John Cotter

University College Dublin

Professor of Finance

School of Business, Carysfort Avenue

Blackrock, Co. Dublin

Ireland

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

  • University College Dublin

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

76

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147

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54

Scholarly Papers (76)

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1.

Machine Learning and Factor-Based Portfolio Optimization

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 21-6
Number of pages: 89 Posted: 20 Jul 2021 Last Revised: 22 Jul 2021
Thomas Conlon, John Cotter and Iason Kynigakis
University College Dublin, University College Dublin and University College Dublin
Downloads 1,143 (32,918)
Citation 1

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Autoencoder, covariance matrix, dimensionality reduction, factor models, machine learning, minimum-variance, principal component analysis, Partial least squares, portfolio optimization, sparse principal component analysis, sparse partial least squares

2.

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

Downloads 1,025 (38,394)
Citation 9

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 541 (88,402)
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 484 (101,175)
Citation 6

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

3.

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 643 (71,959)
Citation 7

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

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 493 (99,994)
Citation 2

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Anomalies, Asset Pricing, Market Efficiency

5.

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

Downloads 482 (102,786)
Citation 7

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 482 (101,708)
Citation 7

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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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6.

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 388 (132,735)
Citation 2

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

7.

Commodity Futures Return Predictability and Intertemporal Asset Pricing

Downloads 387 (133,155)
Citation 4

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: 14 Jun 2021
John Cotter, Emmanuel Eyiah-Donkor and Valerio Potì
University College Dublin, University College Dublin (UCD) - UCD School of Business and University College Dublin
Downloads 261 (200,394)
Citation 2

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

Commodity Futures Return Predictability and Intertemporal Asset Pricing

Number of pages: 44 Posted: 28 Apr 2022
John Cotter, Emmanuel Eyiah-Donkor and Valerio Potì
University College Dublin, University College Dublin (UCD) - UCD School of Business and University College Dublin
Downloads 126 (384,759)
Citation 3

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Commodity futures, Return predictability, Asset allocation, Business cycle, Intertemporal asset pricing

8.

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 361 (143,384)
Citation 5

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

9.

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 359 (144,247)
Citation 5

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Implied Correlation, Model Risk, Normality, Value at Risk

10.

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 348 (149,186)
Citation 2

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

11.

Integration and Contagion in US Housing Markets

Downloads 329 (158,481)

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 152 (329,475)

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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 100 (453,580)
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 77 (535,744)
Citation 1

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integration, correlation, contagion, house price returns

12.

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 317 (164,815)
Citation 7

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

13.

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 LiverpoolFinancial Mathematics and Computation Cluster and University College Dublin
Downloads 298 (175,862)
Citation 2

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

14.

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 LiverpoolFinancial Mathematics and Computation Cluster, University College Dublin and University College Dublin
Downloads 268 (196,082)
Citation 7

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Bank Failure, Market Discipline, Credit Default Swap, CDS

15.

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 263 (199,877)

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spectral risk measures, risk aversion functions, exponential utility

16.

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 247 (212,617)
Citation 10

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Stock Index Futures, Extreme Value Theory, Margin Levels

17.

Absolute Return Volatility

Number of pages: 15 Posted: 06 Jul 2007
John Cotter
University College Dublin
Downloads 231 (227,001)
Citation 2

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18.

Is Naïve Asset Allocation Always Preferable?

Number of pages: 50 Posted: 28 Apr 2023
Thomas Conlon, John Cotter, Iason Kynigakis and Enrique Salvador
University College Dublin, University College Dublin, University College Dublin and Universitat Jaume I - Department of Finance and Accounting
Downloads 221 (237,694)

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Asset Allocation, Bond Market, Commodity Markets, Naïve Allocation, Optimization, Real Estate Market, Tail Risk

19.

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 218 (239,697)
Citation 3

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20.

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

Downloads 212 (246,020)
Citation 1

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, Philip Molyneux and Philip Molyneux
University College Dublin, University College Dublin and University of SharjahUniversity of Sharjah - College of Business Administration
Downloads 165 (307,149)
Citation 2

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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, Philip Molyneux and Philip Molyneux
University College Dublin, University College Dublin and University of SharjahUniversity of Sharjah - College of Business Administration
Downloads 47 (690,400)

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

21.

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 203 (256,036)
Citation 2

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non-parametric, futures, risk measures

22.

A Non-Parametric Examination of Stability in the Euro

Number of pages: 28 Posted: 13 Dec 2000
John Cotter
University College Dublin
Downloads 193 (267,921)

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23.

