john cotter : Citation Profile

Are you john cotter?

University College Dublin
University College Dublin
University of California-Los Angeles (UCLA)

12

H index

16

i10 index

468

Citations

RESEARCH PRODUCTION:

43

Articles

129

Papers

RESEARCH ACTIVITY:

   25 years (1994 - 2019). See details.
   Cites by year: 18
   Journals where john cotter has often published
   Relations with other researchers
   Recent citing documents: 130.    Total self citations: 69 (12.85 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pco227
   Updated: 2020-05-16    RAS profile: 2020-04-14    
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Relations with other researchers

Works with:

Conlon, Thomas (5)

Gabriel, Stuart (4)

Avino, Davide (4)

Hanly, Jim (2)

Suurlaht, Anita (2)

Rossi, Francesco (2)

Hallam, Mark (2)

Yilmaz, Kamil (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with john cotter.

Is cited by:

Gil-Alana, Luis (16)

Stevenson, Simon (13)

Liow, Kim (11)

Guidolin, Massimo (9)

Bredin, Don (8)

Torro, Hipolit (7)

Caporale, Guglielmo Maria (6)

Barbi, Massimiliano (5)

Perignon, Christophe (5)

Zhou, Jian (5)

Füss, Roland (5)

Cites to:

Campbell, John (20)

TARAZI, Amine (17)

Bollerslev, Tim (17)

Diebold, Francis (17)

Bekaert, Geert (15)

Engle, Robert (13)

Stulz, René (13)

merton, robert (11)

de Vries, Casper (11)

Molyneux, Philip (10)

hawawini, gabriel (10)

Main data

Where john cotter has published?

Journals with more than one article published# docs
The European Journal of Finance5
Journal of Futures Markets4
Energy Economics4
International Review of Financial Analysis3
Journal of Business Finance & Accounting3
Real Estate Economics2
Journal of International Money and Finance2
European Journal of Operational Research2
Journal of Banking & Finance2

Working Papers Series with more than one paper published# docs
Working Papers / Geary Institute, University College Dublin56
Papers / arXiv.org36
MPRA Paper / University Library of Munich, Germany34

Recent works citing john cotter (2019 and 2018)

YearTitle of citing document
2017Managing Energy Price Risk using Futures Contracts: A Comparative Analysis. (2017). Hanly, Jim. In: The Energy Journal. RePEc:aen:journl:ej38-3-hanly.

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2017Asymptotic Analysis for Spectral Risk Measures Parameterized by Confidence Level. (2017). Kato, Takashi. In: Papers. RePEc:arx:papers:1711.07335.

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2019Total, asymmetric and frequency connectedness between oil and forex markets. (2019). Kocenda, Evzen ; Baruník, Jozef ; Kovcenda, Evvzen. In: Papers. RePEc:arx:papers:1805.03980.

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2018Randomization Tests for Equality in Dependence Structure. (2018). Seo, Juwon. In: Papers. RePEc:arx:papers:1811.02105.

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2018Diversifying portfolios of U.S. stocks with crude oil and natural gas: A regime-dependent optimization with several risk measures. (2018). Gatfaoui, Hayette. In: Papers. RePEc:arx:papers:1811.02382.

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2018A new time-varying model for forecasting long-memory series. (2018). Grigoletto, Matteo ; Bisaglia, Luisa. In: Papers. RePEc:arx:papers:1812.07295.

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2019Kernel Based Estimation of Spectral Risk Measures. (2019). Sen, Rituparna ; Biswas, Suparna . In: Papers. RePEc:arx:papers:1903.03304.

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2020Sector connectedness in the Chinese stock markets. (2020). Zhou, Wei-Xing ; Wang, Gang-Jin ; Ma, Jun-Chao ; Jiang, Zhi-Qiang ; Shen, Ying-Ying. In: Papers. RePEc:arx:papers:2002.09097.

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2020Predicting tail events in a RIA-EVT-Copula framework. (2020). Zhou, Wei-Xing ; Wang, Gang-Jin ; Jiang, Zhi-Qiang ; Zhai, Jin-Rui ; Li, Wei-Zhen. In: Papers. RePEc:arx:papers:2004.03190.

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2017Spatial and Temporal House Price Diffusion in the Netherlands: A Bayesian Network Approach. (2017). Ahelegbey, Daniel Felix ; Teye, Alfred Larm. In: ERES. RePEc:arz:wpaper:eres2017_337.

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2019The significance of Residential REITs in Japan as an Institutionalized property sector. (2019). Newell, Graeme ; Lee, Chyi Lin ; Lin, Robbie. In: ERES. RePEc:arz:wpaper:eres2019_122.

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2019The Predictability of Real Estate Excess Returns: An Out-of-Sample Economic Value Analysis. (2019). Guidolin, Massimo ; Petrova, Milena ; Pedio, Manuela. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp19122.

