.
- Thomas Conlon & John Cotter & Ramazan Gençay, 2016. "Commodity futures hedging, risk aversion and the hedging horizon," The European Journal of Finance, Taylor & Francis Journals, vol. 22(15), pages 1534-1560, December.
- John Cotter, 2011.
"Scaling conditional tail probability and quantile estimators,"
Papers
1103.5965, arXiv.org.
- John Cotter, 2010. "Scaling conditional tail probability and quantile estimators," Working Papers 201006, Geary Institute, University College Dublin.
- kevin dowd & john cotter, 2011.
"U.S. Core Inflation: A Wavelet Analysis,"
Papers
1103.5659, arXiv.org.
- Dowd, Kevin & Cotter, John & Loh, Lixia, 2011. "U.S. Core Inflation: A Wavelet Analysis," Macroeconomic Dynamics, Cambridge University Press, vol. 15(4), pages 513-536, September.
- Cotter, John & Dowd, Kevin, 2006. "U.S. Core Inflation: A Wavelet Analysis," MPRA Paper 3520, University Library of Munich, Germany.
- Kevin Dowd & John Cotter, 2011. "U.S. Core Inflation: A Wavelet Analysis," Working Papers 200617, Geary Institute, University College Dublin.
- David Blake & John Cotter & Kevin Dowd, 2011.
"Financial Risks and the Pension Protection Fund: Can it Survive Them?,"
Papers
1103.5978, arXiv.org.
- Cotter, John & Blake, David & Dowd, Kevin, 2006. "Financial Risks and the Pension Protection Fund: Can it Survive Them?," MPRA Paper 3498, University Library of Munich, Germany.
- David Blake & John Cotter & Kevin Dowd, 2011. "Financial Risks and the Pension Protection Fund:Can It Survive Them?," Working Papers 200615, Geary Institute, University College Dublin.
- John Cotter & Simon Stevenson, 2011.
"Uncovering Volatility Dynamics in Daily REIT Returns,"
Papers
1103.5417, arXiv.org.
- John Cotter & Simon Stevenson, 2007. "Uncovering Volatility Dynamics in Daily REIT Returns," Journal of Real Estate Portfolio Management, Taylor & Francis Journals, vol. 13(2), pages 119-128, January.
- Cotter, John & Stevenson, Simon, 2004. "Uncovering Volatility Dynamics in Daily REIT Returns," MPRA Paper 3533, University Library of Munich, Germany, revised 2005.
- Thomas Conlon & John Cotter, 2011.
"An Empirical Analysis of Dynamic Multiscale Hedging using Wavelet Decomposition,"
Papers
1103.4943, arXiv.org.
- Thomas Conlon & John Cotter, 2012. "An empirical analysis of dynamic multiscale hedging using wavelet decomposition," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 32(3), pages 272-299, March.
- Thomas Conlon & John Cotter, 2011. "An Empirical Analysis of Dynamic Multiscale Hedging using Wavelet Decomposition," Working Papers 201104, Geary Institute, University College Dublin.
- John Cotter & Simon Stevenson, 2011.
"Modeling Long Memory in REITs,"
Papers
1103.5414, arXiv.org.
- John Cotter & Simon Stevenson, 2008. "Modeling Long Memory in REITs," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 36(3), pages 533-554, September.
- Cotter, John & Stevenson, Simon, 2007. "Modeling Long Memory in REITs," MPRA Paper 3500, University Library of Munich, Germany.
- John Cotter, 2011. "Modelling Long Memory in REITs," Working Papers 200614, Geary Institute, University College Dublin.
- john cotter, 2011.
"Modelling catastrophic risk in international equity markets: An extreme value approach,"
Papers
1103.5656, arXiv.org.
- Cotter, John, 2006. "Modelling catastrophic risk in international equity markets: An extreme value approach," MPRA Paper 3507, University Library of Munich, Germany.
- John Cotter, 2011. "Modelling Catastrophic Risk in International Equity Markets: An Extreme Value Approach," Working Papers 200515, Geary Institute, University College Dublin.
- John Cotter & Jim Hanly, 2011.
"Hedging Effectiveness under Conditions of Asymmetry,"
Papers
1103.5411, arXiv.org.
- John Cotter & Jim Hanly, 2012. "Hedging effectiveness under conditions of asymmetry," The European Journal of Finance, Taylor & Francis Journals, vol. 18(2), pages 135-147, February.
- Cotter, John & Hanly, James, 2007. "Hedging Effectiveness under Conditions of Asymmetry," MPRA Paper 3501, University Library of Munich, Germany.
- John Cotter & Jim Hanly, 2011. "Hedging Effectiveness under Conditions of Asymmetry," Working Papers 200843, Geary Institute, University College Dublin.
- John Cotter, 2011.
"Absolute Return Volatility,"
Papers
1103.5976, arXiv.org.
- Cotter, John, 2004. "Absolute Return Volatility," MPRA Paper 3529, University Library of Munich, Germany, revised 2005.
- Cotter, John, 2004. "Absolute Return Volatility," MPRA Paper 3530, University Library of Munich, Germany, revised 2005.
- John Cotter, 2011. "Absolute Return Volatility," Working Papers 200415, Geary Institute, University College Dublin.
- John Cotter & Kevin Dowd, 2011.
"Extreme Spectral Risk Measures: An Application to Futures Clearinghouse Margin Requirements,"
Papers
1103.5653, arXiv.org.
- Cotter, John & Dowd, Kevin, 2006. "Extreme spectral risk measures: An application to futures clearinghouse margin requirements," Journal of Banking & Finance, Elsevier, vol. 30(12), pages 3469-3485, December.
- Cotter, JOhn & Dowd, Kevin, 2006. "Extreme Spectral Risk Measures: An Application to Futures Clearinghouse Margin Requirements," MPRA Paper 3505, University Library of Munich, Germany.
- John Cotter & Kevin Dowd, 2011. "Extreme Spectral Risk Measures: An Application to Futures Clearinghouse Margin Requirements," Working Papers 200516, Geary Institute, University College Dublin.
- john cotter & kevin dowd, 2011.
"Intra-Day Seasonality in Foreign Exchange Market Transactions,"
Papers
1103.5664, arXiv.org.