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
John Cotter, Emmanuel Eyiah-Donkor and Valerio Potì
University College Dublin, University College Dublin (UCD) - UCD School of Business and University College Dublin
Downloads 190 (273,014)
Citation 2

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

24.

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 189 (274,301)

Abstract:

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integration, housing risk diversification, housing returns

25.

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 185 (278,078)
Citation 1

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limit orders, market orders, seasonality

26.

Co-Skewness Across Return Horizons

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 22-14
Number of pages: 45 Posted: 07 Jan 2016 Last Revised: 06 Dec 2022
Thomas Conlon, John Cotter and Chenglu Jin
University College Dublin, University College Dublin and University College Dublin (UCD) - UCD School of Business
Downloads 182 (282,190)

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

27.

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 182 (282,190)

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core inflation, wavelets, trend inflation, inflation prediction

28.

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 176 (290,556)
Citation 5

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

29.

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 167 (303,999)
Citation 3

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International Diversification, International Finance, Long-Run, Correlation

30.

Extreme Risk in Asian Equity Markets

Number of pages: 20 Posted: 12 Jul 2007
John Cotter
University College Dublin
Downloads 167 (303,999)
Citation 2

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risk measures, Asian equity markets, extreme value theory

31.

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 166 (307,104)

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

32.

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 166 (305,543)
Citation 2

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

33.

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 161 (313,568)

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

34.

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 159 (316,961)
Citation 3

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

35.

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 154 (325,552)
Citation 6

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coherent risk measures, spectral risk measures, exponential utility

36.

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 148 (336,347)
Citation 1

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

37.

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

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 21-3
Number of pages: 45 Posted: 23 Oct 2014 Last Revised: 23 Mar 2022
John Cotter and Enrique Salvador
University College Dublin and Universitat Jaume I - Department of Finance and Accounting
Downloads 145 (341,919)
Citation 2

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

38.

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

Downloads 145 (341,919)
Citation 11

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 82 (515,633)
Citation 3

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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 63 (599,361)
Citation 3

Abstract:

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integration, correlation, contagion, house price returns

39.

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 - The Business School
Downloads 136 (359,542)
Citation 7

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40.

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 135 (361,560)

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Hedging Effectiveness, Scaling, Volatility Modelling, Forecasting

41.

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 133 (365,662)
Citation 10

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

42.

A Financial Modeling Approach to Industry Exchange-Traded Funds Selection

Number of pages: 47 Posted: 20 Mar 2023 Last Revised: 29 Nov 2023
Illia Kovalenko, Thomas Conlon, John Cotter and Thierry Post
Kemmy Business School, University of Limerick, University College Dublin, University College Dublin and Graduate School of Business of Nazarbayev University
Downloads 130 (372,074)

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Sector Exchange Traded Funds, Portfolio optimization, Option-implied distribution, Copulas, Stochastic dominance

43.

The Illusion of Oil Return Predictability: The Choice of Data Matters!

Journal of Banking and Finance, Vol. 134, No. 106331, 2022. DOI: https://doi.org/10.1016/j.jbankfin.2021.106331, Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 21-10
Number of pages: 50 Posted: 10 May 2021 Last Revised: 11 Feb 2022
Thomas Conlon, John Cotter and Emmanuel Eyiah-Donkor
University College Dublin, University College Dublin and University College Dublin (UCD) - UCD School of Business
Downloads 118 (399,976)
Citation 2

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Averaged crude oil prices; Spurious autocorrelation; Return predictability; Out-of-sample forecasts; Statistical inference

44.

Downside Risk for European Equity Markets

Number of pages: 36 Posted: 12 Jul 2007
John Cotter
University College Dublin
Downloads 116 (404,964)
Citation 4

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

45.

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 112 (415,514)

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Exports, Volatility, Real & Nominal effects

46.

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 107 (429,426)
Citation 3

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47.

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 103 (441,234)

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extreme returns, extreme value theory

48.

Uncovering Long Memory in High Frequency UK Futures

Number of pages: 28 Posted: 10 Jul 2007
John Cotter
University College Dublin
Downloads 103 (441,234)
Citation 7

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Long Memory, APARCH, High Frequency Futures

49.

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 95 (465,846)
Citation 6

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G11; G12.

50.

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 95 (465,846)

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Energy, Hedging, Risk Management, Risk Aversion, Forecasting

51.

