John Cotter

University College Dublin

Professor of Finance

School of Business, Carysfort Avenue

Blackrock, Co. Dublin

Ireland

http://https://johncotter.org/

University of California, Los Angeles (UCLA) - Anderson School of Management

110 Westwood Plaza

Los Angeles, CA 90095-1481

United States

SCHOLARLY PAPERS

67

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SSRN CITATIONS
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84

CROSSREF CITATIONS

65

Scholarly Papers (67)

Nowhere to Run, Nowhere to Hide: Asset Diversification in a Flat World

Number of pages: 57 Posted: 14 Oct 2016
John Cotter, Stuart A. Gabriel and Richard Roll
University College Dublin, University of California, Los Angeles - Anderson School of Management and California Institute of Technology
Downloads 492 (63,261)
Citation 3

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Asset Return Integration and Diversification, Equities, Fixed Income, Real Estate

Nowhere to Run, Nowhere to Hide: Asset Diversification in a Flat World

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 18-3
Number of pages: 70 Posted: 09 May 2018
John Cotter, Stuart Gabriel and Richard Roll
University College Dublin, University of California, Los Angeles (UCLA) and California Institute of Technology
Downloads 324 (103,635)
Citation 7

Abstract:

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asset return integration and diversification, equities, fixed income, real estate, economic development

2.

Anatomy of a Bail-In

Journal of Financial Stability, Vol. 15, 2014
Number of pages: 26 Posted: 16 Jul 2013 Last Revised: 10 Dec 2014
Thomas Conlon and John Cotter
University College Dublin and University College Dublin
Downloads 514 (60,525)
Citation 5

Abstract:

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Bank Resolution, Bail-In, European Bank Failure, Global Financial Crisis, Impairment Charges

A Comparative Anatomy of REITS and Residential Real Estate Indexes: Returns, Risks and Distributional Characteristics

Number of pages: 28 Posted: 07 Dec 2009
John Cotter and Richard Roll
University College Dublin and California Institute of Technology
Downloads 430 (74,570)
Citation 7

Abstract:

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REITs, real estate risk

A Comparative Anatomy of REITs and Residential Real Estate Indexes: Returns, Risks and Distributional Characteristics

46th Annual AREUEA Conference Paper
Posted: 01 Dec 2010
John Cotter and Richard Roll
University College Dublin and California Institute of Technology

Abstract:

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4.

Are Equity Market Anomalies Disappearing? Evidence from the U.K.

Number of pages: 36 Posted: 23 Jan 2018
John Cotter and Niall McGeever
University College Dublin and University College Dublin (UCD)
Downloads 348 (96,280)
Citation 1

Abstract:

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Anomalies, Asset Pricing, Market Efficiency

5.

Eurozone Bank Resolution and Bail-In -- Intervention, Triggers and Writedowns

Number of pages: 33 Posted: 14 Jan 2015
Thomas Conlon and John Cotter
University College Dublin and University College Dublin
Downloads 313 (108,286)
Citation 4

Abstract:

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Bail-In, Global Financial Crisis, Recapitalization, Triggers, Writedowns

6.

Implied Correlation from VaR

Number of pages: 16 Posted: 26 Jun 2007
John Cotter and Francois M. Longin
University College Dublin and ESSEC Business School - Finance Department
Downloads 293 (116,309)
Citation 5

Abstract:

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Implied Correlation, Model Risk, Normality, Value at Risk

7.

Sovereign and Bank CDS Spreads: Two Sides of the Same Coin?

Journal of International Financial Markets, Institutions and Money, Vol. 32, pp. 72-85, 2014
Number of pages: 24 Posted: 22 Jun 2013 Last Revised: 07 Mar 2019
Davide E. Avino and John Cotter
University of Liverpool and University College Dublin
Downloads 279 (122,383)
Citation 1

Abstract:

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Credit default swap spreads, price discovery, information flow, financial crisis, banks, sovereign risk, bank capital, contingent capital

8.