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2019Bailing in Banks: costs and benefits. (2019). Silva, Thiago ; de Almeida, Carlos Eduardo ; Stancato, Sergio Rubens. In: Working Papers Series. RePEc:bcb:wpaper:504.

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2018Low‐frequency volatility of real estate securities and macroeconomic risk. (2018). Lee, Chyi Lin ; Stevenson, Simon. In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:s1:p:311-342.

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2018The Consequences of REIT Index Membership for Return Patterns. (2018). wachter, susan ; Steiner, Eva ; Pavlov, Andrey. In: Real Estate Economics. RePEc:bla:reesec:v:46:y:2018:i:1:p:210-250.

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2017Mapping China’s time-varying house price landscape. (2017). Tsang, Andrew ; Leiva-Leon, Danilo ; Funke, Michael. In: BOFIT Discussion Papers. RePEc:bof:bofitp:2017_021.

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2018Diversification Power of Real Estate Market Securities: The Role of Financial Crisis and Dividend Policy. (2018). Zhao, Yuan ; Gronwald, Marc ; Ilbasmis, Metin. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7015.

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2018Have Capital Market Anomalies Worldwide Attenuated in the Recent Era of High Liquidity and Trading Activity?. (2018). Rottmann, Horst ; Auer, Benjamin R. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7204.

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2019Centralized versus Decentralized Banking: Bank-level evidence from U.S. Call Reports. (2019). Aysun, Uluc. In: Working Papers. RePEc:cfl:wpaper:2019-03ua.

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2019Factibilidad del uso de contratos de futuros del Chicago Mercantile Exchange para la cobertura del riesgo de precio en el ganado bovino chileno. (2019). Monje, Juan Cabas ; Sepulveda, Ricardo Troncoso. In: Revista Lecturas de Economía. RePEc:col:000174:017438.

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2017Sharing the Pain? Credit Supply and Real Effects of Bank Bail-ins. (2017). Silva, Andre ; Da-Rocha Lopes, Samuel ; Beck, Thorsten. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12058.

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2017The systemic implications of bail-in: a multi-layered network approach. (2017). Kok, Christoffer ; Hüser, Anne-Caroline ; Halaj, Grzegorz ; van der Kraaij, Anton ; Perales, Cristian ; Huser, Anne-Caroline ; Haaj, Grzegorz. In: Working Paper Series. RePEc:ecb:ecbwps:20172010.

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2018The Evolving Complexity of Capital Regulation. (2018). Herring, Richard J. In: Working Papers. RePEc:ecl:upafin:18-01.

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2019Conditional Extreme Values Theory and Tail-related Risk Measures: Evidence from Latin American Stock Markets. (2019). Santillan-Salgado, Roberto J ; de Jesus-Gutierrez, Raul. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2019-03-12.

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2017Investigating the risk-return trade-off for crude oil futures using high-frequency data. (2017). Xia, Xiao-Hua ; Pan, Bin ; Huang, Jianbai ; Wen, Fenghua ; Gong, XU. In: Applied Energy. RePEc:eee:appene:v:196:y:2017:i:c:p:152-161.

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2018China and international housing price growth. (2018). Chang, Yuk Ying ; Shi, Song ; Anderson, Hamish. In: China Economic Review. RePEc:eee:chieco:v:50:y:2018:i:c:p:294-312.

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2018Interbank markets and bank bailout policies amid a sovereign debt crisis. (2018). Minetti, Raoul ; Lakdawala, Aeimit ; Olivero, Maria Pia. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:93:y:2018:i:c:p:131-153.

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2017Catching the curl: Wavelet thresholding improves forward curve modelling. (2017). Vedenov, Dmitry ; Turvey, Calum ; Eaves, James ; Power, Gabriel J. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:312-321.

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2018The beta heuristic from a time/frequency perspective: A wavelet analysis of the market risk of sectors. (2018). McNevin, Bruce D ; Nix, Joan. In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:570-585.

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2017A distance test of normality for a wide class of stationary processes. (2017). Vavra, Marian ; Psaradakis, Zacharias. In: Econometrics and Statistics. RePEc:eee:ecosta:v:2:y:2017:i:c:p:50-60.

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2017The risk-averse newsvendor problem under spectral risk measures: A classification with extensions. (2017). Fichtinger, Johannes ; Arikan, Emel. In: European Journal of Operational Research. RePEc:eee:ejores:v:256:y:2017:i:1:p:116-125.

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2018Entropic risk measures and their comparative statics in portfolio selection: Coherence vs. convexity. (2018). Brandtner, Mario ; Rischau, Robert ; Kursten, Wolfgang. In: European Journal of Operational Research. RePEc:eee:ejores:v:264:y:2018:i:2:p:707-716.