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 95 (465,846)
Citation 1

Abstract:

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limit orders, market orders, tail risks

52.

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 94 (469,015)
Citation 2

Abstract:

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Agricultural financial risk, Spectral risk measures, Expected Shortfall

53.

Varying the VAR for Unconditional and Conditional Environments

Number of pages: 31 Posted: 22 Jun 2007
John Cotter
University College Dublin
Downloads 89 (485,455)
Citation 3

Abstract:

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

54.

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 86 (495,848)
Citation 1

Abstract:

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Defined Benefit Pension Schemes, Funding, Government Insurance Schemes

55.

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 84 (503,055)
Citation 3

Abstract:

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

56.

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 84 (503,055)

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57.

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 - The Business School
Downloads 83 (506,605)
Citation 1

Abstract:

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58.

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 76 (533,617)

Abstract:

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59.

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 72 (550,069)
Citation 1

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

60.

More Robots Less Cost of Equity

Number of pages: 55 Posted: 18 Jun 2023 Last Revised: 13 Jul 2023
Thomas Conlon, John Cotter and Baris Ince
University College Dublin, University College Dublin and University College Dublin
Downloads 71 (554,229)

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Robots, automation, operating leverage, operating margin, cost of equity

61.

Volatility and the Euro: An Irish Perspective

Number of pages: 27 Posted: 12 Jul 2007
John Cotter
University College Dublin
Downloads 71 (554,229)

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62.

Minimum Capital Requirement Calculations for UK Futures

Number of pages: 43 Posted: 10 Jul 2007
John Cotter
University College Dublin
Downloads 71 (554,229)

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63.

Diversification With Globally Integrated US Stocks

Number of pages: 38 Posted: 03 Aug 2023
Thomas Conlon, John Cotter and Ioannis Ropotos
University College Dublin, University College Dublin and University College Dublin
Downloads 70 (562,809)

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Firm-level integration, Integration portfolios, Home-made diversification

64.

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 66 (576,202)
Citation 1

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

65.

Horizon-Dependent Profitability and Investment Factors: International Evidence

Number of pages: 36 Posted: 10 Oct 2022
Thomas Conlon, John Cotter and Chenglu Jin
University College Dublin, University College Dublin and affiliation not provided to SSRN
Downloads 64 (585,351)

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Profitability, Investment, Horizon Pricing, Cross-sectional Risk Premia, International Evidence

66.

Forecasting the Price of Oil: A Cautionary Note

Number of pages: 38 Posted: 16 Feb 2022 Last Revised: 17 Apr 2023
Thomas Conlon, John Cotter and Emmanuel Eyiah-Donkor
University College Dublin, University College Dublin and University College Dublin (UCD) - UCD School of Business
Downloads 63 (589,896)

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Monthly average and end-of-month crude oil prices; Oil price predictability; Forecast combinations; Out-of-sample forecast performance; Hedging and investment decisions

67.

Scaling Conditional Tail Probability and Quantile Estimators

Number of pages: 16 Posted: 04 Dec 2009
John Cotter
University College Dublin
Downloads 60 (604,405)
Citation 1

Abstract:

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

68.

Tail Behaviour of the Euro

Number of pages: 43 Posted: 06 Jul 2007
John Cotter
University College Dublin
Downloads 59 (609,463)
Citation 3

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Extreme Value Theory, Tail Behaviour, GARCH, The Euro

69.

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 58 (614,671)

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Exports, risk measurement, distributed lags

70.

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 48 (669,294)

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

71.

Whither Diversification?

Number of pages: 57 Posted: 01 Feb 2023
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 46 (681,401)

Abstract:

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return integration, asset diversification, economic development

72.

Firm-level Integration and its Determinants

Number of pages: 52 Posted: 03 Aug 2023
Thomas Conlon, John Cotter and Ioannis Ropotos
University College Dublin, University College Dublin and University College Dublin
Downloads 38 (741,243)

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Firm-level integration, Determinants, General-to-specific modelling, Random forest regression

73.

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

https://doi.org/10.3905/jpm.2011.37.5.089
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

74.

How Unlucky is 25-Sigma?

https://doi.org/10.3905/jpm.2008.709984
Posted: 21 May 2019
Kevin Dowd, John Cotter, Christopher Humphrey and Margaret Woods
Nottingham University Business School (NUBS), University College Dublin, The University of Manchester - Division of Accounting and Finance and Aston Business School

Abstract:

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risk

75.

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

76.

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