Re-Evaluating Hedging Performance

Number of pages: 33 Posted: 26 Jun 2007
John Cotter and Jim Hanly
University College Dublin and Technological University Dublin
Downloads 266 (128,737)
Citation 7

Abstract:

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Hedging Performance, Lower Partial Moments, Downside Risk, Variance, Semi-Variance, Value at Risk, Conditional Value at Risk

9.

Asset Allocation with Correlation: A Composite Trade-Off

European Journal of Operational Research, Forthcoming
Number of pages: 40 Posted: 08 Apr 2017
Trinity College (Dublin), University College Dublin, University College Dublin and Universitat Jaume I - Department of Finance and Accounting
Downloads 257 (133,410)
Citation 2

Abstract:

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Decision Analysis, Optimization, Asset Allocation, Dynamic Correlation, Rebalancing & Transaction Costs

10.

Margin Exceedences for European Stock Index Futures Using Extreme Value Theory

Number of pages: 42 Posted: 25 Jun 2007
John Cotter
University College Dublin
Downloads 233 (146,870)
Citation 9

Abstract:

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Stock Index Futures, Extreme Value Theory, Margin Levels

11.

Exponential Spectral Risk Measures

Number of pages: 16 Posted: 10 Jul 2007
John Cotter and Kevin Dowd
University College Dublin and Nottingham University Business School (NUBS)
Downloads 232 (147,498)

Abstract:

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spectral risk measures, risk aversion functions, exponential utility

12.

Absolute Return Volatility

Number of pages: 15 Posted: 06 Jul 2007
John Cotter
University College Dublin
Downloads 215 (158,479)
Citation 2

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Integration and Contagion in US Housing Markets

Number of pages: 50 Posted: 20 Oct 2011 Last Revised: 16 Dec 2011
John Cotter, Stuart A. Gabriel and Richard Roll
University College Dublin, University of California, Los Angeles - Anderson School of Management and California Institute of Technology
Downloads 107 (283,105)
Citation 1

Abstract:

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integration, correlation, contagion, house price returns

Integration and Contagion in US Housing Markets

Number of pages: 50 Posted: 07 Mar 2012
John Cotter, Stuart A. Gabriel and Richard Roll
University College Dublin, University of California, Los Angeles - Anderson School of Management and California Institute of Technology
Downloads 62 (394,552)
Citation 1

Abstract:

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integration, correlation, contagion, house price returns

Integration and Contagion in US Housing Markets

Number of pages: 50 Posted: 16 Oct 2011
Stuart A. Gabriel, John Cotter and Richard Roll
University of California, Los Angeles - Anderson School of Management, University College Dublin and California Institute of Technology
Downloads 34 (509,752)
Citation 1

Abstract:

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integration, correlation, contagion, house price returns

14.

Financial Risks and the Pension Protection Fund: Can it Survive Them?

Number of pages: 32 Posted: 22 Jun 2007 Last Revised: 24 Jun 2020
John Cotter, David P. Blake and Kevin Dowd
University College Dublin, City, University of London and Nottingham University Business School (NUBS)
Downloads 191 (176,965)
Citation 3

Abstract:

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15.

Estimating Financial Risk Measures for Futures Positions: A Non-Parametric Approach

Number of pages: 26 Posted: 19 Jun 2007
John Cotter and Kevin Dowd
University College Dublin and Nottingham University Business School (NUBS)
Downloads 188 (179,543)
Citation 2

Abstract:

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non-parametric, futures, risk measures

16.

Credit Default Swaps as Indicators of Bank Financial Distress

Journal of International Money and Finance, Vol. 94, pp. 132-139, 2019
Number of pages: 41 Posted: 06 Dec 2015 Last Revised: 14 Apr 2019
Davide E. Avino, Thomas Conlon and John Cotter
University of Liverpool, University College Dublin and University College Dublin
Downloads 186 (181,304)
Citation 3

Abstract:

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Bank Failure, Market Discipline, Credit Default Swap, CDS

17.

Macro-Financial Spillovers

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 20-12
Number of pages: 56 Posted: 25 Jan 2017 Last Revised: 26 Oct 2020
John Cotter, Mark Hallam and Kamil Yilmaz
University College Dublin, University of Essex - Essex Business School and Koc University
Downloads 184 (183,043)
Citation 2

Abstract:

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spillovers, connectedness, macro-financial, mixed-frequency, forecasting

18.