- Cotter, John & Dowd, Kevin, 2010. "Intra-day seasonality in foreign exchange market transactions," International Review of Economics & Finance, Elsevier, vol. 19(2), pages 287-294, April.
- Cotter, John & Dowd, Kevin, 2007. "Intra-Day Seasonality in Foreign Exchange Market Transactions," MPRA Paper 3502, University Library of Munich, Germany.
- kevin dowd & john cotter, 2011. "Spectral Risk Measures and the Choice of Risk Aversion Function," Papers 1103.5668, arXiv.org.
- Karl Case & John Cotter & Stuart Gabriel, 2011.
"Housing risk and return: Evidence from a housing asset-pricing model,"
Papers
1103.5971, arXiv.org.
- Karl Case & John Cotter & Stuart Gabriel, 2010. "Housing Risk and Return: Evidence From a Housing Asset-Pricing Model," Working Papers 201005, Geary Institute, University College Dublin.
- John Cotter & Don Bredin, 2011. "Real and Nominal Foreign Exchange Volatility Effects on Exports – The Importance of Timing," Working Papers 200619, Geary Institute, University College Dublin.
- John Cotter & Jim Hanly, 2011.
"Time Varying Risk Aversion: An Application to Energy Hedging,"
Papers
1103.5968, arXiv.org.
- Cotter, John & Hanly, Jim, 2010. "Time-varying risk aversion: An application to energy hedging," Energy Economics, Elsevier, vol. 32(2), pages 432-441, March.
- John Cotter & Jim Hanly, 2010. "Time Varying Risk Aversion: An Application to Energy Hedging," Working Papers 201007, Geary Institute, University College Dublin.
- John Cotter & Franc{c}ois Longin, 2011. "Margin setting with high-frequency data1," Papers 1103.5412, arXiv.org.
- John Cotter, 2011.
"Minimum Capital Requirement Calculations for UK Futures,"
Papers
1103.5416, arXiv.org.
- John Cotter, 2004. "Minimum capital requirement calculations for UK futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 24(2), pages 193-220, February.
- John Cotter, 2011. "Minimum Capital Requirement Calculations for UK Futures," Working Papers 200418, Geary Institute, University College Dublin.
- Cotter, John, 2004. "Minimum Capital Requirement Calculations for UK Futures," MPRA Paper 3527, University Library of Munich, Germany.
- John Cotter & Simon Stevenson, 2011.
"Multivariate Modeling of Daily REIT Volatility,"
Papers
1103.5660, arXiv.org.
- John Cotter & Simon Stevenson, 2006. "Multivariate Modeling of Daily REIT Volatility," The Journal of Real Estate Finance and Economics, Springer, vol. 32(3), pages 305-325, May.
- John Cotter & Simon Stevenson, 2011. "Multivariate Modelling of Daily REIT Volatility," Working Papers 200517, Geary Institute, University College Dublin.
- Cotter, John & Stevenson, Simon, 2005. "Multivariate Modeling of Daily REIT Volatility," MPRA Paper 3524, University Library of Munich, Germany.
- John Cotter & Jim Hanly, 2011.
"A Utility Based Approach to Energy Hedging,"
Papers
1103.5973, arXiv.org.
- Cotter, John & Hanly, Jim, 2012. "A utility based approach to energy hedging," Energy Economics, Elsevier, vol. 34(3), pages 817-827.
- John Cotter & Jim Hanly, 2011. "A Utility Based Approach to Energy Hedging," Working Papers 201106, Geary Institute, University College Dublin.
- Kevin Dowd & John Cotter, 2011.
"Evaluating the Precision of Estimators of Quantile-Based Risk Measures,"
Papers
1103.5665, arXiv.org.
- Cotter, John & Dowd, Kevin, 2007. "Evaluating the Precision of Estimators of Quantile-Based Risk Measures," MPRA Paper 3504, University Library of Munich, Germany.
- John Cotter & Kevin Dowd, 2011. "Evaluating the Precision of Estimators of Quantile-Based Risk Measures," Working Papers 200743, Geary Institute, University College Dublin.
- John Cotter & Richard Roll, 2011.
"A Comparative Anatomy of REITs and Residential Real Estate Indexes: Returns, Risks and Distributional Characteristics,"
Papers
1103.5972, arXiv.org.
- John Cotter & Richard Roll, 2010. "A Comparative Anatomy of REITs and Residential Real Estate Indexes: Returns, Risks and Distributional Characteristics," Working Papers 201008, Geary Institute, University College Dublin.
- Kevin Dowd & John Cotter & Ghulam Sorwar, 2011.
"Spectral Risk Measures: Properties and Limitations,"
Papers
1103.5674, arXiv.org.
- Kevin Dowd & John Cotter & Ghulam Sorwar, 2008. "Spectral Risk Measures: Properties and Limitations," Journal of Financial Services Research, Springer;Western Finance Association, vol. 34(1), pages 61-75, August.
- Kevin Dowd & John Cotter & Ghulam Sorwar, 2010. "Spectral Risk Measures: Properties and Limitations," Working Papers 200839, Geary Institute, University College Dublin.
- John Cotter, 2011.
"Varying the VaR for Unconditional and Conditional Environments,"
Papers
1103.5649, arXiv.org.
- Cotter, John, 2007. "Varying the VaR for unconditional and conditional environments," Journal of International Money and Finance, Elsevier, vol. 26(8), pages 1338-1354, December.
- John Cotter, 2011. "Varying the VaR for Unconditional and Conditional Environments," Working Papers 200419, Geary Institute, University College Dublin.
- Cotter, John, 2004. "Varying the VaR for Unconditional and Conditional Environments," MPRA Paper 3483, University Library of Munich, Germany.
- John Cotter & Jim Hanly, 2011.
"Hedging: Scaling and the Investor Horizon,"
Papers
1103.5966, arXiv.org.
- John Cotter & Jim Hanly, 2010. "Hedging: Scaling and the Investor Horizon," Working Papers 201002, Geary Institute, University College Dublin.
- John Cotter & Stuart Gabriel & Richard Roll, 2011.