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2018Estimation of the global minimum variance portfolio in high dimensions. (2018). Parolya, Nestor ; Bodnar, Taras ; Schmid, Wolfgang. In: European Journal of Operational Research. RePEc:eee:ejores:v:266:y:2018:i:1:p:371-390.

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2019A parsimonious parametric model for generating margin requirements for futures. (2019). Alexander, Carol ; Sumawong, Anannit ; Kaeck, Andreas. In: European Journal of Operational Research. RePEc:eee:ejores:v:273:y:2019:i:1:p:31-43.

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2019Long horizon predictability: An asset allocation perspective. (2019). Poncet, Patrice ; Lioui, Abraham. In: European Journal of Operational Research. RePEc:eee:ejores:v:278:y:2019:i:3:p:961-975.

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2020An ordinal classification framework for bank failure prediction: Methodology and empirical evidence for US banks. (2020). Galariotis, Emilios ; Zopounidis, Constantin ; Doumpos, Michalis ; Manthoulis, Georgios. In: European Journal of Operational Research. RePEc:eee:ejores:v:282:y:2020:i:2:p:786-801.

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2017Pure martingale and joint normality tests for energy futures contracts. (2017). Shrestha, Keshab ; Rassiah, Puspavathy ; Subramaniam, Ravichandran. In: Energy Economics. RePEc:eee:eneeco:v:63:y:2017:i:c:p:174-184.

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2017Hedging downside risk of oil refineries: A vine copula approach. (2017). Sukcharoen, Kunlapath ; Leatham, David. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:493-507.

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2018Quantile hedge ratio for energy markets. (2018). Shrestha, Keshab ; Suresh, Sheena Sara ; Peranginangin, Yessy ; Subramaniam, Ravichandran. In: Energy Economics. RePEc:eee:eneeco:v:71:y:2018:i:c:p:253-272.

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2018Analyzing the time-frequency lead–lag relationship between oil and agricultural commodities. (2018). Shahbaz, Muhammad ; Tiwari, Aviral Kumar ; Solarin, Sakiru Adebola ; Khalfaoui, Rabeh . In: Energy Economics. RePEc:eee:eneeco:v:76:y:2018:i:c:p:470-494.

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2018The Minimum-CVaR strategy with semi-parametric estimation in carbon market hedging problems. (2018). Chai, Shanglei ; Zhou, P. In: Energy Economics. RePEc:eee:eneeco:v:76:y:2018:i:c:p:64-75.

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2019Diversifying portfolios of U.S. stocks with crude oil and natural gas: A regime-dependent optimization with several risk measures. (2019). Gatfaoui, Hayette. In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:132-152.

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2018Hedging spark spread risk with futures. (2018). Torro, Hipolit ; Martinez, Beatriz. In: Energy Policy. RePEc:eee:enepol:v:113:y:2018:i:c:p:731-746.

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2017Crude oil price behaviour before and after military conflicts and geopolitical events. (2017). Pérez de Gracia, Fernando ; Monge, Manuel ; Gil-Alana, Luis. In: Energy. RePEc:eee:energy:v:120:y:2017:i:c:p:79-91.

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2017Shocks affecting electricity prices in Kenya, a fractional integration study. (2017). Gil-Alana, Luis ; Carcel, Hector ; Mudida, Robert. In: Energy. RePEc:eee:energy:v:124:y:2017:i:c:p:521-530.

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2018A comparison of risk measures for accidents in the energy sector and their implications on decision-making strategies. (2018). Spada, Matteo ; Burgherr, Peter ; Paraschiv, Florentina. In: Energy. RePEc:eee:energy:v:154:y:2018:i:c:p:277-288.

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2019Futures hedging in crude oil markets: A comparison between minimum-variance and minimum-risk frameworks. (2019). Wang, Yudong ; Meng, Fanyi ; Geng, Qianjie. In: Energy. RePEc:eee:energy:v:181:y:2019:i:c:p:815-826.

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2017The price of shelter - Downside risk reduction with precious metals. (2017). Potì, Valerio ; Conlon, Thomas ; Bredin, Don ; Poti, Valerio. In: International Review of Financial Analysis. RePEc:eee:finana:v:49:y:2017:i:c:p:48-58.

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2018Momentum and reversal strategies in Chinese commodity futures markets. (2018). Yang, Yurun ; Pantelous, Athanasios A ; Goncu, Ahmet. In: International Review of Financial Analysis. RePEc:eee:finana:v:60:y:2018:i:c:p:177-196.

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2019Does corporate hedging enhance shareholder value? A meta-analysis. (2019). Huan, Xing ; Conlon, Thomas ; Bessler, Wolfgang. In: International Review of Financial Analysis. RePEc:eee:finana:v:61:y:2019:i:c:p:222-232.

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2017Real and complex wavelets in asset classification: An application to the US stock market. (2017). Bruzda, Joanna. In: Finance Research Letters. RePEc:eee:finlet:v:21:y:2017:i:c:p:115-125.

