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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/

  • Anderson School of Management

  • University College Dublin

    • Email
    • Tel: 353 1 716 8900
    • Fax: 353 1 283 5482
SCHOLARLY PAPERS

64

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8,184

CITATIONS
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in Total Papers Citations

101

Scholarly Papers (64)

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1.

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

Downloads 413 ( 61,764)
Citation 4

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 413 (61,179)
Citation 4

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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

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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 (60,324)

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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 (76,073)
Citation 3

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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 (99,426)

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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 (118,715)
Citation 17

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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 E. Avino and John Cotter
Cardiff University and University College Dublin
Downloads 208 (100,988)

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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 208 (130,367)

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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 (120,817)

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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 (131,615)

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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 (141,148)
Citation 3

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11.

Integration and Contagion in US Housing Markets

Downloads 184 (146,145)
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 98 (242,753)
Citation 1

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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 55 (339,724)
Citation 1

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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 31 (427,916)
Citation 1

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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 (148,302)

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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 (146,145)
Citation 1

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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 (163,587)

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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 (169,091)

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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 (98,662)

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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 (189,295)
Citation 2

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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 (181,707)
Citation 1

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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 (190,435)
Citation 13

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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 (191,602)

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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 (190,435)
Citation 1

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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 (213,975)
Citation 17

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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 (228,482)
Citation 4

Abstract:

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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 (242,826)
Citation 2

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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 (206,179)

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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 (UCD) - Department of Banking & Finance
Downloads 89 (246,197)

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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 (247,991)
Citation 1

Abstract:

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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 (260,404)

Abstract:

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extreme returns, extreme value theory

29.

How Unlucky is 25-Sigma?

Number of pages: 7 Posted: 06 Dec 2009
Kevin Dowd, John Cotter, Christopher Humphrey and Margaret Woods
Nottingham University Business School (NUBS), University College Dublin, University of Manchester - Division of Accounting and Finance and Aston Business School
Downloads 84 (218,167)
Citation 1

Abstract:

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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 (270,124)
Citation 1

Abstract:

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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 (286,786)
Citation 1

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32.

Varying the VAR for Unconditional and Conditional Environments

Number of pages: 31 Posted: 22 Jun 2007
John Cotter
University College Dublin
Downloads 72 (278,210)
Citation 5

Abstract:

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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 (222,449)

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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 (207,441)

Abstract:

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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 (289,025)
Citation 1

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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 (258,562)
Citation 1

Abstract:

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Hedging Effectiveness, Scaling, Volatility Modelling, Forecasting

37.

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

Downloads 66 (305,430)

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 45 (372,065)

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 21 (481,940)

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integration, correlation, contagion, house price returns

38.

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 (270,124)

Abstract:

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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 (298,259)

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Energy, Hedging, Risk Management, Risk Aversion, Forecasting

40.

Modeling Long Memory in Reits

Downloads 62 (315,626)
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 (325,251)
Citation 2

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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 (595,686)
Citation 2
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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 (280,310)
Citation 3

Abstract:

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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 (310,418)

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43.

Minimum Capital Requirement Calculations for UK Futures

Number of pages: 43 Posted: 10 Jul 2007
John Cotter
University College Dublin
Downloads 60 (305,430)
Citation 4

Abstract:

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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 (343,604)
Citation 5

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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 (320,923)

Abstract:

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

46.

Volatility and Irish Exports

Downloads 42 (375,535)

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 40 (390,286)

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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 (595,686)
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47.

Tail Behaviour of the Euro

Number of pages: 43 Posted: 06 Jul 2007
John Cotter
University College Dublin
Downloads 40 (368,680)
Citation 4

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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 (372,081)

Abstract:

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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 - Department of Finance and Accounting
Downloads 35 (313,028)

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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
John Cotter, Niall O'Sullivan and Francesco Rossi
University College Dublin, University College Cork and University College Dublin (UCD) - UCD School of Business
Downloads 35 (352,656)

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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 (397,517)

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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 (358,958)

Abstract:

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53.

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

Number of pages: 60 Posted: 01 Mar 2018
Thomas Conlon, John Cotter and Philip Molyneux
University College Dublin, University College Dublin and University of Sharjah - College of Business Administration
Downloads 0 (503,576)

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

54.

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 0 (498,351)

Abstract:

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

55.

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 0 (343,604)

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Anomalies, Asset Pricing, Market Efficiency

56.

Asset Allocation with Correlation: A Composite Trade-Off

European Journal of Operational Research, Forthcoming
Number of pages: 40 Posted: 08 Apr 2017
Rachael Carroll, Thomas Conlon, John Cotter and Enrique Salvador
Trinity College (Dublin), University College Dublin, University College Dublin and Universitat Jaume I - Department of Finance and Accounting
Downloads 0 (132,815)

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

57.

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 0 (323,545)

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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

58.

Mixed-Frequency Macro-Financial Spillovers

Number of pages: 47 Posted: 25 Jan 2017 Last Revised: 05 Sep 2017
John Cotter, Mark Hallam and Kamil Yilmaz
University College Dublin, University of Essex - Essex Business School and Koc University
Downloads 0 (280,310)

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Spillovers, Connectedness, Macro-Financial, Mixed-Frequency

59.

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 (63,437)

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

60.

Predictability and Diversification Benefits of Investing in Commodity and Currency Futures

Number of pages: 34 Posted: 02 Mar 2016 Last Revised: 11 Apr 2016
John Cotter, Emmanuel Eyiah-Donkor and Valerio Potì
University College Dublin, University College Dublin (UCD) - UCD School of Business and University College Dublin
Downloads 0 (183,842)

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

61.

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 (239,501)

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

62.

Credit Default Swaps as Indicators of Bank Financial Distress

Number of pages: 45 Posted: 06 Dec 2015 Last Revised: 20 Sep 2016
Davide E. Avino, Thomas Conlon and John Cotter
Cardiff University, University College Dublin and University College Dublin
Downloads 0 (189,295)

Abstract:

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Bank Failure, Market Discipline, Credit Default Swap, CDS

63.

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

Downloads 0 (591,572)

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 3
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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

Abstract:

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REITs, Real Estate Indexes, Risk, Distributional Characteristics

64.

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