"Integration and Contagion in US Housing Markets,"
Papers
1110.4119, arXiv.org.
- Cotter, John & Gabriel, Stuart & Roll, Richard, 2011. "Integration and contagion in US housing markets," MPRA Paper 34591, University Library of Munich, Germany.
- John Cotter & Stuart Gabriel & Richard Roll, 2011. "Integration and Contagion in US Housing Markets," Working Papers 201131, Geary Institute, University College Dublin.
- John Cotter & Kevin Dowd & Wyn Morgan, 2011.
"Extreme Measures of Agricultural Financial Risk,"
Papers
1103.5962, arXiv.org.
- Wyn Morgan & John Cotter & Kevin Dowd, 2012. "Extreme Measures of Agricultural Financial Risk," Journal of Agricultural Economics, Wiley Blackwell, vol. 63(1), pages 65-82, February.
- john cotter & kevin dowd, 2011.
"The tail risks of FX return distributions: a comparison of the returns associated with limit orders and market orders,"
Papers
1103.5661, arXiv.org.
- Cotter, John & Dowd, Kevin, 2007. "The tail risks of FX return distributions: A comparison of the returns associated with limit orders and market orders," Finance Research Letters, Elsevier, vol. 4(3), pages 146-154, September.
- Cotter, John & Dowd, Kevin, 2007. "The tail risks of FX return distributions: a comparison of the returns associated with limit orders and market orders," MPRA Paper 3493, University Library of Munich, Germany.
- John Cotter, 2011.
"Uncovering Long Memory in High Frequency UK Futures,"
Papers
1103.5651, arXiv.org.
- John Cotter, 2005. "Uncovering long memory in high frequency UK futures," The European Journal of Finance, Taylor & Francis Journals, vol. 11(4), pages 325-337.
- Cotter, John, 2004. "Uncovering Long Memory in High Frequency UK Futures," MPRA Paper 3525, University Library of Munich, Germany.
- John Cotter, 2011. "Uncovering Long Memory in High Frequency UK Futures," Working Papers 200414, Geary Institute, University College Dublin.
- Kevin Dowd & John Cotter, 2011.
"Exponential Spectral Risk Measures,"
Papers
1103.5409, arXiv.org.
- Kevin Dowd & John Cotter, 2007. "Exponential Spectral Risk Measures," The IUP Journal of Financial Economics, IUP Publications, vol. 0(4), pages 57-66, December.
- Cotter, John & Dowd, Kevin, 2007. "Exponential Spectral Risk Measures," MPRA Paper 3499, University Library of Munich, Germany.
- John Cotter & Kevin Dowd, 2011.
"Intra-Day Seasonality in Foreign Market Transactions,"
Working Papers
200744, Geary Institute, University College Dublin.
- John Cotter & Kevin Dowd, 2011. "Intra-Day Seasonality in Foreign Market Transactions," Working Papers 200745, Geary Institute, University College Dublin.
- Kevin Dowd & John Cotter, 2011. "Intra-Day Seasonality in Foreign Market Transactions," Working Papers 200746, Geary Institute, University College Dublin.
- John Cotter & Kevin Dowd, 2011.
"Spectral Risk Measures with an Application to Futures Clearinghouse Variation Margin Requirements,"
Papers
1103.5408, arXiv.org.
- John Cotter & Kevin Dowd, 2011. "Spectral Risk Measures with an Application to Futures Clearinghouse Variation Margin Requirements," Working Papers 200616, Geary Institute, University College Dublin.
- Cotter, John & Dowd, Kevin, 2006. "Spectral Risk Measures with an Application to Futures Clearinghouse Variation Margin Requirements," MPRA Paper 3495, University Library of Munich, Germany.
- Kevin Dowd & John Cotter, 2011. "Spectral Risk Measures with an Application to Futures Clearinghouse Variation Margin Requirements," Working Papers 200742, Geary Institute, University College Dublin.
- John Cotter, 2011.
"Tail Behaviour of the Euro,"
Papers
1103.5418, arXiv.org.
- John Cotter, 2005. "Tail behaviour of the euro," Applied Economics, Taylor & Francis Journals, vol. 37(7), pages 827-840.
- John Cotter, 2011. "Tail Behaviour of the Euro," Working Papers 200417, Geary Institute, University College Dublin.
- Cotter, John, 2004. "Tail Behaviour of the Euro," MPRA Paper 3531, University Library of Munich, Germany, revised 2005.
- john cotter & kevin dowd, 2011.
"Estimating financial risk measures for futures positions: a non-parametric approach,"
Papers
1103.5666, arXiv.org.
- John Cotter & Kevin Dowd, 2010. "Estimating financial risk measures for futures positions: A nonparametric approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 30(7), pages 689-703, July.
- Cotter, John & Dowd, Kevin, 2007. "Estimating financial risk measures for futures positions: a non-parametric approach," MPRA Paper 3503, University Library of Munich, Germany.
- John Cotter & Kevin Dowd, 2011. "Estimating Financial Risk Measures for Futures Positions:A Non-Parametric Approach," Working Papers 200613, Geary Institute, University College Dublin.
- John Cotter & Francois Longin, 2011. "Margin Requirements with Intraday Dynamics," Working Papers 200519, Geary Institute, University College Dublin.
- John Cotter & Franc{c}ois Longin, 2011.
"Implied correlation from VaR,"
Papers
1103.5655, arXiv.org.
- John Cotter & Francois Longin, 2011. "Implied Correlation from VaR," Working Papers 200618, Geary Institute, University College Dublin.
- Cotter, John & Longin, Francois, 2006. "Implied correlation from VaR," MPRA Paper 3506, University Library of Munich, Germany.
- Kevin Dowd & John Cotter & Chris Humphrey & Margaret Woods, 2011.
"How Unlucky is 25-Sigma?,"
Papers
1103.5672, arXiv.org.
- Kevin Dowd & Margaret Woods & John Cotter & Chris Humphrey, 2010. "How Unlucky is 25-Sigma?," Working Papers 200838, Geary Institute, University College Dublin.
- Cotter, John, 2007. "Extreme risk in Asian equity markets," MPRA Paper 3536, University Library of Munich, Germany.
