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

80

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17,094

TOTAL CITATIONS
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192

Scholarly Papers (80)

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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 1,317 (32,560)
Citation 4

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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 1,092 (42,744)
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 561 (102,257)
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 A. Gabriel and Richard Roll
University College Dublin, University of California, Los Angeles - Anderson School of Management and California Institute of Technology
Downloads 531 (109,569)
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 675 (81,818)
Citation 7

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

4.

More Robots Less Cost of Equity

Downloads 541 (109,115)

More Robots Less Cost of Equity

Number of pages: 63 Posted: 13 Nov 2024
John Cotter, Thomas Conlon and Baris Ince
University College Dublin, University College Dublin and University College Dublin
Downloads 361 (172,615)

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Robots, automation, operating leverage, systematic risk, cost of equity

More Robots Less Cost of Equity

Number of pages: 70 Posted: 18 Jun 2023 Last Revised: 03 Aug 2024
Thomas Conlon, John Cotter and Baris Ince
University College Dublin, University College Dublin and University College Dublin
Downloads 180 (348,711)

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Robots, automation, operating leverage, systematic risk, cost of equity

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 521 (113,539)
Citation 2

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Anomalies, Asset Pricing, Market Efficiency

6.

Commodity Futures Return Predictability and Intertemporal Asset Pricing

Downloads 518 (114,340)
Citation 5

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 355 (175,818)
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 163 (380,836)
Citation 3

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

7.

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

Downloads 503 (118,469)
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 503 (117,066)
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

Abstract:

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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 York - Department of Economics and Related Studies and Koc University
Downloads 418 (147,684)
Citation 2

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

9.

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 387 (161,116)
Citation 2

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

10.

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 385 (162,058)
Citation 5

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

11.

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 383 (163,099)
Citation 5

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Implied Correlation, Model Risk, Normality, Value at Risk

12.

Integration and Contagion in US Housing Markets

Downloads 381 (164,019)
Citation 2

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 168 (370,894)

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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 121 (486,897)
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 92 (594,677)
Citation 1

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integration, correlation, contagion, house price returns

13.

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 360 (174,550)
Citation 7

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

14.

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 318 (199,568)
Citation 2

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

15.

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 313 (203,717)
Citation 7

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Bank Failure, Market Discipline, Credit Default Swap, CDS

16.

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 282 (226,680)

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

17.

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 277 (230,815)

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spectral risk measures, risk aversion functions, exponential utility

18.

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 270 (236,929)
Citation 10

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Stock Index Futures, Extreme Value Theory, Margin Levels

19.

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

Downloads 252 (254,119)
Citation 3

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 189 (333,440)
Citation 3

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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 63 (739,185)

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

20.

Absolute Return Volatility

Number of pages: 15 Posted: 06 Jul 2007
John Cotter
University College Dublin
Downloads 242 (265,519)
Citation 2

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21.

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 231 (276,678)
Citation 3

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22.

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 221 (288,661)

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

23.

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 218 (292,432)
Citation 2

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

24.

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 214 (297,625)
Citation 2

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non-parametric, futures, risk measures

25.

A Non-Parametric Examination of Stability in the Euro

Number of pages: 28 Posted: 13 Dec 2000
John Cotter
University College Dublin
Downloads 211 (301,586)

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26.

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 204 (311,434)
Citation 2

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

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 203 (312,800)
Citation 5

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

28.

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 203 (312,800)
Citation 2

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limit orders, market orders, seasonality

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 202 (314,258)

Abstract:

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integration, housing risk diversification, housing returns

30.

Extreme Risk in Asian Equity Markets

Number of pages: 20 Posted: 12 Jul 2007
John Cotter
University College Dublin
Downloads 202 (314,258)
Citation 2

Abstract:

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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 200 (317,156)

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

32.

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 200 (317,156)

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core inflation, wavelets, trend inflation, inflation prediction

33.

Crowding and Downside Risk: International Evidence

Number of pages: 43 Posted: 27 Nov 2024
Kushagra Jain, Thomas Conlon and John Cotter
Strathclyde Business School, University College Dublin and University College Dublin
Downloads 199 (318,623)

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Downside risk, Crowding, Institutional investors, Tail risk

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 199 (318,623)
Citation 3

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International Diversification, International Finance, Long-Run, Correlation

35.

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 181 (347,528)

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

36.

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 178 (352,749)
Citation 2

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

37.

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

Downloads 177 (354,479)
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 96 (578,451)
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 81 (643,598)
Citation 3

Abstract:

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integration, correlation, contagion, house price returns

38.

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 173 (361,632)
Citation 4

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coherent risk measures, spectral risk measures, exponential utility

39.

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 167 (372,919)
Citation 3

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

40.

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 167 (372,919)
Citation 5

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

41.

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 166 (374,908)
Citation 2

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

42.

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 157 (393,268)
Citation 1

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

43.

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 153 (401,945)
Citation 7

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44.

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 152 (404,064)

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Hedging Effectiveness, Scaling, Volatility Modelling, Forecasting

45.