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2019A study of first generation commodity indices: Indices based on financial diversification. (2019). Six, Pierre ; Ahn, Jung-Hyun . In: Finance Research Letters. RePEc:eee:finlet:v:30:y:2019:i:c:p:194-200.

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2017Evaluating the effectiveness of the new EU bank regulatory framework: A farewell to bail-out?. (2017). Maccaferri, Sara ; Benczur, Peter ; Giudici, Marco Petracco ; Di Girolamo, Francesca ; Cariboni, Jessica ; Cannas, Giuseppina . In: Journal of Financial Stability. RePEc:eee:finsta:v:33:y:2017:i:c:p:207-223.

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2018The systemic implications of bail-in: A multi-layered network approach. (2018). Hüser, Anne-Caroline ; Halaj, Grzegorz ; van der Kraaij, Anton ; Perales, Cristian ; Kok, Christoffer ; Haaj, Grzegorz. In: Journal of Financial Stability. RePEc:eee:finsta:v:38:y:2018:i:c:p:81-97.

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2019Bailing in Banks: costs and benefits. (2019). Silva, Thiago ; Dealmeida, Carlos Eduardo ; de Almeida, Carlos Eduardo ; Stancato, Sergio Rubens. In: Journal of Financial Stability. RePEc:eee:finsta:v:45:y:2019:i:c:s1572308919306564.

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2018Spectral measures of risk for international futures markets: A comparison of extreme value and Lévy models. (2018). Mozumder, Sharif ; Dempsey, Michael ; Choudhry, Taufiq. In: Global Finance Journal. RePEc:eee:glofin:v:37:y:2018:i:c:p:248-261.

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2017Efficient option risk measurement with reduced model risk. (2017). Mitra, Sovan. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:72:y:2017:i:c:p:163-174.

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2018The dynamics of volatility connectedness in international real estate investment trusts. (2018). Liow, Kim Hiang ; Huang, Yuting. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:55:y:2018:i:c:p:195-210.

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2019Asset pricing factors and bank CDS spreads. (2019). Koutmos, Dimitrios. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:58:y:2019:i:c:p:19-41.

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2017Gini-type measures of risk and variability: Gini shortfall, capital allocations, and heavy-tailed risks. (2017). Furman, Edward ; Zitikis, Riardas ; Wang, Ruodu. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:83:y:2017:i:c:p:70-84.

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2018Point process models for extreme returns: Harnessing implied volatility. (2018). Herrera, Rodrigo ; Clements, Adam. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:88:y:2018:i:c:p:161-175.

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2018Expected Shortfall, spectral risk measures, and the aggravating effect of background risk, or: risk vulnerability and the problem of subadditivity. (2018). Brandtner, Mario. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:89:y:2018:i:c:p:138-149.

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2017Banking integration and house price co-movement. (2017). thesmar, david ; Sraer, David ; Landier, Augustin. In: Journal of Financial Economics. RePEc:eee:jfinec:v:125:y:2017:i:1:p:1-25.

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2018Financing as a supply chain: The capital structure of banks and borrowers. (2018). Gornall, Will ; Strebulaev, Ilya A. In: Journal of Financial Economics. RePEc:eee:jfinec:v:129:y:2018:i:3:p:510-530.

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2018Energy and agricultural commodities revealed through hedging characteristics: Evidence from developing and mature markets. (2018). Conlon, Thomas ; Bredin, Don ; Spencer, Simon. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:9:y:2018:i:c:p:1-20.

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2017Determining the multi-scale hedge ratios of stock index futures using the lower partial moments method. (2017). Dai, Jun ; Zhao, Shaoquan ; Zhou, Haigang. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:466:y:2017:i:c:p:502-510.

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2019Analysis of the efficiency of Hong Kong REITs market based on Hurst exponent. (2019). Lai, Yongzeng ; Yan, Lizhao ; Yang, Xianglin ; Cheng, Cheng ; Liu, Jian. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:534:y:2019:i:c:s0378437119311720.

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2017Detecting spatial and temporal house price diffusion in the Netherlands: A Bayesian network approach. (2017). Teye, Alfred Larm ; Ahelegbey, Daniel Felix . In: Regional Science and Urban Economics. RePEc:eee:regeco:v:65:y:2017:i:c:p:56-64.

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2018Housing price spillovers in China: A high-dimensional generalized VAR approach. (2018). Yang, Jian ; Deng, Yongheng ; Yu, Ziliang. In: Regional Science and Urban Economics. RePEc:eee:regeco:v:68:y:2018:i:c:p:98-114.

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2018Skewness, basis risk, and optimal futures demand. (2018). Barbi, Massimiliano ; Romagnoli, Silvia. In: International Review of Economics & Finance. RePEc:eee:reveco:v:58:y:2018:i:c:p:14-29.