- Cotter, John, 2006. "Real & Nominal Foreign Exchange Volatility Effects on Exports – The Importance of Timing," MPRA Paper 3494, University Library of Munich, Germany.
- Cotter, John & Hanly, James, 2005.
"Re-evaluating Hedging Performance,"
MPRA Paper
3523, University Library of Munich, Germany.
- John Cotter & Jim Hanly, 2006. "Reevaluating hedging performance," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 26(7), pages 677-702, July.
- John Cotter & Jim Hanly, 2011. "Re-evaluating Hedging Performance," Working Papers 200518, Geary Institute, University College Dublin.
- Cotter, John & Bredin, Don, 2005.
"Volatility and Irish Exports,"
MPRA Paper
3522, University Library of Munich, Germany.
- Don Bredin & John Cotter, 2008. "Volatility And Irish Exports," Economic Inquiry, Western Economic Association International, vol. 46(4), pages 540-560, October.
- Don Bredin & John Cotter, 2011. "Volatility and Irish Exports," Working Papers 200416, Geary Institute, University College Dublin.
- Cotter, John, 2004.
"International Equity Market Integration in a Small Open Economy: Ireland January 1990 – December 2000,"
MPRA Paper
3538, University Library of Munich, Germany.
- Cotter, John, 2004. "International equity market integration in a small open economy: Ireland January 1990-December 2000," International Review of Financial Analysis, Elsevier, vol. 13(5), pages 669-685.
- Cotter, John, 2004. "Modelling extreme financial returns of global equity markets," MPRA Paper 3532, University Library of Munich, Germany.
- Cotter, John, 2004. "Downside Risk for European Equity Markets," MPRA Paper 3537, University Library of Munich, Germany.
- John Cotter, 2004. "Realized volatility and minimum capital requirements," Money Macro and Finance (MMF) Research Group Conference 2003 20, Money Macro and Finance Research Group.
- Cotter, John & Longin, Francois, 2004. "Margin setting with high-frequency data," MPRA Paper 3528, University Library of Munich, Germany, revised 2006.
- Cotter, John, 2000.
"Margin Exceedences for European Stock Index Futures using Extreme Value Theory,"
MPRA Paper
3534, University Library of Munich, Germany, revised 2001.
- Cotter, John, 2001. "Margin exceedences for European stock index futures using extreme value theory," Journal of Banking & Finance, Elsevier, vol. 25(8), pages 1475-1502, August.
- Cotter, John, 2000. "Volatility and the Euro: an Irish perspective," MPRA Paper 3535, University Library of Munich, Germany.
- Cotter, J. & Gallagher, L., 1994. "Event Studies of Irish Equities: Earnings Announcements, Seasonality and Size," Papers 94-4, University College Cork - Department of Economics.
Articles
- Conlon, Thomas & Cotter, John & Ropotos, Ioannis, 2024. "Diversification with globally integrated US stocks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 90(C).
- Conlon, Thomas & Cotter, John & Eyiah-Donkor, Emmanuel, 2024. "Forecasting the price of oil: A cautionary note," Journal of Commodity Markets, Elsevier, vol. 33(C).
- Chenglu Jin & Thomas Conlon & John Cotter, 2023.
"Co-Skewness across Return Horizons,"
Journal of Financial Econometrics, Oxford University Press, vol. 21(5), pages 1483-1518.
- Chenglu Jin & Thomas Conlon & John Cotter, 2022. "Co-skewness across Return Horizons," Working Papers 202210, Geary Institute, University College Dublin.
- Thomas Conlon & John Cotter & Chenglu Jin, 2019. "Co-skewness across Return Horizons," Working Papers 201910, Geary Institute, University College Dublin.
- Conlon, Thomas & Cotter, John & Kovalenko, Illia & Post, Thierry, 2023. "A financial modeling approach to industry exchange-traded funds selection," Journal of Empirical Finance, Elsevier, vol. 74(C).
- Cotter, John & Hallam, Mark & Yilmaz, Kamil, 2023.
"Macro-financial spillovers,"
Journal of International Money and Finance, Elsevier, vol. 133(C).
- John Cotter & Mark Hallam & Kamil Yilmaz, 2020. "Macro-Financial Spillovers," Working Papers 202005, Geary Institute, University College Dublin.
- Cotter, John & Eyiah-Donkor, Emmanuel & Potì, Valerio, 2023.
"Commodity futures return predictability and intertemporal asset pricing,"
Journal of Commodity Markets, Elsevier, vol. 31(C).
- John Cotter & Emmanuel Eyiah-Donkor & Valerio Potì, 2020. "Commodity Futures Return Predictability and Intertemporal Asset Pricing," Working Papers 202011, Geary Institute, University College Dublin.
- John Cotter & Emmanuel Eyiah-Donkor & Valerio Potì, 2023. "Commodity futures return predictability and intertemporal asset pricing," Post-Print hal-04192933, HAL.
- Cotter, John & Salvador, Enrique, 2022.
"The non-linear trade-off between return and risk and its determinants,"
Journal of Empirical Finance, Elsevier, vol. 67(C), pages 100-132.
- John Cotter & Enrique Salvador, 2022. "The non-linear trade-off between return and risk and its determinants," Working Papers 202203, Geary Institute, University College Dublin.
- Conlon, Thomas & Cotter, John & Eyiah-Donkor, Emmanuel, 2022.
"The illusion of oil return predictability: The choice of data matters!,"
Journal of Banking & Finance, Elsevier, vol. 134(C).
- Thomas Conlon & John Cotter & Emmanuel Eyiah-Donkor, 2022. "The illusion of oil return predictability: The choice of data matters!," Post-Print hal-03519860, HAL.
- Conlon, Thomas & Cotter, John & Molyneux, Philip, 2020.
"Beyond common equity: The influence of secondary capital on bank insolvency risk,"
Journal of Financial Stability, Elsevier, vol. 47(C).
- Thomas Conlon & John Cotter & Philip Molyneux, 2018. "Beyond Common Equity - The Influence of Secondary Capital on Bank Insolvency Risk," Working Papers 201806, Geary Institute, University College Dublin.
- Avino, Davide E. & Conlon, Thomas & Cotter, John, 2019.
