John Cotter

University College Dublin

Professor of Finance

School of Business, Carysfort Avenue

Blackrock, Co. Dublin

Ireland

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

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

110 Westwood Plaza

Los Angeles, CA 90095-1481

United States

  • University College Dublin

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

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

SCHOLARLY PAPERS

70

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98

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66

Scholarly Papers (70)

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1.

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

Downloads 965 ( 33,814)
Citation 7

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 526 (74,531)
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 439 (92,756)
Citation 6

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

2.

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 788 (44,744)

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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

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 565 (68,876)
Citation 7

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

4.

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

Downloads 469 ( 86,567)
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 469 (85,760)
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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5.

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 448 (91,362)
Citation 2

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Anomalies, Asset Pricing, Market Efficiency

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 329 (129,473)
Citation 5

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Implied Correlation, Model Risk, Normality, Value at Risk

7.

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 328 (129,876)
Citation 5

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

8.

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 307 (139,243)
Citation 2

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

9.

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 299 (143,068)
Citation 7

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

10.

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 284 (150,924)
Citation 2

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

11.

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 283 (151,455)
Citation 2

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

12.

Integration and Contagion in US Housing Markets

Downloads 282 (151,983)
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 134 (296,156)

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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 87 (399,087)
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 61 (486,476)
Citation 1

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integration, correlation, contagion, house price returns

13.

Commodity Futures Return Predictability and Intertemporal Asset Pricing

Downloads 258 (166,220)
Citation 2

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, Rennes School of Business and University College Dublin
Downloads 196 (215,350)
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, Rennes School of Business and University College Dublin
Downloads 62 (482,427)

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

14.

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 245 (174,779)

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spectral risk measures, risk aversion functions, exponential utility

15.

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 240 (178,316)
Citation 10

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Stock Index Futures, Extreme Value Theory, Margin Levels

16.

Absolute Return Volatility

Number of pages: 15 Posted: 06 Jul 2007
John Cotter
University College Dublin
Downloads 221 (192,865)
Citation 2

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17.

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 203 (208,682)
Citation 3

Abstract:

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Bank Failure, Market Discipline, Credit Default Swap, CDS

18.

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 201 (210,604)
Citation 3

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19.

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 191 (220,395)
Citation 2

Abstract:

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non-parametric, futures, risk measures

20.

Integration Among US Banks

Downloads 187 (224,451)

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 106 (351,184)

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

Integration Among US Banks

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 19-5
Number of pages: 39 Posted: 28 Sep 2020
Abhinav Anand and John Cotter
IIM Bangalore and University College Dublin
Downloads 42 (574,023)

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

Integration Among US Banks

IIM Bangalore Research Paper No. 597/2019
Number of pages: 60 Posted: 27 Sep 2019 Last Revised: 13 Jun 2022
Abhinav Anand and John Cotter
IIM Bangalore and University College Dublin
Downloads 39 (590,449)

Abstract:

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Bank integration; Banking crises; Systemically important banks; Bank risk; Principal component regressions

21.

A Non-Parametric Examination of Stability in the Euro

Number of pages: 28 Posted: 13 Dec 2000
John Cotter
University College Dublin
Downloads 187 (224,451)

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22.

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 172 (241,145)

Abstract:

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integration, housing risk diversification, housing returns

23.

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 172 (241,145)

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core inflation, wavelets, trend inflation, inflation prediction

24.

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, Rennes School of Business and University College Dublin
Downloads 171 (242,350)
Citation 1

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

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 168 (245,899)
Citation 1

Abstract:

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limit orders, market orders, seasonality

26.

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

Downloads 165 (249,677)

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 131 (301,265)
Citation 1

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

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

Journal of Financial Stability, 2020
Number of pages: 60 Posted: 01 Mar 2018 Last Revised: 10 Feb 2020
Thomas Conlon, John Cotter, Philip Molyneux and Philip Molyneux
University College Dublin, University College Dublin and University of SharjahUniversity of Sharjah - College of Business Administration
Downloads 34 (620,088)

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

27.

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 155 (263,039)
Citation 2

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

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 150 (270,033)
Citation 5

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

29.

Extreme Risk in Asian Equity Markets

Number of pages: 20 Posted: 12 Jul 2007
John Cotter
University College Dublin
Downloads 149 (271,495)
Citation 2

Abstract:

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risk measures, Asian equity markets, extreme value theory

30.

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 149 (271,495)

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

31.

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 142 (282,028)

Abstract:

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

32.

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 141 (283,578)
Citation 3

Abstract:

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coherent risk measures, spectral risk measures, exponential utility

33.

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 140 (285,192)
Citation 1

Abstract:

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

34.

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 138 (288,400)
Citation 3

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International Diversification, International Finance, Long-Run, Correlation

35.

Co-Skewness Across Return Horizons

Journal of Financial Econometrics
Number of pages: 44 Posted: 07 Jan 2016 Last Revised: 01 Apr 2022
Thomas Conlon, John Cotter and Chenglu Jin
University College Dublin, University College Dublin and University College Dublin (UCD) - UCD School of Business
Downloads 131 (300,066)

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

36.