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2018Dynamic hedging performance and downside risk: Evidence from Nikkei index futures. (2018). Ubukata, Masato. In: International Review of Economics & Finance. RePEc:eee:reveco:v:58:y:2018:i:c:p:270-281.

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2018Analysis of risk premium in UK natural gas futures. (2018). Torro, Hipolit ; Martinez, Beatriz. In: International Review of Economics & Finance. RePEc:eee:reveco:v:58:y:2018:i:c:p:621-636.

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2019Estimating the conditional equity risk premium in African frontier markets. (2019). Othieno, Ferdinand ; Biekpe, Nicholas. In: Research in International Business and Finance. RePEc:eee:riibaf:v:47:y:2019:i:c:p:538-551.

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2018Exports and bank shocks: Evidence from matched firm-bank data. (2018). Spatareanu, Mariana ; Kabiri, Ali ; Manole, Vlad. In: Structural Change and Economic Dynamics. RePEc:eee:streco:v:47:y:2018:i:c:p:46-56.

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2017Modified Sharpe Ratios in Real Estate Performance Measurement: Beyond the Standard Cornish Fisher Expansion. (2017). Prigent, Jean-Luc ; Barthélémy, Fabrice ; Mokrane, Mahdi ; Keenan, Donald ; Amedee-Manesme, Charles-Olivier. In: THEMA Working Papers. RePEc:ema:worpap:2017-20.

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2017An examination of the risk-return relation in the Australian housing market. (2017). Lee, Chyi Lin. In: International Journal of Housing Markets and Analysis. RePEc:eme:ijhmap:ijhma-07-2016-0052.

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2018What Multiscale Approach Can Tell About the Nexus Between Exchange Rate and Stocks in the Major Emerging Markets?. (2018). Zivkov, Dejan ; Djuraskovic, Jasmina ; Balaban, Suzana. In: Czech Journal of Economics and Finance (Finance a uver). RePEc:fau:fauart:v:68:y:2018:i:5:p:491-512.

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2019Multiscale Volatility Transmission and Portfolio Construction Between the Baltic Stock Markets. (2019). Živkov, Dejan ; Manic, Slavica ; Urakovic, Jasmina. In: Czech Journal of Economics and Finance (Finance a uver). RePEc:fau:fauart:v:69:y:2019:i:2:p:211-235.

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2019Estimating Conditional Value at Risk in the Tehran Stock Exchange Based on the Extreme Value Theory Using GARCH Models. (2019). Ghasemi, Foroogh ; Tamoaitien, Jolanta ; Yousefi, Vahidreza ; Tabasi, Hamed. In: Administrative Sciences. RePEc:gam:jadmsc:v:9:y:2019:i:2:p:40-:d:234128.

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2019Energy Commodities: A Review of Optimal Hedging Strategies. (2019). HALKOS, GEORGE ; Tsirivis, Apostolos S. In: Energies. RePEc:gam:jeners:v:12:y:2019:i:20:p:3979-:d:278200.

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2018Multi-Factor Asset-Pricing Models under Markov Regime Switches: Evidence from the Chinese Stock Market. (2018). Chen, Jieting ; Kawaguchi, Yuichiro. In: International Journal of Financial Studies. RePEc:gam:jijfss:v:6:y:2018:i:2:p:54-:d:148049.

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2018Risk Assessment of Housing Market Segments: The Lender’s Perspective. (2018). Wilhelmsson, Mats ; Zhao, Jianyu. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:4:p:69-:d:178391.

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2019Improved Covariance Matrix Estimation for Portfolio Risk Measurement: A Review. (2019). Sathye, Milind ; Liu, Shuangzhe ; Ma, Tiefeng ; Sun, Ruili. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:1:p:48-:d:216804.

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2019Instantaneous Volatility Seasonality of High-Frequency Markets in Directional-Change Intrinsic Time. (2019). Petrov, Vladimir ; Olsen, Richard ; Golub, Anton . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:2:p:54-:d:219095.

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2018On Exactitude in Financial Regulation: Value-at-Risk, Expected Shortfall, and Expectiles. (2018). Chen, James Ming. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:2:p:61-:d:150249.

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2018Using Neural Networks to Price and Hedge Variable Annuity Guarantees. (2018). Doyle, Daniel ; Groendyke, Chris . In: Risks. RePEc:gam:jrisks:v:7:y:2018:i:1:p:1-:d:192723.

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2020Assessment of Conditional Dependence Structures in Commodity Futures Markets Using Copula-GARCH Models and Fuzzy Clustering Methods. (2020). Just, Magorzata ; Uczak, Aleksandra. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:6:p:2571-:d:336499.

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2019Risk Measurement. (2019). Hassani, Bertrand K ; Guegan, Dominique. In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-02119256.