"Credit default swaps as indicators of bank financial distress,"
Journal of International Money and Finance, Elsevier, vol. 94(C), pages 132-139.
- Davide Avino & Thomas Conlon & John Cotter, 2016. "Credit Default Swaps as Indicators of Bank financial Distress," Working Papers 201601, Geary Institute, University College Dublin.
- John Cotter & Anita Suurlaht, 2019.
"Spillovers in risk of financial institutions,"
The European Journal of Finance, Taylor & Francis Journals, vol. 25(17), pages 1765-1792, November.
- John Cotter & Anita Suurlaht, 2018. "Spillovers in Risk of Financial Institutions," Working Papers 201805, Geary Institute, University College Dublin.
- Thomas Conlon & John Cotter, 2019.
"Subordinate Resolution ‐‐ An Empirical Analysis of European Union Subsidiary Banks,"
Journal of Common Market Studies, Wiley Blackwell, vol. 57(4), pages 857-876, July.
- Thomas Conlon & John Cotter, 2015. "Subordinate Resolution - An Empirical Analysis of European Union Subsidiary Banks," Working Papers 201501, Geary Institute, University College Dublin.
- Conlon, Thomas & Cotter, John & Gençay, Ramazan, 2018. "Long-run wavelet-based correlation for financial time series," European Journal of Operational Research, Elsevier, vol. 271(2), pages 676-696.
- Carroll, Rachael & Conlon, Thomas & Cotter, John & Salvador, Enrique, 2017. "Asset allocation with correlation: A composite trade-off," European Journal of Operational Research, Elsevier, vol. 262(3), pages 1164-1180.
- Cotter, John & Eyiah-Donkor, Emmanuel & Potì, Valerio, 2017. "Predictability and diversification benefits of investing in commodity and currency futures," International Review of Financial Analysis, Elsevier, vol. 50(C), pages 52-66.
- Thomas Conlon & John Cotter & Ramazan Gençay, 2016.
"Commodity futures hedging, risk aversion and the hedging horizon,"
The European Journal of Finance, Taylor & Francis Journals, vol. 22(15), pages 1534-1560, December.
- Thomas Conlon & John Cotter & Ramazan Gencay, 2012. "Commodity futures hedging, risk aversion and the hedging horizon," Working Papers 201218, Geary Institute, University College Dublin.
- John Cotter & Stuart Gabriel & Richard Roll, 2015.
"Can Housing Risk Be Diversified? A Cautionary Tale from the Housing Boom and Bust,"
The Review of Financial Studies, Society for Financial Studies, vol. 28(3), pages 913-936.
- John Cotter & Stuart Gabriel & Richard Roll, 2014. "Can housing risk be diversified? A cautionary tale from the housing boom and bust," Working Papers 201412, Geary Institute, University College Dublin.
- Cotter, John & Sullivan, Niall O' & Rossi, Francesco, 2015.
"The conditional pricing of systematic and idiosyncratic risk in the UK equity market,"
International Review of Financial Analysis, Elsevier, vol. 37(C), pages 184-193.
- John Cotter & Niall O'Sullivan & Francesco Rossi, 2014. "The Conditional Pricing of Systematic and Idiosyncratic Risk in the UK Equity Market," Working Papers 201403, Geary Institute, University College Dublin.
- Cotter, John & Hanly, Jim, 2015.
"Performance of utility based hedges,"
Energy Economics, Elsevier, vol. 49(C), pages 718-726.
- John Cotter & Jim Hanly, 2014. "Performance of Utility Based Hedges," Working Papers 201404, Geary Institute, University College Dublin.
- John Cotter & Richard Roll, 2015. "A Comparative Anatomy of Residential REITs and Private Real Estate Markets: Returns, Risks and Distributional Characteristics," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 43(1), pages 209-240, March.
- Conlon, Thomas & Cotter, John, 2014.
"Anatomy of a bail-in,"
Journal of Financial Stability, Elsevier, vol. 15(C), pages 257-263.
- Thomas Conlon & John Cotter, 2014. "Anatomy of a Bail-In," Papers 1403.7628, arXiv.org.
- Thomas Conlon & John Cotter, 2014. "Anatomy of a Bail-In," Working Papers 201405, Geary Institute, University College Dublin.
- Avino, Davide & Cotter, John, 2014.
"Sovereign and bank CDS spreads: Two sides of the same coin?,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 32(C), pages 72-85.
- Avino, Davide & Cotter, John, 2014. "Sovereign and bank CDS spreads: two sides of the same coin?," MPRA Paper 55208, University Library of Munich, Germany.
- John Cotter & Davide Avino, 2014. "Sovereign and bank CDS spreads: two sides of the same coin?," Working Papers 201402, Geary Institute, University College Dublin.
- Conlon, Thomas & Cotter, John, 2013.
"Downside risk and the energy hedger's horizon,"
Energy Economics, Elsevier, vol. 36(C), pages 371-379.
- Thomas Conlon & John Cotter, 2012. "Downside risk and the energy hedger's horizon," Working Papers 201219, Geary Institute, University College Dublin.
- Wyn Morgan & John Cotter & Kevin Dowd, 2012.
"Extreme Measures of Agricultural Financial Risk,"
Journal of Agricultural Economics, Wiley Blackwell, vol. 63(1), pages 65-82, February.
- John Cotter & Kevin Dowd & Wyn Morgan, 2011. "Extreme Measures of Agricultural Financial Risk," Papers 1103.5962, arXiv.org.
- Thomas Conlon & John Cotter, 2012.
"An empirical analysis of dynamic multiscale hedging using wavelet decomposition,"
Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 32(3), pages 272-299, March.
- Thomas Conlon & John Cotter, 2011. "An Empirical Analysis of Dynamic Multiscale Hedging using Wavelet Decomposition," Papers 1103.4943, arXiv.org.
- Thomas Conlon & John Cotter, 2011. "An Empirical Analysis of Dynamic Multiscale Hedging using Wavelet Decomposition," Working Papers 201104, Geary Institute, University College Dublin.
- Cotter, John & Hanly, Jim, 2012.
"A utility based approach to energy hedging,"
Energy Economics, Elsevier, vol. 34(3), pages 817-827.