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 149 (410,726)
Citation 10

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

46.

Downside Risk for European Equity Markets

Number of pages: 36 Posted: 12 Jul 2007
John Cotter
University College Dublin
Downloads 132 (452,309)
Citation 4

Abstract:

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

47.

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 126 (469,137)

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Exports, Volatility, Real & Nominal effects

48.

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 121 (484,233)
Citation 1

Abstract:

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49.

Diversification With Globally Integrated US Stocks

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 24-1
Number of pages: 39 Posted: 03 Aug 2023 Last Revised: 02 Apr 2024
Thomas Conlon, John Cotter and Ioannis Ropotos
University College Dublin, University College Dublin and University College Dublin
Downloads 120 (487,321)

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

50.

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 118 (493,442)
Citation 3

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51.

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 114 (506,484)

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extreme returns, extreme value theory

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 113 (509,780)
Citation 3

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Agricultural financial risk, Spectral risk measures, Expected Shortfall

53.

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 112 (513,155)
Citation 6

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

54.

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 111 (516,621)
Citation 4

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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

55.

Uncovering Long Memory in High Frequency UK Futures

Number of pages: 28 Posted: 10 Jul 2007
John Cotter
University College Dublin
Downloads 111 (516,621)
Citation 7

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Long Memory, APARCH, High Frequency Futures

56.

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 110 (520,076)
Citation 7

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G11; G12.

57.

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 109 (523,504)

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

58.

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 107 (530,664)
Citation 1

Abstract:

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limit orders, market orders, tail risks

59.

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 105 (538,066)
Citation 2

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Energy, Hedging, Risk Management, Risk Aversion, Forecasting

60.

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 104 (541,781)
Citation 2

Abstract:

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Defined Benefit Pension Schemes, Funding, Government Insurance Schemes

61.

Varying the VAR for Unconditional and Conditional Environments

Number of pages: 31 Posted: 22 Jun 2007
John Cotter
University College Dublin
Downloads 103 (545,656)
Citation 4

Abstract:

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

62.

Are the Diversification Benefits of Emerging and Frontier Markets Retained in the Long-Run?

Downloads 98 (564,613)

Are the Diversification Benefits of Emerging and Frontier Markets Retained in the Long-Run?

Number of pages: 43 Posted: 21 Mar 2024
Kushagra Jain, Thomas Conlon and John Cotter
Strathclyde Business School, University College Dublin and University College Dublin
Downloads 67 (715,467)

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International diversification, Long-run correlation, Asset allocation, Frontier markets, Emerging markets

Are the Diversification Benefits of Emerging and Frontier Markets Retained in the Long-Run?

Number of pages: 43 Posted: 05 Nov 2024
Kushagra Jain, Thomas Conlon and John Cotter
Strathclyde Business School, University College Dublin and University College Dublin
Downloads 31 (1,002,766)

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International diversification, Long-run correlation, Asset allocation, Frontier markets, Emerging markets

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 94 (579,978)
Citation 1

Abstract:

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

64.

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 93 (583,957)

Abstract:

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65.

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 93 (583,957)

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66.

Volatility and the Euro: An Irish Perspective

Number of pages: 27 Posted: 12 Jul 2007
John Cotter
University College Dublin
Downloads 88 (604,079)

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67.

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 79 (643,520)
Citation 1

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

68.

Minimum Capital Requirement Calculations for UK Futures

Number of pages: 43 Posted: 10 Jul 2007
John Cotter
University College Dublin
Downloads 78 (648,079)

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69.

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 73 (672,015)

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

70.

Scaling Conditional Tail Probability and Quantile Estimators

Number of pages: 16 Posted: 04 Dec 2009
John Cotter
University College Dublin
Downloads 73 (672,015)
Citation 1

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

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 70 (687,210)

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return integration, asset diversification, economic development

72.

Tail Behaviour of the Euro

Number of pages: 43 Posted: 06 Jul 2007
John Cotter
University College Dublin
Downloads 70 (687,210)
Citation 3

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Extreme Value Theory, Tail Behaviour, GARCH, The Euro

73.

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 67 (703,239)

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Exports, risk measurement, distributed lags

74.

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 66 (708,680)

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

75.

Drivers of Firm-level Tail Dependence: A Machine Learning Approach

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 24-9
Number of pages: 44 Posted: 20 Nov 2024 Last Revised: 22 Nov 2024
Thomas Conlon, John Cotter and Ioannis Ropotos
University College Dublin, University College Dublin and University College Dublin
Downloads 47 (831,901)

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Firm-level tail dependence, Copulas, Determinants, Random forest regression, Machine learning JEL: F30, G15

76.

Trends and Key Determinants of Firm-Level Integration

Number of pages: 53 Posted: 04 Oct 2024
Thomas Conlon, John Cotter and Ioannis Ropotos
University College Dublin, University College Dublin and University College Dublin
Downloads 27 (1,019,003)

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

77.

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

78.

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

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risk

79.

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

80.

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