A Non-Parametric Examination of Stability in the Euro

Number of pages: 28 Posted: 13 Dec 2000
John Cotter
University College Dublin
Downloads 183 (183,933)

Abstract:

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19.

U.S. Core Inflation: A Wavelet Analysis

Number of pages: 49 Posted: 22 Jun 2007
John Cotter and Kevin Dowd
University College Dublin and Nottingham University Business School (NUBS)
Downloads 169 (197,118)

Abstract:

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core inflation, wavelets, trend inflation, inflation prediction

20.

Intra-Day Seasonality in Foreign Exchange Market Transactions

Number of pages: 21 Posted: 10 Jul 2007
John Cotter and Kevin Dowd
University College Dublin and Nottingham University Business School (NUBS)
Downloads 163 (203,280)
Citation 1

Abstract:

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limit orders, market orders, seasonality

21.

Predictability and Diversification Benefits of Investing in Commodity and Currency Futures

International Review of Financial Analysis, Vol. 50, 2017
Number of pages: 34 Posted: 02 Mar 2016 Last Revised: 26 Aug 2019
University College Dublin, Rennes School of Business and University College Dublin
Downloads 162 (204,342)

Abstract:

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Portfolio choice, Asset classes, Spanning tests, Predictability, Performance evaluation

22.

Margin Setting with High-Frequency Data

Number of pages: 33 Posted: 27 Jun 2007
John Cotter and Francois M. Longin
University College Dublin and ESSEC Business School - Finance Department
Downloads 150 (218,041)
Citation 2

Abstract:

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clearinghouse, extreme value theory, futures markets, high-frequency data, intraday

23.
Downloads 149 (219,167)

Integration Among US Banks

Number of pages: 57 Posted: 17 Mar 2017 Last Revised: 19 Mar 2017
Abhinav Anand and John Cotter
IIM Bangalore and University College Dublin
Downloads 100 (296,852)

Abstract:

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Financial Integration, Bank Integration, Bank Risk, Systemically Important Banks, G-SIB, Too-big-to-Fail, Principal Components, Core-Periphery, Power Laws, Banking Networks

Integration Among US Banks

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 19-5
Number of pages: 39 Posted: 28 Sep 2020
Abhinav Anand and John Cotter
IIM Bangalore and University College Dublin
Downloads 33 (515,022)

Abstract:

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Bank integration, Bank size, Banking crises, Systemic risk, Principal component regressions

Integration Among US Banks

IIM Bangalore Research Paper No. 597/2019
Number of pages: 51 Posted: 27 Sep 2019 Last Revised: 29 Sep 2020
Abhinav Anand and John Cotter
IIM Bangalore and University College Dublin
Downloads 16 (626,877)

Abstract:

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Bank integration, Bank size, Banking crises, Systemically important banks, Bank risk, Principal component regressions

24.

Hedging Effectiveness Under Conditions of Asymmetry

Number of pages: 24 Posted: 26 Jun 2007
John Cotter and Jim Hanly
University College Dublin and Technological University Dublin
Downloads 146 (222,823)
Citation 3

Abstract:

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Hedging Performance, Asymmetry, Downside Risk, Value at Risk, Conditional

25.

Extreme Risk in Asian Equity Markets

Number of pages: 20 Posted: 12 Jul 2007
John Cotter
University College Dublin
Downloads 144 (225,321)
Citation 2

Abstract:

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risk measures, Asian equity markets, extreme value theory

Beyond Common Equity: The Influence of Secondary Capital on Bank Insolvency Risk

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 18-4
Number of pages: 60 Posted: 09 May 2018 Last Revised: 10 Feb 2020
Thomas Conlon, John Cotter and Philip Molyneux
University College Dublin, University College Dublin and University of Sharjah - College of Business Administration
Downloads 111 (275,861)
Citation 1

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Regulatory Capital, Bank Risk, Regulatory Capital Arbitrage, Tier 1, Tier 2

Beyond Common Equity: The Influence of Secondary Capital on Bank Insolvency Risk

Journal of Financial Stability, 2020
Number of pages: 60 Posted: 01 Mar 2018 Last Revised: 10 Feb 2020
Thomas Conlon, John Cotter and Philip Molyneux
University College Dublin, University College Dublin and University of Sharjah - College of Business Administration
Downloads 31 (525,940)

Abstract:

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Regulatory Capital, Bank Risk, Regulatory Capital Arbitrage, Tier 1, Tier 2

27.