- John Cotter & Jim Hanly, 2011. "A Utility Based Approach to Energy Hedging," Papers 1103.5973, arXiv.org.
- John Cotter & Jim Hanly, 2011. "A Utility Based Approach to Energy Hedging," Working Papers 201106, Geary Institute, University College Dublin.
- John Cotter & Jim Hanly, 2012.
"Hedging effectiveness under conditions of asymmetry,"
The European Journal of Finance, Taylor & Francis Journals, vol. 18(2), pages 135-147, February.
- John Cotter & Jim Hanly, 2011. "Hedging Effectiveness under Conditions of Asymmetry," Papers 1103.5411, arXiv.org.
- Cotter, John & Hanly, James, 2007. "Hedging Effectiveness under Conditions of Asymmetry," MPRA Paper 3501, University Library of Munich, Germany.
- John Cotter & Jim Hanly, 2011. "Hedging Effectiveness under Conditions of Asymmetry," Working Papers 200843, Geary Institute, University College Dublin.
- Dowd, Kevin & Cotter, John & Loh, Lixia, 2011.
"U.S. Core Inflation: A Wavelet Analysis,"
Macroeconomic Dynamics, Cambridge University Press, vol. 15(4), pages 513-536, September.
- Cotter, John & Dowd, Kevin, 2006. "U.S. Core Inflation: A Wavelet Analysis," MPRA Paper 3520, University Library of Munich, Germany.
- Kevin Dowd & John Cotter, 2011. "U.S. Core Inflation: A Wavelet Analysis," Working Papers 200617, Geary Institute, University College Dublin.
- kevin dowd & john cotter, 2011. "U.S. Core Inflation: A Wavelet Analysis," Papers 1103.5659, arXiv.org.
- Cotter, John & Dowd, Kevin, 2010.
"Intra-day seasonality in foreign exchange market transactions,"
International Review of Economics & Finance, Elsevier, vol. 19(2), pages 287-294, April.
- Cotter, John & Dowd, Kevin, 2007. "Intra-Day Seasonality in Foreign Exchange Market Transactions," MPRA Paper 3502, University Library of Munich, Germany.
- john cotter & kevin dowd, 2011. "Intra-Day Seasonality in Foreign Exchange Market Transactions," Papers 1103.5664, arXiv.org.
- Cotter, John & Hanly, Jim, 2010.
"Time-varying risk aversion: An application to energy hedging,"
Energy Economics, Elsevier, vol. 32(2), pages 432-441, March.
- John Cotter & Jim Hanly, 2010. "Time Varying Risk Aversion: An Application to Energy Hedging," Working Papers 201007, Geary Institute, University College Dublin.
- John Cotter & Jim Hanly, 2011. "Time Varying Risk Aversion: An Application to Energy Hedging," Papers 1103.5968, arXiv.org.
- John Cotter & Kevin Dowd, 2010.
"Estimating financial risk measures for futures positions: A nonparametric approach,"
Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 30(7), pages 689-703, July.
- Cotter, John & Dowd, Kevin, 2007. "Estimating financial risk measures for futures positions: a non-parametric approach," MPRA Paper 3503, University Library of Munich, Germany.
- John Cotter & Kevin Dowd, 2011. "Estimating Financial Risk Measures for Futures Positions:A Non-Parametric Approach," Working Papers 200613, Geary Institute, University College Dublin.
- john cotter & kevin dowd, 2011. "Estimating financial risk measures for futures positions: a non-parametric approach," Papers 1103.5666, arXiv.org.
- John Cotter & Simon Stevenson, 2008.
"Modeling Long Memory in REITs,"
Real Estate Economics, American Real Estate and Urban Economics Association, vol. 36(3), pages 533-554, September.
- Cotter, John & Stevenson, Simon, 2007. "Modeling Long Memory in REITs," MPRA Paper 3500, University Library of Munich, Germany.
- John Cotter, 2011. "Modelling Long Memory in REITs," Working Papers 200614, Geary Institute, University College Dublin.
- John Cotter & Simon Stevenson, 2011. "Modeling Long Memory in REITs," Papers 1103.5414, arXiv.org.
- Kevin Dowd & John Cotter & Ghulam Sorwar, 2008.
"Spectral Risk Measures: Properties and Limitations,"
Journal of Financial Services Research, Springer;Western Finance Association, vol. 34(1), pages 61-75, August.
- Kevin Dowd & John Cotter & Ghulam Sorwar, 2010. "Spectral Risk Measures: Properties and Limitations," Working Papers 200839, Geary Institute, University College Dublin.
- Kevin Dowd & John Cotter & Ghulam Sorwar, 2011. "Spectral Risk Measures: Properties and Limitations," Papers 1103.5674, arXiv.org.
- Don Bredin & John Cotter, 2008.
"Volatility And Irish Exports,"
Economic Inquiry, Western Economic Association International, vol. 46(4), pages 540-560, October.
- Cotter, John & Bredin, Don, 2005. "Volatility and Irish Exports," MPRA Paper 3522, University Library of Munich, Germany.
- Don Bredin & John Cotter, 2011. "Volatility and Irish Exports," Working Papers 200416, Geary Institute, University College Dublin.
- Cotter, John & Dowd, Kevin, 2007.
"The tail risks of FX return distributions: A comparison of the returns associated with limit orders and market orders,"
Finance Research Letters, Elsevier, vol. 4(3), pages 146-154, September.
- john cotter & kevin dowd, 2011. "The tail risks of FX return distributions: a comparison of the returns associated with limit orders and market orders," Papers 1103.5661, arXiv.org.
- Cotter, John & Dowd, Kevin, 2007. "The tail risks of FX return distributions: a comparison of the returns associated with limit orders and market orders," MPRA Paper 3493, University Library of Munich, Germany.
- Cotter, John, 2007.
"Varying the VaR for unconditional and conditional environments,"
Journal of International Money and Finance, Elsevier, vol. 26(8), pages 1338-1354, December.
- John Cotter, 2011. "Varying the VaR for Unconditional and Conditional Environments," Working Papers 200419, Geary Institute, University College Dublin.