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 128 (305,392)
Citation 2

Abstract:

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

37.

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 124 (312,632)
Citation 10

Abstract:

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

38.

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

Downloads 122 (316,355)
Citation 6

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 72 (445,842)
Citation 3

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 50 (533,923)
Citation 3

Abstract:

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integration, correlation, contagion, house price returns

39.

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 120 (320,126)

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

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 115 (329,805)

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Hedging Effectiveness, Scaling, Volatility Modelling, Forecasting

41.

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 111 (338,124)
Citation 7

Abstract:

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42.

Downside Risk for European Equity Markets

Number of pages: 36 Posted: 12 Jul 2007
John Cotter
University College Dublin
Downloads 110 (340,216)
Citation 4

Abstract:

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

43.

Uncovering Long Memory in High Frequency UK Futures

Number of pages: 28 Posted: 10 Jul 2007
John Cotter
University College Dublin
Downloads 101 (360,129)
Citation 7

Abstract:

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Long Memory, APARCH, High Frequency Futures

44.

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 99 (364,883)

Abstract:

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Exports, Volatility, Real & Nominal effects

45.

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 95 (374,429)

Abstract:

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extreme returns, extreme value theory

46.

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 Rennes School of Business
Downloads 91 (384,689)

Abstract:

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

47.

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 91 (384,689)
Citation 3

Abstract:

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48.

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 87 (395,361)
Citation 1

Abstract:

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limit orders, market orders, tail risks

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 86 (398,215)
Citation 5

Abstract:

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G11; G12.

50.

Varying the VAR for Unconditional and Conditional Environments

Number of pages: 31 Posted: 22 Jun 2007
John Cotter
University College Dublin
Downloads 83 (406,611)
Citation 3

Abstract:

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

51.

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 79 (418,370)
Citation 2

Abstract:

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Agricultural financial risk, Spectral risk measures, Expected Shortfall

52.

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 79 (418,370)

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53.

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 73 (437,212)

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Energy, Hedging, Risk Management, Risk Aversion, Forecasting

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 67 (457,513)
Citation 3

Abstract:

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

55.

Minimum Capital Requirement Calculations for UK Futures

Number of pages: 43 Posted: 10 Jul 2007
John Cotter
University College Dublin
Downloads 67 (457,513)

Abstract:

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56.

Volatility and the Euro: An Irish Perspective

Number of pages: 27 Posted: 12 Jul 2007
John Cotter
University College Dublin
Downloads 64 (468,197)

Abstract:

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57.

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 63 (471,876)
Citation 1

Abstract:

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Defined Benefit Pension Schemes, Funding, Government Insurance Schemes

58.

Modeling Long Memory in Reits

Downloads 63 (471,876)
Citation 7

Modeling Long Memory in Reits

Number of pages: 29 Posted: 22 Jun 2007
John Cotter and Simon Stevenson
University College Dublin and City University London - The Business School
Downloads 61 (486,476)
Citation 1

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 - The Business School
Downloads 2 (914,379)

Abstract:

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59.

Performance of Utility Based Hedges

Number of pages: 39 Posted: 07 Jan 2014
John Cotter and Jim Hanly
University College Dublin and Technological University Dublin
Downloads 62 (475,612)

Abstract:

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60.

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

Number of pages: 26 Posted: 12 Jul 2007
John Cotter
University College Dublin
Downloads 56 (498,995)
Citation 1

Abstract:

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

61.

Scaling Conditional Tail Probability and Quantile Estimators

Number of pages: 16 Posted: 04 Dec 2009
John Cotter
University College Dublin
Downloads 55 (503,065)
Citation 1

Abstract:

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

62.

Tail Behaviour of the Euro

Number of pages: 43 Posted: 06 Jul 2007
John Cotter
University College Dublin
Downloads 50 (524,580)
Citation 3

Abstract:

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Extreme Value Theory, Tail Behaviour, GARCH, The Euro

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 49 (528,975)
Citation 1

Abstract:

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

64.

Volatility and Irish Exports

Downloads 46 (542,783)

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 44 (563,479)

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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 (914,379)

Abstract:

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65.

Forecasting the Real Price of Oil: A Cautionary Note

Number of pages: 32 Posted: 16 Feb 2022
Thomas Conlon, John Cotter and Emmanuel Eyiah-Donkor
University College Dublin, University College Dublin and Rennes School of Business
Downloads 28 (642,868)

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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

66.

Subordinate Resolution - An Empirical Analysis of European Union Subsidiary Banks

Downloads 24 (671,206)
Citation 1

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 24 (691,256)

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

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

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

67.

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

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

Real Estate Economics, Vol. 43, Issue 1, pp. 209-240, 2015
Number of pages: 32 Posted: 17 Feb 2015
John Cotter and Richard Roll
University College Dublin and California Institute of Technology
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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

68.

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

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asset pricing, house price returns, risk factors

69.

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, University of Manchester - Division of Accounting and Finance and Aston Business School

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risk

70.

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

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Multivariate GARCH, volatility modeling, REITs