Commodity Futures Hedging, Risk Aversion and the Hedging Horizon

European Journal of Finance (Forthcoming)
Number of pages: 37 Posted: 13 Sep 2012 Last Revised: 07 Jan 2015
Thomas Conlon, John Cotter and Ramazan Gencay
University College Dublin, University College Dublin and Simon Fraser University
Downloads 141 (229,062)
Citation 5

Abstract:

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commodity markets, futures hedging, risk aversion, hedging horizon, wavelet analysis, selective hedging

28.

Spectral Risk Measures with an Application to Futures Clearinghouse Variation Margin Requirements

AFA 2009 San Francisco Meetings
Number of pages: 37 Posted: 19 Jun 2007
John Cotter and Kevin Dowd
University College Dublin and Nottingham University Business School (NUBS)
Downloads 139 (231,751)

Abstract:

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Spectral risk measures, Expected Shortfall, Value at Risk, GARCH

29.

Evaluating the Precision of Estimators of Quantile-Based Risk Measures

Number of pages: 31 Posted: 19 Jun 2007
John Cotter and Kevin Dowd
University College Dublin and Nottingham University Business School (NUBS)
Downloads 136 (235,860)
Citation 1

Abstract:

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Value at Risk, Expected Shortfall, Spectral Risk Measures, Moments

30.

Can Housing Risk Be Diversified? A Cautionary Tale from the Housing Boom and Bust

Review of Financial Studies, Forthcoming
Number of pages: 40 Posted: 11 Oct 2014
John Cotter, Stuart A. Gabriel and Richard Roll
University College Dublin, University of California, Los Angeles - Anderson School of Management and California Institute of Technology
Downloads 132 (241,442)

Abstract:

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integration, housing risk diversification, housing returns

31.

Long-Run International Diversification

Number of pages: 57 Posted: 05 Mar 2015 Last Revised: 20 Sep 2016
Thomas Conlon, John Cotter and Ramazan Gencay
University College Dublin, University College Dublin and Simon Fraser University
Downloads 127 (248,647)
Citation 3

Abstract:

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International Diversification, International Finance, Long-Run, Correlation

32.

Co-Skewness Across Return Horizons

Number of pages: 40 Posted: 07 Jan 2016 Last Revised: 25 Jul 2019
Thomas Conlon, John Cotter and Chenglu Jin
University College Dublin, University College Dublin and University College Dublin (UCD) - UCD School of Business
Downloads 124 (253,230)

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Co-Skewness, The Horizon Effect, Intertemporal Correlation, Asset Pricing

33.

Extreme Spectral Risk Measures: An Application to Futures Clearinghouse Margin Requirements

Number of pages: 37 Posted: 19 Jun 2007
John Cotter and Kevin Dowd
University College Dublin and Nottingham University Business School (NUBS)
Downloads 119 (261,143)
Citation 10

Abstract:

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Spectral risk measures, Expected Shortfall, Value at Risk, Extreme Value

34.

Spectral Risk Measures: Properties and Limitations

Number of pages: 27 Posted: 06 Dec 2009
Kevin Dowd, John Cotter and Ghulam Sorwar
Nottingham University Business School (NUBS), University College Dublin and Nottingham University Business School
Downloads 113 (271,023)
Citation 1

Abstract:

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coherent risk measures, spectral risk measures, exponential utility

35.

Downside Risk for European Equity Markets

Number of pages: 36 Posted: 12 Jul 2007
John Cotter
University College Dublin
Downloads 110 (276,161)
Citation 4

Abstract:

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risk estimation, extreme value theory, fat-tailed equity returns

36.

Hedging: Scaling and the Investor Horizon

Number of pages: 44 Posted: 04 Dec 2009
John Cotter and Jim Hanly
University College Dublin and Technological University Dublin
Downloads 103 (289,050)

Abstract:

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Hedging Effectiveness, Scaling, Volatility Modelling, Forecasting

37.