- John Cotter, 2011. "Varying the VaR for Unconditional and Conditional Environments," Papers 1103.5649, arXiv.org.
- Cotter, John, 2004. "Varying the VaR for Unconditional and Conditional Environments," MPRA Paper 3483, University Library of Munich, Germany.
- Kevin Dowd & John Cotter, 2007.
"Exponential Spectral Risk Measures,"
The IUP Journal of Financial Economics, IUP Publications, vol. 0(4), pages 57-66, December.
- Cotter, John & Dowd, Kevin, 2007. "Exponential Spectral Risk Measures," MPRA Paper 3499, University Library of Munich, Germany.
- Kevin Dowd & John Cotter, 2011. "Exponential Spectral Risk Measures," Papers 1103.5409, arXiv.org.
- John Cotter & Simon Stevenson, 2007.
"Uncovering Volatility Dynamics in Daily REIT Returns,"
Journal of Real Estate Portfolio Management, Taylor & Francis Journals, vol. 13(2), pages 119-128, January.
- Cotter, John & Stevenson, Simon, 2004. "Uncovering Volatility Dynamics in Daily REIT Returns," MPRA Paper 3533, University Library of Munich, Germany, revised 2005.
- John Cotter & Simon Stevenson, 2011. "Uncovering Volatility Dynamics in Daily REIT Returns," Papers 1103.5417, arXiv.org.
- John Cotter & Jim Hanly, 2006.
"Reevaluating hedging performance,"
Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 26(7), pages 677-702, July.
- John Cotter & Jim Hanly, 2011. "Re-evaluating Hedging Performance," Working Papers 200518, Geary Institute, University College Dublin.
- Cotter, John & Hanly, James, 2005. "Re-evaluating Hedging Performance," MPRA Paper 3523, University Library of Munich, Germany.
- Cotter, John & Dowd, Kevin, 2006.
"Extreme spectral risk measures: An application to futures clearinghouse margin requirements,"
Journal of Banking & Finance, Elsevier, vol. 30(12), pages 3469-3485, December.
- Cotter, JOhn & Dowd, Kevin, 2006. "Extreme Spectral Risk Measures: An Application to Futures Clearinghouse Margin Requirements," MPRA Paper 3505, University Library of Munich, Germany.
- John Cotter & Kevin Dowd, 2011. "Extreme Spectral Risk Measures: An Application to Futures Clearinghouse Margin Requirements," Papers 1103.5653, arXiv.org.
- John Cotter & Kevin Dowd, 2011. "Extreme Spectral Risk Measures: An Application to Futures Clearinghouse Margin Requirements," Working Papers 200516, Geary Institute, University College Dublin.
- John Cotter, 2006. "Extreme Value Estimation of Boom and Crash Statistics," The European Journal of Finance, Taylor & Francis Journals, vol. 12(6-7), pages 553-566.
- John Cotter & Simon Stevenson, 2006.
"Multivariate Modeling of Daily REIT Volatility,"
The Journal of Real Estate Finance and Economics, Springer, vol. 32(3), pages 305-325, May.
- John Cotter & Simon Stevenson, 2011. "Multivariate Modeling of Daily REIT Volatility," Papers 1103.5660, arXiv.org.
- John Cotter & Simon Stevenson, 2011. "Multivariate Modelling of Daily REIT Volatility," Working Papers 200517, Geary Institute, University College Dublin.
- Cotter, John & Stevenson, Simon, 2005. "Multivariate Modeling of Daily REIT Volatility," MPRA Paper 3524, University Library of Munich, Germany.
- John Cotter, 2005.
"Tail behaviour of the euro,"
Applied Economics, Taylor & Francis Journals, vol. 37(7), pages 827-840.
- John Cotter, 2011. "Tail Behaviour of the Euro," Working Papers 200417, Geary Institute, University College Dublin.
- John Cotter, 2011. "Tail Behaviour of the Euro," Papers 1103.5418, arXiv.org.
- Cotter, John, 2004. "Tail Behaviour of the Euro," MPRA Paper 3531, University Library of Munich, Germany, revised 2005.
- John Cotter, 2005.
"Uncovering long memory in high frequency UK futures,"
The European Journal of Finance, Taylor & Francis Journals, vol. 11(4), pages 325-337.
- Cotter, John, 2004. "Uncovering Long Memory in High Frequency UK Futures," MPRA Paper 3525, University Library of Munich, Germany.
- John Cotter, 2011. "Uncovering Long Memory in High Frequency UK Futures," Working Papers 200414, Geary Institute, University College Dublin.
- John Cotter, 2011. "Uncovering Long Memory in High Frequency UK Futures," Papers 1103.5651, arXiv.org.
- John Cotter, 2005. "Extreme risk in futures contracts," Applied Economics Letters, Taylor & Francis Journals, vol. 12(8), pages 489-492.
- Cotter, John, 2004.
"International equity market integration in a small open economy: Ireland January 1990-December 2000,"
International Review of Financial Analysis, Elsevier, vol. 13(5), pages 669-685.
- Cotter, John, 2004. "International Equity Market Integration in a Small Open Economy: Ireland January 1990 – December 2000," MPRA Paper 3538, University Library of Munich, Germany.
- John Cotter, 2004.
"Minimum capital requirement calculations for UK futures,"
Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 24(2), pages 193-220, February.
- John Cotter, 2011. "Minimum Capital Requirement Calculations for UK Futures," Papers 1103.5416, arXiv.org.
- John Cotter, 2011. "Minimum Capital Requirement Calculations for UK Futures," Working Papers 200418, Geary Institute, University College Dublin.
- Cotter, John, 2004. "Minimum Capital Requirement Calculations for UK Futures," MPRA Paper 3527, University Library of Munich, Germany.
- Cotter, John, 2001.
"Margin exceedences for European stock index futures using extreme value theory,"
Journal of Banking & Finance, Elsevier, vol. 25(8), pages 1475-1502, August.
- Cotter, John, 2000. "Margin Exceedences for European Stock Index Futures using Extreme Value Theory," MPRA Paper 3534, University Library of Munich, Germany, revised 2001.
- John Cotter & Donal G. McKillop, 2000.
