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

SCHOLARLY PAPERS

69

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11,282

SSRN CITATIONS
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in Total Papers Citations

98

CROSSREF CITATIONS

65

Scholarly Papers (69)

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 522 (69,456)
Citation 3

Abstract:

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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 417 (90,958)
Citation 6

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 552 (65,451)
Citation 7

Abstract:

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

3.

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 546 (66,629)

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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

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 463 (80,457)
Citation 7

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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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 421 (90,741)
Citation 2

Abstract:

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Anomalies, Asset Pricing, Market Efficiency

6.

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 325 (121,491)
Citation 5

Abstract:

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

7.

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 307 (129,100)
Citation 5

Abstract:

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Implied Correlation, Model Risk, Normality, Value at Risk

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 292 (136,183)
Citation 7

Abstract:

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

9.

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 283 (140,698)
Citation 2

Abstract:

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

10.
Downloads 281 (141,707)
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 (276,855)

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 86 (376,517)
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 61 (456,781)
Citation 1

Abstract:

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integration, correlation, contagion, house price returns

11.

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 274 (145,445)
Citation 2

Abstract:

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

12.

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 254 (157,696)
Citation 2

Abstract:

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

13.

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 (162,625)

Abstract:

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spectral risk measures, risk aversion functions, exponential utility

14.

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 239 (166,574)
Citation 10

Abstract:

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Stock Index Futures, Extreme Value Theory, Margin Levels

15.

Absolute Return Volatility

Number of pages: 15 Posted: 06 Jul 2007
John Cotter
University College Dublin
Downloads 220 (181,096)
Citation 2

Abstract:

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16.

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 (194,340)
Citation 3

Abstract:

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Bank Failure, Market Discipline, Credit Default Swap, CDS

17.

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 199 (197,836)
Citation 3

Abstract:

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18.

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 (205,358)
Citation 2

Abstract:

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non-parametric, futures, risk measures

19.

A Non-Parametric Examination of Stability in the Euro

Number of pages: 28 Posted: 13 Dec 2000
John Cotter
University College Dublin
Downloads 187 (209,214)

Abstract:

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20.
Downloads 183 (213,248)

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 (328,424)

Abstract:

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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 (539,723)

Abstract:

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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: 51 Posted: 27 Sep 2019 Last Revised: 29 Sep 2020
Abhinav Anand and John Cotter
IIM Bangalore and University College Dublin
Downloads 35 (577,542)

Abstract:

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Bank integration, Bank size, Banking crises, Systemically important banks, Bank risk, Principal component regressions

21.

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 (224,863)

Abstract:

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integration, housing risk diversification, housing returns

22.

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 (224,863)

Abstract:

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core inflation, wavelets, trend inflation, inflation prediction

23.

Predictability and Diversification Benefits of Investing in Commodity and Currency Futures

International Review of Financial Analysis, Vol. 50, 2017
Number of pages: 34 Posted: 02 Mar 2016 Last Revised: 26 Aug 2019
University College Dublin, Rennes School of Business and University College Dublin
Downloads 168 (229,451)
Citation 1

Abstract:

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

24.

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 (229,451)
Citation 1

Abstract:

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limit orders, market orders, seasonality

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
University College Dublin, University College Dublin and University of SharjahUniversity of Sharjah - College of Business Administration
Downloads 128 (286,580)
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
University College Dublin, University College Dublin and University of SharjahUniversity of Sharjah - College of Business Administration
Downloads 34 (583,286)

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

26.

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
University College Dublin, Rennes School of Business and University College Dublin
Downloads 161 (237,796)
Citation 2

Abstract:

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

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 154 (246,816)
Citation 2

Abstract:

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

28.

Extreme Risk in Asian Equity Markets

Number of pages: 20 Posted: 12 Jul 2007
John Cotter
University College Dublin
Downloads 149 (253,615)
Citation 2

Abstract:

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risk measures, Asian equity markets, extreme value theory

29.

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 (253,615)
Citation 3

Abstract:

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

30.

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 146 (257,732)
Citation 5

Abstract:

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

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 (263,614)

Abstract:

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

32.

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 (266,501)
Citation 1

Abstract:

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

33.

Long-Run International Diversification

Number of pages: 57 Posted: 05 Mar 2015 Last Revised: 20 Sep 2016
Thomas Conlon, John Cotter and Ramazan Gencay
University College Dublin, University College Dublin and Simon Fraser University
Downloads 136 (272,637)
Citation 3

Abstract:

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International Diversification, International Finance, Long-Run, Correlation

34.

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 136 (272,637)
Citation 2

Abstract:

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coherent risk measures, spectral risk measures, exponential utility

35.