Uncovering Volatility Dynamics in Daily Reit Returns

Number of pages: 19 Posted: 21 Jul 2008
John Cotter and Simon Stevenson
University College Dublin and City University London - Sir John Cass Business School
Downloads 99 (296,746)
Citation 7

Abstract:

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38.

Uncovering Long Memory in High Frequency UK Futures

Number of pages: 28 Posted: 10 Jul 2007
John Cotter
University College Dublin
Downloads 99 (296,746)
Citation 6

Abstract:

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Long Memory, APARCH, High Frequency Futures

39.

Real & Nominal Foreign Exchange Volatility Effects on Exports - The Importance of Timing

Number of pages: 15 Posted: 10 Jul 2007
John Cotter and Don Bredin
University College Dublin and University College Dublin (UCD) - Department of Banking & Finance
Downloads 97 (300,627)

Abstract:

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Exports, Volatility, Real & Nominal effects

40.

Long-Run Wavelet-Based Correlation for Financial Time Series

European Journal of Operational Research - Forthcoming , Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 18-7
Number of pages: 41 Posted: 14 Jun 2018 Last Revised: 19 Sep 2018
Thomas Conlon, John Cotter and Ramazan Gencay
University College Dublin, University College Dublin and Simon Fraser University
Downloads 92 (311,105)

Abstract:

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Decision Analysis; Long-Run; Correlation; Wavelet; Portfolio Analysis

41.

Modelling Extreme Financial Returns of Global Equity Markets

Greek Economic Review, 2005
Number of pages: 32 Posted: 11 Jul 2007
John Cotter
University College Dublin
Downloads 91 (313,222)

Abstract:

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extreme returns, extreme value theory

42.

An Empirical Analysis of Dynamic Multiscale Hedging Using Wavelet Decomposition

Journal of Futures Markets, 32 (3):272-299
Number of pages: 28 Posted: 10 Feb 2011 Last Revised: 10 Dec 2014
Thomas Conlon and John Cotter
University College Dublin and University College Dublin
Downloads 85 (326,779)
Citation 3

Abstract:

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43.

The Tail Risks of FX Return Distributions: A Comparison of the Returns Associated with Limit Orders and Market Orders

Number of pages: 15 Posted: 25 Jun 2007
John Cotter and Kevin Dowd
University College Dublin and Nottingham University Business School (NUBS)
Downloads 85 (326,779)
Citation 1

Abstract:

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limit orders, market orders, tail risks

44.

Varying the VAR for Unconditional and Conditional Environments

Number of pages: 31 Posted: 22 Jun 2007
John Cotter
University College Dublin
Downloads 81 (336,456)
Citation 3

Abstract:

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Value at Risk, extreme value theory, GARCH filter, conditional risk

45.

The Non-Linear Trade-Off Between Return and Risk and Its Determinants

Number of pages: 44 Posted: 23 Oct 2014 Last Revised: 14 Mar 2020
John Cotter and Enrique Salvador
University College Dublin and Universitat Jaume I - Department of Finance and Accounting
Downloads 80 (338,892)
Citation 2

Abstract:

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time-varying risk-return trade-off, non-linear dependence, cyclical variation, panel regressions, asset pricing

46.

Extreme Measures of Agricultural Financial Risk

Number of pages: 40 Posted: 06 Dec 2009
John Cotter, Kevin Dowd and C. W. Morgan
University College Dublin, Nottingham University Business School (NUBS) and University of Nottingham
Downloads 76 (349,166)
Citation 1

Abstract:

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Agricultural financial risk, Spectral risk measures, Expected Shortfall

47.