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2019International diversification benefits -a view on time-varying European market integration. (2019). Carpantier, Jean-François ; Sapata, Christelle. In: Working Papers. RePEc:hal:wpaper:hal-02171480.

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2019New models of commodity risk hedging according to the behavior of economic decision-makers or Rollover Strategies. (2019). SADEFO, Jules ; Moumouni, Zoulkiflou. In: Working Papers. RePEc:hal:wpaper:hal-02417459.

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2019The risk-based core for cooperative games with uncertainty. (2019). Kóczy, László. In: IEHAS Discussion Papers. RePEc:has:discpr:1906.

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2018Research on a 3D Predator-Prey Evolutionary System in Real Estate Market. (2018). Tang, Wenzhe ; Yang, Yujing. In: Complexity. RePEc:hin:complx:6154940.

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2018Increased Tail Dependence in Global Public Real Estate Markets. (2018). Deng, Yang ; Gong, PU. In: International Real Estate Review. RePEc:ire:issued:v:21:n:02:2018:p:145-168.

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2017Hedging spark spread risk with futures. (2017). Torro, Hipolit ; Enguix, Hipolit Torro ; Martinez, Beatriz Martinez . In: Working Papers. Serie EC. RePEc:ivi:wpasec:2017-01.

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2018The Evolving Complexity of Capital Regulation. (2018). Herring, Richard J. In: Journal of Financial Services Research. RePEc:kap:jfsres:v:53:y:2018:i:2:d:10.1007_s10693-018-0295-8.

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2018Fundamental Drivers of Dependence in REIT Returns. (2018). Alcock, Jamie ; Steiner, Eva. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:57:y:2018:i:1:d:10.1007_s11146-016-9562-3.

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2019Housing “Beta”: Common Risk Factor in Returns of Stocks. (2019). Sunderman, Mark ; Jain, Pawan ; Baulkaran, Vishaal. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:58:y:2019:i:3:d:10.1007_s11146-018-9656-1.

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2018Is gold a hedge against inflation? A wavelet time-scale perspective. (2018). Conlon, Thomas ; Uddin, Gazi Salah ; Lucey, Brian M. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:51:y:2018:i:2:d:10.1007_s11156-017-0672-7.

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2020Mortgage-related bank penalties and systemic risk among U.S. banks. (2020). Kočenda, Evžen ; Broza, Vaclav ; Kocenda, Evzen . In: KIER Working Papers. RePEc:kyo:wpaper:1024.

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More than 100 citations found, this list is not complete...

Works by john cotter:

YearTitleTypeCited
2011An Empirical Analysis of Dynamic Multiscale Hedging using Wavelet Decomposition In: Papers.
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2011An Empirical Analysis of Dynamic Multiscale Hedging using Wavelet Decomposition.(2011) In: Working Papers.
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2012An empirical analysis of dynamic multiscale hedging using wavelet decomposition.(2012) In: Journal of Futures Markets.
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2011Spectral Risk Measures with an Application to Futures Clearinghouse Variation Margin Requirements In: Papers.
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2006Spectral Risk Measures with an Application to Futures Clearinghouse Variation Margin Requirements.(2006) In: MPRA Paper.
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2011Spectral Risk Measures with an Application to Futures Clearinghouse Variation Margin Requirements.(2011) In: Working Papers.
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2011Spectral Risk Measures with an Application to Futures Clearinghouse Variation Margin Requirements.(2011) In: Working Papers.
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2011Exponential Spectral Risk Measures In: Papers.
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2007Exponential Spectral Risk Measures.(2007) In: The IUP Journal of Financial Economics.
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2007Exponential Spectral Risk Measures.(2007) In: MPRA Paper.
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2011Hedging Effectiveness under Conditions of Asymmetry In: Papers.
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2007Hedging Effectiveness under Conditions of Asymmetry.(2007) In: MPRA Paper.
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2012Hedging effectiveness under conditions of asymmetry.(2012) In: The European Journal of Finance.
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2011Hedging Effectiveness under Conditions of Asymmetry.(2011) In: Working Papers.
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2011Margin setting with high-frequency data1 In: Papers.
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2011Modeling Long Memory in REITs In: Papers.
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2008Modeling Long Memory in REITs.(2008) In: Real Estate Economics.
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2007Modeling Long Memory in REITs.(2007) In: MPRA Paper.
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2011Modelling Long Memory in REITs.(2011) In: Working Papers.
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2011Minimum Capital Requirement Calculations for UK Futures In: Papers.
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2004Minimum Capital Requirement Calculations for UK Futures.(2004) In: MPRA Paper.
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2011Minimum Capital Requirement Calculations for UK Futures.(2011) In: Working Papers.
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2004Minimum capital requirement calculations for UK futures.(2004) In: Journal of Futures Markets.
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2011Uncovering Volatility Dynamics in Daily REIT Returns In: Papers.
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2005Uncovering Volatility Dynamics in Daily REIT Returns.(2005) In: MPRA Paper.
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2011Tail Behaviour of the Euro In: Papers.
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2005Tail Behaviour of the Euro.(2005) In: MPRA Paper.
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2005Tail behaviour of the euro.(2005) In: Applied Economics.
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2011Tail Behaviour of the Euro.(2011) In: Working Papers.
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2011Varying the VaR for Unconditional and Conditional Environments In: Papers.
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2007Varying the VaR for unconditional and conditional environments.(2007) In: Journal of International Money and Finance.
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2004Varying the VaR for Unconditional and Conditional Environments,.(2004) In: MPRA Paper.
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2011Varying the VaR for Unconditional and Conditional Environments.(2011) In: Working Papers.
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2011Uncovering Long Memory in High Frequency UK Futures In: Papers.
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2004Uncovering Long Memory in High Frequency UK Futures.(2004) In: MPRA Paper.
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2005Uncovering long memory in high frequency UK futures.(2005) In: The European Journal of Finance.
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2011Uncovering Long Memory in High Frequency UK Futures.(2011) In: Working Papers.
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2011Extreme Spectral Risk Measures: An Application to Futures Clearinghouse Margin Requirements In: Papers.
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2006Extreme spectral risk measures: An application to futures clearinghouse margin requirements.(2006) In: Journal of Banking & Finance.
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2006Extreme Spectral Risk Measures: An Application to Futures Clearinghouse Margin Requirements.(2006) In: MPRA Paper.
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2011Extreme Spectral Risk Measures: An Application to Futures Clearinghouse Margin Requirements.(2011) In: Working Papers.
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2011Implied correlation from VaR In: Papers.
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2006Implied correlation from VaR.(2006) In: MPRA Paper.
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2011Implied Correlation from VaR.(2011) In: Working Papers.
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2011Modelling catastrophic risk in international equity markets: An extreme value approach In: Papers.
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2006Modelling catastrophic risk in international equity markets: An extreme value approach.(2006) In: MPRA Paper.
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2006Modelling catastrophic risk in international equity markets: an extreme value approach.(2006) In: Applied Financial Economics Letters.
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2011Modelling Catastrophic Risk in International Equity Markets: An Extreme Value Approach.(2011) In: Working Papers.
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2011U.S. Core Inflation: A Wavelet Analysis In: Papers.
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2011U.S. CORE INFLATION: A WAVELET ANALYSIS.(2011) In: Macroeconomic Dynamics.
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2006U.S. Core Inflation: A Wavelet Analysis.(2006) In: MPRA Paper.
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2011U.S. Core Inflation: A Wavelet Analysis.(2011) In: Working Papers.
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2011Multivariate Modeling of Daily REIT Volatility In: Papers.
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2006Multivariate Modeling of Daily REIT Volatility.(2006) In: The Journal of Real Estate Finance and Economics.
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2005Multivariate Modeling of Daily REIT Volatility.(2005) In: MPRA Paper.
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2011Multivariate Modelling of Daily REIT Volatility.(2011) In: Working Papers.
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2011The tail risks of FX return distributions: a comparison of the returns associated with limit orders and market orders In: Papers.
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2007The tail risks of FX return distributions: A comparison of the returns associated with limit orders and market orders.(2007) In: Finance Research Letters.
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2007The tail risks of FX return distributions: a comparison of the returns associated with limit orders and market orders.(2007) In: MPRA Paper.
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2011Intra-Day Seasonality in Foreign Exchange Market Transactions In: Papers.
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2010Intra-day seasonality in foreign exchange market transactions.(2010) In: International Review of Economics & Finance.
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2007Intra-Day Seasonality in Foreign Exchange Market Transactions.(2007) In: MPRA Paper.
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2011Evaluating the Precision of Estimators of Quantile-Based Risk Measures In: Papers.
