John Cotter

Anderson School of Management

Research Fellow

110 Westwood Plaza

Los Angeles, CA 90095-1481

United States

University College Dublin

Professor of Finnace

School of Business, Carysfort Avenue

Blackrock, Co. Dublin

Ireland

http://www.ucd.ie/bankingfinance/staff/professorjohncotter/

SCHOLARLY PAPERS

61

DOWNLOADS
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7,630

CITATIONS
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Top 5,243

in Total Papers Citations

99

Scholarly Papers (61)

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 396 (59,325)
Citation 3

Abstract:

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:

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 269 (63,738)

Abstract:

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

3.

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

Number of pages: 48 Posted: 04 Dec 2009 Last Revised: 07 May 2015
Karl E. Case, John Cotter and Stuart A. Gabriel
Wellesley College, University College Dublin and University of California, Los Angeles - Anderson School of Management
Downloads 260 (72,649)
Citation 3

Abstract:

asset pricing, house price returns, risk factors

4.

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 254 (94,318)

Abstract:

Implied Correlation, Model Risk, Normality, Value at Risk

5.

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 221 (110,621)
Citation 17

Abstract:

Stock Index Futures, Extreme Value Theory, Margin Levels

6.

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

Number of pages: 24 Posted: 22 Jun 2013 Last Revised: 04 Apr 2014
Davide Avino and John Cotter
Swansea University and University College Dublin
Downloads 208 (95,791)

Abstract:

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

7.

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 203 (123,968)

Abstract:

spectral risk measures, risk aversion functions, exponential utility

8.

Re-Evaluating Hedging Performance

Number of pages: 33 Posted: 26 Jun 2007
John Cotter and Jim Hanly
University College Dublin and Dublin Institute of Technology
Downloads 201 (120,006)

Abstract:

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

9.

Absolute Return Volatility

Number of pages: 15 Posted: 06 Jul 2007
John Cotter
University College Dublin
Downloads 195 (125,732)

Abstract:

10.

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

Number of pages: 32 Posted: 22 Jun 2007
John Cotter, David P. Blake and Kevin Dowd
University College Dublin, City University London - Cass Business School - The Pensions Institute and Nottingham University Business School (NUBS)
Downloads 185 (131,152)
Citation 3

Abstract:

11.
Downloads 179 (139,311)
Citation 1

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 95 (231,149)
Citation 1

Abstract:

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 54 (320,380)
Citation 1

Abstract:

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 30 (405,845)
Citation 1

Abstract:

integration, correlation, contagion, house price returns

12.

A Non-Parametric Examination of Stability in the Euro

EFMA 2000 Athens
Number of pages: 28 Posted: 13 Dec 2000
John Cotter
University College Dublin
Downloads 179 (137,964)

Abstract:

13.

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 170 (138,643)
Citation 1

Abstract:

non-parametric, futures, risk measures

14.

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 153 (153,005)

Abstract:

core inflation, wavelets, trend inflation, inflation prediction

15.

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 144 (158,967)

Abstract:

limit orders, market orders, seasonality

16.

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 138 (98,568)

Abstract:

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

17.

Extreme Risk in Asian Equity Markets

Number of pages: 20 Posted: 12 Jul 2007
John Cotter
University College Dublin
Downloads 130 (177,243)
Citation 2

Abstract:

risk measures, Asian equity markets, extreme value theory

18.

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 126 (176,178)
Citation 1

Abstract:

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

19.

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 124 (178,284)
Citation 13

Abstract:

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

20.

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 120 (179,348)

Abstract:

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

21.

Hedging Effectiveness Under Conditions of Asymmetry

Number of pages: 24 Posted: 26 Jun 2007
John Cotter and Jim Hanly
University College Dublin and Dublin Institute of Technology
Downloads 118 (179,348)
Citation 1

Abstract:

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

22.

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 102 (201,953)
Citation 17

Abstract:

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

23.

Downside Risk for European Equity Markets

Number of pages: 36 Posted: 12 Jul 2007
John Cotter
University College Dublin
Downloads 97 (217,258)
Citation 4

Abstract:

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

24.

Uncovering Long Memory in High Frequency UK Futures

Number of pages: 28 Posted: 10 Jul 2007
John Cotter
University College Dublin
Downloads 96 (226,385)
Citation 2

Abstract:

Long Memory, APARCH, High Frequency Futures

25.

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 95 (199,334)

Abstract:

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

26.

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
Downloads 89 (234,485)

Abstract:

Exports, Volatility, Real & Nominal effects

27.

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 88 (236,133)
Citation 1

Abstract:

28.

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 85 (242,860)

Abstract:

extreme returns, extreme value theory

29.

How Unlucky is 25-Sigma?

Number of pages: 7 Posted: 06 Dec 2009
Nottingham University Business School (NUBS), University College Dublin, University of Manchester - Division of Accounting and Finance and Aston Business School
Downloads 84 (218,794)
Citation 1

Abstract:

risk

30.

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 76 (252,034)
Citation 1

Abstract:

limit orders, market orders, tail risks

31.

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 72 (268,032)
Citation 1

Abstract:

32.

Varying the VAR for Unconditional and Conditional Environments

Number of pages: 31 Posted: 22 Jun 2007
John Cotter
University College Dublin
Downloads 72 (261,743)
Citation 5

Abstract:

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

33.

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 70 (215,829)

Abstract:

International Diversification, International Finance, Long-Run, Correlation

34.