Modelling Catastrophic Risk in International Equity Markets: An Extreme Value Approach

Number of pages: 13 Posted: 10 Jul 2007
John Cotter
University College Dublin
Downloads 76 (349,166)

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Can Metropolitan Housing Risk Be Diversified? A Cautionary Tale from the Recent Boom and Bust

Number of pages: 68 Posted: 12 Jul 2012 Last Revised: 20 Jul 2012
John Cotter, Stuart A. Gabriel and Richard Roll
University College Dublin, University of California, Los Angeles - Anderson School of Management and California Institute of Technology
Downloads 48 (445,693)
Citation 4

Abstract:

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integration, correlation, contagion, house price returns

Can Metropolitan Housing Risk Be Diversified? A Cautionary Tale from the Recent Boom and Bust

Number of pages: 68 Posted: 02 Aug 2012
John Cotter, Stuart A. Gabriel and Richard Roll
University College Dublin, University of California, Los Angeles - Anderson School of Management and California Institute of Technology
Downloads 24 (569,774)
Citation 2

Abstract:

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integration, correlation, contagion, house price returns

49.

Time Varying Risk Aversion: An Application to Energy Hedging

Number of pages: 45 Posted: 04 Dec 2009
John Cotter and Jim Hanly
University College Dublin and Technological University Dublin
Downloads 71 (362,651)

Abstract:

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Energy, Hedging, Risk Management, Risk Aversion, Forecasting

50.

Minimum Capital Requirement Calculations for UK Futures

Number of pages: 43 Posted: 10 Jul 2007
John Cotter
University College Dublin
Downloads 67 (374,169)

Abstract:

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51.

Downside Risk and the Energy Hedger's Horizon

Energy Economics, Vol. 36, 2013
Number of pages: 27 Posted: 13 Sep 2012 Last Revised: 05 Nov 2014
Thomas Conlon and John Cotter
University College Dublin and University College Dublin
Downloads 64 (382,993)
Citation 3

Abstract:

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energy hedging, futures hedging, wavelet transform, hedging horizon, downside risk

52.

Volatility and the Euro: An Irish Perspective

Number of pages: 27 Posted: 12 Jul 2007
John Cotter
University College Dublin
Downloads 64 (382,993)

Abstract:

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53.
Downloads 63 (386,195)
Citation 7

Modeling Long Memory in Reits

Number of pages: 29 Posted: 22 Jun 2007
John Cotter and Simon Stevenson
University College Dublin and City University London - Sir John Cass Business School
Downloads 61 (397,811)

Abstract:

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Modeling Long Memory in REITs

Real Estate Economics, Vol. 36, Issue 3, pp. 533-554, Fall 2008
Number of pages: 22 Posted: 04 Aug 2008
John Cotter and Simon Stevenson
University College Dublin and City University London - Sir John Cass Business School
Downloads 2 (741,801)
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54.

Performance of Utility Based Hedges

Number of pages: 39 Posted: 07 Jan 2014
John Cotter and Jim Hanly
University College Dublin and Technological University Dublin
Downloads 62 (389,329)

Abstract:

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55.

The Conditional Pricing of Systematic and Idiosyncratic Risk in the U.K. Equity Market

Forthcoming, International Review of Financial Analysis.
Number of pages: 20 Posted: 18 Feb 2014 Last Revised: 23 Dec 2014
University College Dublin, University College Cork and University College Dublin (UCD) - UCD School of Business
Downloads 57 (405,846)
Citation 3

Abstract:

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G11; G12.

56.

International Equity Market Integration in a Small Open Economy: Ireland January 1990 - December 2000

Number of pages: 26 Posted: 12 Jul 2007
John Cotter
University College Dublin
Downloads 56 (409,270)
Citation 1

Abstract:

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equity market linkages, return and volatility spillovers, dual trading.

57.

Scaling Conditional Tail Probability and Quantile Estimators

Number of pages: 16 Posted: 04 Dec 2009
John Cotter
University College Dublin
Downloads 50 (430,355)
Citation 1

Abstract:

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Scaling, Value at Risk, extreme value theory, conditional risk

58.

What Should Be Done About the Underfunding of Defined Benefit Pension Schemes? A Case Study of Ireland

Number of pages: 42 Posted: 04 Mar 2014
John Cotter, David P. Blake and Kevin Dowd
University College Dublin, City, University of London and Nottingham University Business School (NUBS)
Downloads 47 (441,804)
Citation 1

Abstract:

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Defined Benefit Pension Schemes, Funding, Government Insurance Schemes

59.