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2007Evaluating the Precision of Estimators of Quantile-Based Risk Measures.(2007) In: MPRA Paper.
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2011Evaluating the Precision of Estimators of Quantile-Based Risk Measures.(2011) In: Working Papers.
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2011Estimating financial risk measures for futures positions: a non-parametric approach In: Papers.
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2007Estimating financial risk measures for futures positions: a non-parametric approach.(2007) In: MPRA Paper.
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2011Estimating Financial Risk Measures for Futures Positions:A Non-Parametric Approach.(2011) In: Working Papers.
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2010Estimating financial risk measures for futures positions: A nonparametric approach.(2010) In: Journal of Futures Markets.
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2011Spectral Risk Measures and the Choice of Risk Aversion Function In: Papers.
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2011How Unlucky is 25-Sigma? In: Papers.
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2010How Unlucky is 25-Sigma?.(2010) In: Working Papers.
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2011Spectral Risk Measures: Properties and Limitations In: Papers.
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2008Spectral Risk Measures: Properties and Limitations.(2008) In: Journal of Financial Services Research.
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2010Spectral Risk Measures: Properties and Limitations.(2010) In: Working Papers.
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2011Extreme Measures of Agricultural Financial Risk In: Papers.
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2012Extreme Measures of Agricultural Financial Risk.(2012) In: Journal of Agricultural Economics.
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2011Scaling conditional tail probability and quantile estimators In: Papers.
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2010Scaling conditional tail probability and quantile estimators.(2010) In: Working Papers.
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2011Hedging: Scaling and the Investor Horizon In: Papers.
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2010Hedging: Scaling and the Investor Horizon.(2010) In: Working Papers.
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2011Time Varying Risk Aversion: An Application to Energy Hedging In: Papers.
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2010Time-varying risk aversion: An application to energy hedging.(2010) In: Energy Economics.
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2010Time Varying Risk Aversion: An Application to Energy Hedging.(2010) In: Working Papers.
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2011Housing risk and return: Evidence from a housing asset-pricing model In: Papers.
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2010Housing Risk and Return: Evidence From a Housing Asset-Pricing Model.(2010) In: Working Papers.
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2011A Comparative Anatomy of REITs and Residential Real Estate Indexes: Returns, Risks and Distributional Characteristics In: Papers.
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2010A Comparative Anatomy of REITs and Residential Real Estate Indexes: Returns, Risks and Distributional Characteristics.(2010) In: Working Papers.
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2011A Utility Based Approach to Energy Hedging In: Papers.
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2012A utility based approach to energy hedging.(2012) In: Energy Economics.
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2011A Utility Based Approach to Energy Hedging.(2011) In: Working Papers.
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2011Absolute Return Volatility In: Papers.
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2005Absolute Return Volatility.(2005) In: MPRA Paper.
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2005Absolute Return Volatility.(2005) In: MPRA Paper.
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2011Absolute Return Volatility.(2011) In: Working Papers.
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2011Financial Risks and the Pension Protection Fund: Can it Survive Them? In: Papers.
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2006Financial Risks and the Pension Protection Fund: Can it Survive Them?.(2006) In: MPRA Paper.
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2011Financial Risks and the Pension Protection Fund:Can It Survive Them?.(2011) In: Working Papers.
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2011Integration and Contagion in US Housing Markets In: Papers.
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2011Integration and contagion in US housing markets.(2011) In: MPRA Paper.
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2011Integration and Contagion in US Housing Markets.(2011) In: Working Papers.
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2012Can Metropolitan Housing Risk be Diversified? A Cautionary Tale from the Recent Boom and Bust In: Papers.
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2014The non-linear trade-off between return and risk: a regime-switching multi-factor framework In: Papers.
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2008VOLATILITY AND IRISH EXPORTS In: Economic Inquiry.
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2011Volatility and Irish Exports.(2011) In: Working Papers.
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2000The Distributional Characteristics of a Selection of Contracts Traded on the London International Financial Futures Exchange.(2000) In: Journal of Business Finance & Accounting.
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2000The Distributional Characteristics of a Selection of Contracts Traded on the London International Financial Futures Exchange.(2000) In: Journal of Business Finance & Accounting.
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2019Subordinate Resolution ‐‐ An Empirical Analysis of European Union Subsidiary Banks In: Journal of Common Market Studies.
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2015Subordinate Resolution - An Empirical Analysis of European Union Subsidiary Banks.(2015) In: Working Papers.
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2015A Comparative Anatomy of Residential REITs and Private Real Estate Markets: Returns, Risks and Distributional Characteristics In: Real Estate Economics.
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2017Asset allocation with correlation: A composite trade-off In: European Journal of Operational Research.
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2018Long-run wavelet-based correlation for financial time series In: European Journal of Operational Research.
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2013Downside risk and the energy hedgers horizon In: Energy Economics.
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2015Performance of utility based hedges In: Energy Economics.
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2004International equity market integration in a small open economy: Ireland January 1990-December 2000 In: International Review of Financial Analysis.
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2004International Equity Market Integration in a Small Open Economy: Ireland January 1990 – December 2000.(2004) In: MPRA Paper.
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2015The conditional pricing of systematic and idiosyncratic risk in the UK equity market In: International Review of Financial Analysis.
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2017Predictability and diversification benefits of investing in commodity and currency futures In: International Review of Financial Analysis.
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2001Margin exceedences for European stock index futures using extreme value theory In: Journal of Banking & Finance.
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2001Margin Exceedences for European Stock Index Futures using Extreme Value Theory.(2001) In: MPRA Paper.
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2019Credit default swaps as indicators of bank financial distress In: Journal of International Money and Finance.
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2016Credit Default Swaps as Indicators of Bank financial Distress.(2016) In: Working Papers.
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