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 70 (203,253)

Abstract:

integration, housing risk diversification, housing returns

35.

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 70 (270,055)
Citation 1

Abstract:

Agricultural financial risk, Spectral risk measures, Expected Shortfall

36.

Hedging: Scaling and the Investor Horizon

Number of pages: 44 Posted: 04 Dec 2009
John Cotter and Jim Hanly
University College Dublin and Dublin Institute of Technology
Downloads 67 (263,841)
Citation 1

Abstract:

Hedging Effectiveness, Scaling, Volatility Modelling, Forecasting

37.

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 66 (257,857)

Abstract:

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 44 (351,588)

Abstract:

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 19 (465,342)

Abstract:

integration, correlation, contagion, house price returns

39.

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 Dublin Institute of Technology
Downloads 63 (283,222)

Abstract:

Energy, Hedging, Risk Management, Risk Aversion, Forecasting

40.
Downloads 62 (294,905)
Citation 2

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 60 (303,731)
Citation 2

Abstract:

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 (561,523)
Citation 2

Abstract:

41.

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 61 (274,307)
Citation 3

Abstract:

coherent risk measures, spectral risk measures, exponential utility

42.

Volatility and the Euro: An Irish Perspective

Number of pages: 27 Posted: 12 Jul 2007
John Cotter
University College Dublin
Downloads 61 (290,191)

Abstract:

43.

Minimum Capital Requirement Calculations for UK Futures

Number of pages: 43 Posted: 10 Jul 2007
John Cotter
University College Dublin
Downloads 60 (285,513)
Citation 4

Abstract:

44.

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 46 (321,233)
Citation 5

Abstract:

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

45.

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 44 (304,873)

Abstract:

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

46.
Downloads 41 (354,880)

Volatility and Irish Exports

Number of pages: 33 Posted: 25 Jun 2007
Don Bredin and John Cotter
University College Dublin and University College Dublin
Downloads 39 (369,087)

Abstract:

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 and University College Dublin
Downloads 2 (561,523)

Abstract:

47.

Tail Behaviour of the Euro

Number of pages: 43 Posted: 06 Jul 2007
John Cotter
University College Dublin
Downloads 40 (348,465)
Citation 4

Abstract:

Extreme Value Theory, Tail Behaviour, GARCH, The Euro

48.

Scaling Conditional Tail Probability and Quantile Estimators

Number of pages: 16 Posted: 04 Dec 2009
John Cotter
University College Dublin
Downloads 38 (351,684)

Abstract:

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

49.

The Non-Linear Trade-Off between Return and Risk: A Regime-Switching Multi-Factor Framework

Number of pages: 31 Posted: 23 Oct 2014
John Cotter and Enrique Salvador
University College Dublin and Universitat Jaume I
Downloads 35 (299,813)

Abstract:

Non-linear risk-return trade-off, Pro-cyclical risk aversion, Regime-Switching GARCH, multi-factor model, Risk premium

50.

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 35 (333,056)

Abstract:

G11; G12.

51.

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 London - Cass Business School - The Pensions Institute and Nottingham University Business School (NUBS)
Downloads 24 (379,784)

Abstract:

Defined Benefit Pension Schemes, Funding, Government Insurance Schemes

52.

Performance of Utility Based Hedges

Number of pages: 39 Posted: 07 Jan 2014
John Cotter and Jim Hanly
University College Dublin and Dublin Institute of Technology
Downloads 19 (375,990)

Abstract:

53.

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
Downloads 0 (143,653)

Abstract:

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

54.

Integration Among US Banks

Number of pages: 57 Posted: 17 Mar 2017 Last Revised: 19 Mar 2017
Abhinav Anand and John Cotter
Smurfit Business School, University College Dublin and University College Dublin
Downloads 0 (438,965)

Abstract:

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

55.

Mixed-Frequency Macro-Financial Spillovers

Number of pages: 55 Posted: 25 Jan 2017
John Cotter, Mark Hallam and Kamil Yilmaz
University College Dublin, University of Essex - Essex Business School and Koc University
Downloads 0 (383,586)

Abstract:

Spillovers, Connectedness, Macro-Financial, Mixed-Frequency

56.

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 0 (74,474)

Abstract:

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

57.

Predictability and Diversification Benefits of Investing in Commodity and Currency Futures

Number of pages: 34 Posted: 02 Mar 2016 Last Revised: 11 Apr 2016
University College Dublin, University College Dublin (UCD) - UCD School of Business and University College Dublin
Downloads 0 (181,611)

Abstract:

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

58.

Co-skewness across Return Intervals

Number of pages: 41 Posted: 07 Jan 2016 Last Revised: 21 Feb 2017
Thomas Conlon, John Cotter and Chenglu Jin
University College Dublin, University College Dublin and University College Dublin (UCD) - UCD School of Business
Downloads 0 (246,559)

Abstract:

Return Interval, Co-Skewness, Co-Kurtosis, Price Delay

59.

Credit Default Swaps as Indicators of Bank Financial Distress

Number of pages: 45 Posted: 06 Dec 2015 Last Revised: 20 Sep 2016
Davide Avino, Thomas Conlon and John Cotter
Swansea University, University College Dublin and University College Dublin
Downloads 0 (191,874)

Abstract:

Bank Failure, Market Discipline, Credit Default Swap, CDS

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
Citation 2

Abstract:

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

Abstract:

REITs, Real Estate Indexes, Risk, Distributional Characteristics

61.

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:

Multivariate GARCH, volatility modeling, REITs