Tail Behaviour of the Euro

Number of pages: 43 Posted: 06 Jul 2007
John Cotter
University College Dublin
Downloads 47 (441,804)
Citation 3

Abstract:

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Extreme Value Theory, Tail Behaviour, GARCH, The Euro

60.
Downloads 45 (449,677)

Volatility and Irish Exports

Number of pages: 33 Posted: 25 Jun 2007
Don Bredin and John Cotter
University College Dublin (UCD) - Department of Banking & Finance and University College Dublin
Downloads 43 (466,978)

Abstract:

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Exports, risk measurement, distributed lags

Volatility and Irish Exports

Economic Inquiry, Vol. 46, Issue 4, pp. 540-560, October 2008
Number of pages: 21 Posted: 27 Oct 2008
Don Bredin and John Cotter
University College Dublin (UCD) - Department of Banking & Finance and University College Dublin
Downloads 2 (741,801)
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61.

Spillovers in Risk of Financial Institutions

Number of pages: 40 Posted: 07 Feb 2018
John Cotter and Anita Suurlaht
University College Dublin and University College Dublin (UCD) - Department of Banking & Finance
Downloads 41 (466,186)
Citation 1

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financial systemic risk state variables, financial crisis, spillover effects, CDS Spreads, real estate risk

Subordinate Resolution - An Empirical Analysis of European Union Subsidiary Banks

Journal of Common Market Studies, Forthcoming
Number of pages: 30 Posted: 02 Jan 2019
Thomas Conlon and John Cotter
University College Dublin and University College Dublin
Downloads 17 (619,569)

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Resolution Planning; Bail-In; Bank Failure; Bank Subsidiaries

Subordinate Resolution ‐‐ an Empirical Analysis of European Union Subsidiary Banks

JCMS: Journal of Common Market Studies, Vol. 57, Issue 4, pp. 857-876, 2019
Number of pages: 20 Posted: 27 May 2020 Last Revised: 05 Oct 2020
Thomas Conlon and John Cotter
University College Dublin and University College Dublin
Downloads 0
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resolution planning, bail‐in, bank failure, bank subsidiaries

63.

Commodity Futures Return Predictability and Intertemporal Asset Pricing

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 20-8
Number of pages: 55 Posted: 23 Oct 2020 Last Revised: 26 Oct 2020
University College Dublin, Rennes School of Business and University College Dublin
Downloads 14 (618,385)

Abstract:

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Commodity futures returns; Predictability; Asset allocation; Macroeconomic risk; Intertemporal pricing

64.

Housing Risk and Return: Evidence from a Housing Asset-Pricing Model

Posted: 22 May 2019
Karl E. Case, John Cotter and Stuart A. Gabriel
Deceased, University College Dublin and University of California, Los Angeles - Anderson School of Management

Abstract:

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asset pricing, house price returns, risk factors

65.

How Unlucky is 25-Sigma?

Posted: 21 May 2019
Nottingham University Business School (NUBS), University College Dublin, University of Manchester - Division of Accounting and Finance and Aston Business School

Abstract:

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A Comparative Anatomy of Residential REITs and Private Real Estate Markets: Returns, Risks and Distributional Characteristics

Real Estate Economics, Vol. 43, Issue 1, pp. 209-240, 2015
Number of pages: 32 Posted: 17 Feb 2015
John Cotter and Richard Roll
University College Dublin and California Institute of Technology
Downloads 0
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A Comparative Anatomy of Residential Reits and Private Real Estate Markets: Returns, Risks and Distributional Characteristics

Real Estate Economics, Forthcoming
Posted: 31 Dec 2013
John Cotter and Richard Roll
University College Dublin and California Institute of Technology

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REITs, Real Estate Indexes, Risk, Distributional Characteristics

67.

Multivariate Modeling of Daily REIT Volatility

Journal of Real Estate Finance and Economics, Vol. 32, No. 3, 2006
Posted: 06 Nov 2005
John Cotter and Simon Stevenson
University College Dublin and University College Dublin (UCD) - Michael Smurfit Graduate School of Business

Abstract:

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Multivariate GARCH, volatility modeling, REITs