John Cotter

University College Dublin

Professor of Finance

School of Business, Carysfort Avenue

Blackrock, Co. Dublin

Ireland

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

UCLA Anderson School of Management

Research Fellow

110 Westwood Plaza

Los Angeles, CA 90095-1481

United States

SCHOLARLY PAPERS

66

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CITATIONS
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101

Scholarly Papers (66)

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 461 (57,903)

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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 198 (146,699)

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 457 (59,168)

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 419 (65,116)
Citation 4

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.

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 356 (79,600)
Citation 3

Abstract:

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asset pricing, house price returns, risk factors

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 291 (99,758)

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 278 (104,707)

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Implied Correlation, Model Risk, Normality, Value at Risk

7.

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
University of Liverpool and University College Dublin
Downloads 274 (106,301)

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 250 (117,091)

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

9.

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 231 (126,780)
Citation 17

Abstract:

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Stock Index Futures, Extreme Value Theory, Margin Levels

10.

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 224 (130,630)

Abstract:

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

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 215 (135,866)

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 209 (139,573)

Abstract:

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13.
Downloads 191 (151,862)
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 101 (254,587)
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 58 (353,250)
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 32 (450,630)
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
John Cotter, David P. Blake and Kevin Dowd
University College Dublin, City University London - Cass Business School and Nottingham University Business School (NUBS)
Downloads 191 (151,862)
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 185 (156,309)
Citation 1

Abstract:

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non-parametric, futures, risk measures

16.

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 181 (159,438)

Abstract:

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17.

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 165 (173,019)

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core inflation, wavelets, trend inflation, inflation prediction

18.

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 161 (176,559)

Abstract:

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limit orders, market orders, seasonality

19.

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
University of Liverpool, University College Dublin and University College Dublin
Downloads 155 (182,359)

Abstract:

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Bank Failure, Market Discipline, Credit Default Swap, CDS

20.

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) - Michael Smurfit Graduate School of Business and University College Dublin
Downloads 152 (185,401)

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

21.

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 148 (189,592)
Citation 1

Abstract:

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

22.

Extreme Risk in Asian Equity Markets

Number of pages: 20 Posted: 12 Jul 2007
John Cotter
University College Dublin
Downloads 139 (199,492)
Citation 2

Abstract:

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risk measures, Asian equity markets, extreme value theory

23.

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 138 (200,591)
Citation 1

Abstract:

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

24.

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 137 (201,812)
Citation 13

Abstract:

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

25.

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 (202,977)

Abstract:

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

26.

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 132 (207,865)

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Anomalies, Asset Pricing, Market Efficiency

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 131 (209,161)

Abstract:

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

28.

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 127 (214,287)
Citation 1

Abstract:

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risk

29.

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 125 (216,894)

Abstract:

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integration, housing risk diversification, housing returns

30.

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 118 (226,475)
Citation 17

Abstract:

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

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 116 (229,370)

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International Diversification, International Finance, Long-Run, Correlation

32.

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 112 (235,167)

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Spillovers, Connectedness, Macro-Financial, Mixed-Frequency

33.

Downside Risk for European Equity Markets

Number of pages: 36 Posted: 12 Jul 2007
John Cotter
University College Dublin
Downloads 109 (239,823)
Citation 4

Abstract:

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

34.

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 106 (244,576)

Abstract:

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

35.

Uncovering Long Memory in High Frequency UK Futures

Number of pages: 28 Posted: 10 Jul 2007
John Cotter
University College Dublin
Downloads 98 (258,065)
Citation 2

Abstract:

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Long Memory, APARCH, High Frequency Futures

36.

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 96 (261,581)

Abstract:

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Exports, Volatility, Real & Nominal effects

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 95 (263,332)
Citation 1

Abstract:

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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: 61 Posted: 09 May 2018
Thomas Conlon, John Cotter and Philip Molyneux
University College Dublin, University College Dublin and University of Sharjah - College of Business Administration
Downloads 65 (333,183)

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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

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 26 (481,880)

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

39.

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 91 (270,781)

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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

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 90 (272,613)
Citation 1

Abstract:

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Hedging Effectiveness, Scaling, Volatility Modelling, Forecasting

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 89 (274,556)

Abstract:

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extreme returns, extreme value theory

42.

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 86 (280,410)
Citation 3

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coherent risk measures, spectral risk measures, exponential utility

43.

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 84 (284,521)

Abstract:

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44.

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 84 (284,521)
Citation 1

Abstract:

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limit orders, market orders, tail risks

45.

Varying the VAR for Unconditional and Conditional Environments

Number of pages: 31 Posted: 22 Jun 2007
John Cotter
University College Dublin
Downloads 79 (295,237)
Citation 5

Abstract:

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

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 75 (304,293)
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 74 (306,643)
Citation 1

Abstract:

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48.

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 73 (309,048)

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

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 72 (311,404)

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

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 47 (389,826)

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 (493,643)

Abstract:

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integration, correlation, contagion, house price returns

51.

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 70 (316,217)

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Energy, Hedging, Risk Management, Risk Aversion, Forecasting

52.

Minimum Capital Requirement Calculations for UK Futures

Number of pages: 43 Posted: 10 Jul 2007
John Cotter
University College Dublin
Downloads 66 (326,478)
Citation 4

Abstract:

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53.

Volatility and the Euro: An Irish Perspective

Number of pages: 27 Posted: 12 Jul 2007
John Cotter
University College Dublin
Downloads 64 (331,739)

Abstract:

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54.

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 62 (337,083)

Abstract:

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

55.
Downloads 62 (337,083)
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 (347,375)
Citation 2

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 (637,861)
Citation 2
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56.

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 56 (354,299)

Abstract:

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57.

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 55 (357,453)
Citation 5

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

58.

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 51 (369,844)

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G11; G12.

59.

Scaling Conditional Tail Probability and Quantile Estimators

Number of pages: 16 Posted: 04 Dec 2009
John Cotter
University College Dublin
Downloads 47 (383,006)

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

60.

Tail Behaviour of the Euro

Number of pages: 43 Posted: 06 Jul 2007
John Cotter
University College Dublin
Downloads 47 (383,006)
Citation 4

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Extreme Value Theory, Tail Behaviour, GARCH, The Euro

61.
Downloads 44 (393,242)

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 42 (408,244)

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 (637,861)
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62.

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 and Nottingham University Business School (NUBS)
Downloads 40 (407,652)

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Defined Benefit Pension Schemes, Funding, Government Insurance Schemes

63.

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 30 (448,862)

Abstract:

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

64.

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 4 (592,255)

Abstract:

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

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

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REITs, Real Estate Indexes, Risk, Distributional Characteristics

66.

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