Co-Skewness Across Return Horizons

Number of pages: 40 Posted: 07 Jan 2016 Last Revised: 25 Jul 2019
Thomas Conlon, John Cotter and Chenglu Jin
University College Dublin, University College Dublin and University College Dublin (UCD) - UCD School of Business
Downloads 126 (288,789)

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

36.

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 122 (295,746)
Citation 10

Abstract:

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

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 (418,167)
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 49 (506,203)
Citation 3

Abstract:

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integration, correlation, contagion, house price returns

38.

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 119 (301,096)

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

39.

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: 12 Mar 2021
John Cotter and Enrique Salvador
University College Dublin and Universitat Jaume I - Department of Finance and Accounting
Downloads 113 (312,239)
Citation 2

Abstract:

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

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 110 (318,120)

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Hedging Effectiveness, Scaling, Volatility Modelling, Forecasting

41.

Downside Risk for European Equity Markets

Number of pages: 36 Posted: 12 Jul 2007
John Cotter
University College Dublin
Downloads 110 (318,120)
Citation 4

Abstract:

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

42.

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 107 (324,287)
Citation 7

Abstract:

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43.

Uncovering Long Memory in High Frequency UK Futures

Number of pages: 28 Posted: 10 Jul 2007
John Cotter
University College Dublin
Downloads 99 (341,412)
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 98 (343,679)

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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 93 (355,315)

Abstract:

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extreme returns, extreme value theory

46.

An Empirical Analysis of Dynamic Multiscale Hedging Using Wavelet Decomposition

Journal of Futures Markets, 32 (3):272-299
Number of pages: 28 Posted: 10 Feb 2011 Last Revised: 10 Dec 2014
Thomas Conlon and John Cotter
University College Dublin and University College Dublin
Downloads 89 (365,242)
Citation 3

Abstract:

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47.

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 86 (372,936)
Citation 1

Abstract:

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limit orders, market orders, tail risks

48.

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 83 (381,024)
Citation 5

Abstract:

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G11; G12.

49.

Varying the VAR for Unconditional and Conditional Environments

Number of pages: 31 Posted: 22 Jun 2007
John Cotter
University College Dublin
Downloads 83 (381,024)
Citation 3

Abstract:

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

50.

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

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 21-10
Number of pages: 50 Posted: 10 May 2021 Last Revised: 13 Oct 2021
University College Dublin, University College Dublin and Rennes School of Business
Downloads 81 (386,576)

Abstract:

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Averaged crude oil data, Spurious autocorrelation, Return predictability, Out-of-sample forecasts, Statistical inference

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 78 (395,093)
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 77 (398,054)

Abstract:

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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 72 (413,140)

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Energy, Hedging, Risk Management, Risk Aversion, Forecasting

54.

Minimum Capital Requirement Calculations for UK Futures

Number of pages: 43 Posted: 10 Jul 2007
John Cotter
University College Dublin
Downloads 67 (429,309)

Abstract:

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55.

Downside Risk and the Energy Hedger's Horizon

Energy Economics, Vol. 36, 2013
Number of pages: 27 Posted: 13 Sep 2012 Last Revised: 05 Nov 2014
Thomas Conlon and John Cotter
University College Dublin and University College Dublin
Downloads 66 (432,737)
Citation 3

Abstract:

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

56.

Volatility and the Euro: An Irish Perspective

Number of pages: 27 Posted: 12 Jul 2007
John Cotter
University College Dublin
Downloads 64 (439,592)

Abstract:

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57.
Downloads 63 (443,099)
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 - Sir John Cass Business School
Downloads 61 (456,655)

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 (836,386)
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58.

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 62 (446,633)
Citation 1

Abstract:

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Defined Benefit Pension Schemes, Funding, Government Insurance Schemes

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 (446,633)

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 (468,795)
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 53 (480,390)
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 49 (497,056)
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 46 (510,237)
Citation 1

Abstract:

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

64.
Downloads 46 (510,237)

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 (529,676)

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 (836,386)
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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 22 (665,033)

Abstract:

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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
Downloads 0
Citation 1
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resolution planning, bail‐in, bank failure, bank subsidiaries

66.

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

Posted: 22 May 2019
Karl E. Case, John Cotter and Stuart A. Gabriel
Deceased, University College Dublin and University of California, Los Angeles - Anderson School of Management

Abstract:

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asset pricing, house price returns, risk factors

67.

How Unlucky is 25-Sigma?

Posted: 21 May 2019
Nottingham University Business School (NUBS), University College Dublin, University of Manchester - Division of Accounting and Finance and Aston Business School

Abstract:

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risk

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
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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

69.

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