"The Distributional Characteristics of a Selection of Contracts Traded on the London International Financial Futures Exchange,"
Journal of Business Finance & Accounting, Wiley Blackwell, vol. 27(3‐4), pages 487-510, April.
RePEc:taf:apfiec:v:14:y:2004:i:10:p:707-716 is not listed on IDEAS
RePEc:taf:apfelt:v:2:y:2006:i:1:p:13-17 is not listed on IDEAS
Chapters
- John Cotter & Jim Hanly, 2012. "Re-Evaluating Hedging Performance for Asymmetry: The Case of Crude Oil," Contemporary Studies in Economic and Financial Analysis, in: Derivative Securities Pricing and Modelling, pages 259-280, Emerald Group Publishing Limited.
More information
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This author is among the top 5% authors according to these criteria:- Number of Works
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NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 99 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-RMG: Risk Management (68) 2007-06-18 2007-06-18 2007-06-18 2007-06-18 2007-06-18 2007-06-18 2007-06-18 2007-06-18 2010-04-17 2010-04-24 2011-03-12 2011-03-12 2011-04-02 2011-04-09 2011-04-09 2011-04-09 2011-04-09 2011-04-09 2011-04-09 2011-04-09 2011-04-09 2011-04-09 2011-04-09 2011-04-09 2011-04-09 2011-04-09 2011-04-09 2011-04-09 2011-04-09 2011-04-09 2011-04-09 2011-04-09 2011-04-09 2011-04-09 2011-04-09 2011-04-09 2011-04-09 2011-04-09 2011-04-09 2011-06-11 2011-06-11 2011-07-02 2011-07-02 2011-07-02 2011-07-02 2011-07-02 2011-07-02 2011-07-02 2011-07-02 2011-07-02 2011-07-02 2011-07-02 2011-07-27 2011-07-27 2011-07-27 2011-07-27 2011-07-27 2012-09-30 2014-03-15 2014-03-15 2014-06-28 2014-11-07 2014-11-22 2018-03-05 2018-03-12 2021-08-09 2021-08-16 2022-04-18. Author is listed
- NEP-UPT: Utility Models and Prospect Theory (20) 2007-06-18 2010-04-17 2010-04-24 2011-03-12 2011-04-09 2011-04-09 2011-04-09 2011-04-09 2011-04-09 2011-04-09 2011-04-09 2011-04-09 2011-04-09 2011-07-02 2011-07-02 2011-07-02 2011-07-02 2011-07-02 2012-09-30 2014-03-15. Author is listed
- NEP-BAN: Banking (16) 2011-04-09 2011-04-09 2011-04-09 2011-04-09 2011-07-27 2011-07-27 2014-03-15 2014-03-15 2014-04-05 2014-06-28 2014-11-12 2015-02-22 2016-01-18 2018-03-05 2018-03-12 2019-10-14. Author is listed
- NEP-MST: Market Microstructure (12) 2007-06-18 2007-06-18 2011-04-09 2011-04-09 2011-04-09 2011-04-09 2011-04-09 2011-06-11 2011-07-02 2011-07-02 2011-07-02 2011-07-27. Author is listed
- NEP-CBA: Central Banking (9) 2011-04-09 2011-07-13 2011-07-27 2014-03-15 2014-03-15 2014-04-05 2015-02-22 2018-03-05 2018-03-12. Author is listed
- NEP-ETS: Econometric Time Series (9) 2007-06-18 2007-06-18 2007-06-18 2007-06-18 2011-04-09 2011-06-11 2011-07-02 2011-07-02 2017-02-05. Author is listed
- NEP-FMK: Financial Markets (9) 2007-06-18 2011-04-09 2011-04-09 2014-03-15 2014-06-28 2018-03-12 2019-08-19 2020-11-30 2022-04-18. Author is listed
- NEP-URE: Urban and Real Estate Economics (9) 2010-04-17 2010-04-17 2011-04-09 2011-04-09 2011-11-01 2011-11-14 2011-11-21 2012-08-23 2014-11-12. Author is listed
- NEP-EEC: European Economics (8) 2011-04-09 2011-07-27 2014-03-15 2014-03-15 2014-04-05 2014-04-18 2015-02-22 2018-03-12. Author is listed
- NEP-ENE: Energy Economics (6) 2010-04-17 2011-03-12 2011-04-09 2011-04-09 2012-09-30 2014-03-15. Author is listed
- NEP-MAC: Macroeconomics (5) 2011-04-09 2011-07-13 2017-02-05 2017-02-05 2020-08-10. Author is listed
- NEP-BEC: Business Economics (4) 2007-06-18 2010-04-24 2011-04-09 2011-07-27
- NEP-CFN: Corporate Finance (4) 2014-06-28 2018-03-05 2018-03-12 2018-03-12
- NEP-MON: Monetary Economics (4) 2011-04-09 2011-04-09 2011-07-13 2011-07-27
- NEP-FOR: Forecasting (3) 2011-04-09 2011-07-27 2020-11-30
- NEP-BIG: Big Data (2) 2021-08-09 2021-08-16
- NEP-CMP: Computational Economics (2) 2021-08-09 2021-08-16
- NEP-CTA: Contract Theory and Applications (2) 2011-04-09 2011-07-02
- NEP-HME: Heterodox Microeconomics (2) 2011-11-01 2011-11-21
- NEP-IAS: Insurance Economics (2) 2011-04-09 2011-07-02
- NEP-INT: International Trade (2) 2011-07-02 2011-07-27
- NEP-ISF: Islamic Finance (2) 2021-08-09 2021-08-16
- NEP-MIC: Microeconomics (2) 2011-04-09 2011-04-09
- NEP-OPM: Open Economy Macroeconomics (2) 2011-07-27 2014-06-28
- NEP-ORE: Operations Research (2) 2020-11-30 2021-08-09
- NEP-ACC: Accounting and Auditing (1) 2016-01-18
- NEP-AGR: Agricultural Economics (1) 2011-04-09
- NEP-CWA: Central and Western Asia (1) 2021-08-16
- NEP-ECM: Econometrics (1) 2007-06-18
- NEP-IFN: International Finance (1) 2007-06-18
- NEP-SEA: South East Asia (1) 2007-06-18
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