john cotter : Citation Profile


Are you john cotter?

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

13

H index

19

i10 index

567

Citations

RESEARCH PRODUCTION:

42

Articles

131

Papers

RESEARCH ACTIVITY:

   26 years (1994 - 2020). See details.
   Cites by year: 21
   Journals where john cotter has often published
   Relations with other researchers
   Recent citing documents: 74.    Total self citations: 67 (10.57 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pco227
   Updated: 2021-03-01    RAS profile: 2021-01-12    
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Relations with other researchers


Works with:

Yilmaz, Kamil (3)

Molyneux, Philip (2)

Avino, Davide (2)

Conlon, Thomas (2)

Hallam, Mark (2)

Suurlaht, Anita (2)

Gabriel, Stuart (2)

Potì, Valerio (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)

Torro, Hipolit (14)

Stevenson, Simon (13)

Liow, Kim (11)

Guidolin, Massimo (9)

Bredin, Don (8)

Barbi, Massimiliano (6)

Caporale, Guglielmo Maria (6)

Zhou, Jian (5)

Perignon, Christophe (5)

Kočenda, Evžen (5)

Cites to:

Campbell, John (28)

Diebold, Francis (20)

Bollerslev, Tim (17)

TARAZI, Amine (17)

Bekaert, Geert (15)

Engle, Robert (15)

Stulz, René (13)

Molyneux, Philip (13)

merton, robert (12)

Acharya, Viral (11)

de Vries, Casper (11)

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
Real Estate Economics2
Journal of Banking & Finance2
Journal of International Money and Finance2
European Journal of Operational Research2
Journal of Financial Stability2

Working Papers Series with more than one paper published# docs
Working Papers / Geary Institute, University College Dublin58
Papers / arXiv.org36
MPRA Paper / University Library of Munich, Germany34

Recent works citing john cotter (2021 and 2020)


YearTitle of citing document
2020An application of geographically weighted quantile LASSO to weather index insurance design. (2020). Miquelluti, David J ; Ozaki, Vitor. In: 2020 Annual Meeting, July 26-28, Kansas City, Missouri. RePEc:ags:aaea20:304288.

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2020Grain Imports Risk Hedging in Morocco. (2020). Harbouze, Rachid ; Boubrahimi, Nabil ; el Mekki, Abdelkader Ait ; Jouamaa, Mohammed Adil. In: International Journal of Food and Agricultural Economics (IJFAEC). RePEc:ags:ijfaec:307656.

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2020Single-Commodity vs. Joint Hedging in Cattle Feeding Cycle: Is Joint Hedging Always Essential?. (2020). Anderson, David ; Stevens, Reid B ; Vedenov, Dmitry ; Fei, Chengcheng. In: Journal of Agricultural and Resource Economics. RePEc:ags:jlaare:304776.

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2020The US Term Structure and Return Volatility in Global REIT Markets. (2020). GUPTA, RANGAN ; Demirer, Riza ; Yuksel, Aydin. In: International Association of Decision Sciences. RePEc:ahq:wpaper:v:24:y:2020:i:3:p:84-109.

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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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2020A Dual Characterisation of Regulatory Arbitrage for Coherent Risk Measures. (2020). Khan, Nazem ; Herdegen, Martin. In: Papers. RePEc:arx:papers:2009.05498.

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2020Covid-19 impact on cryptocurrencies: evidence from a wavelet-based Hurst exponent. (2020). Fernandez Bariviera, Aurelio ; Vampa, Victoria ; Pastor, Ver'Onica E ; Arouxet, Bel'En M. In: Papers. RePEc:arx:papers:2009.05652.

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2021Optimal Hedging with Margin Constraints and Default Aversion and its Application to Bitcoin Perpetual Futures. (2021). Zou, Bin ; Deng, Jun ; Alexander, Carol. In: Papers. RePEc:arx:papers:2101.01261.

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2021Liquidation, Leverage and Optimal Margin in Bitcoin Futures Markets. (2021). Wang, Tianyi ; Yu, Mei ; Cheng, Zhiyong ; Deng, Jun. In: Papers. RePEc:arx:papers:2102.04591.

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2020Macro-financial interactions in a changing world. (2020). Leiva-Leon, Danilo ; Gerba, Eddie. In: Working Papers. RePEc:bde:wpaper:2018.

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2020Assessing the Vulnerability to Price Spikes in Agricultural Commodity Markets. (2020). Sarris, Alexandros ; Dotsis, George ; Triantafyllou, Athanasios. In: Journal of Agricultural Economics. RePEc:bla:jageco:v:71:y:2020:i:3:p:631-651.

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2020Denoised Inflation: A New Measure of Core Inflation. (2020). Iqbal, Javaid ; Hanif, Muhammad Nadim ; Salam, Muhammad Abdus ; Ali, Syed Hamza. In: Journal of Central Banking Theory and Practice. RePEc:cbk:journl:v:9:y:2020:i:2:p:131-154.

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2020Evaluating sovereign risk spillovers on domestic banks during the European debt crisis. (2020). Keddad, Benjamin ; Schalck, Christophe. In: Economic Modelling. RePEc:eee:ecmode:v:88:y:2020:i:c:p:356-375.

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2020Macro-uncertainty and financial stress spillovers in the Eurozone. (2020). Mikaliunaite, Ieva ; Cipollini, Andrea. In: Economic Modelling. RePEc:eee:ecmode:v:89:y:2020:i:c:p:546-558.

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2020Asymmetric dependence structures for regional stock markets: An unconditional quantile regression approach. (2020). Yoon, Seong-Min ; Li, Changhong ; Dong, Xiyong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819303006.

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2020Risk dependence and cointegration between pharmaceutical stock markets: The case of China and the USA. (2020). Pérez-Rodríguez, Jorge ; Lopez-Valcarcel, Beatriz Gonzalez ; Perez-Rodriguez, Jorge V ; Qian, Huanhuan ; Zhou, Xinmiao. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940820300723.

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2020Spillover effects in oil-related CDS markets during and after the sub-prime crisis. (2020). Ozdemir, Zeynel ; Balcilar, Mehmet ; Wohar, Mark E. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301467.

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2020Dependent relationships between Chinese commodity markets and the international financial market: Evidence from quantile time-frequency analysis. (2020). Hau, Liya ; Ge, Yajing ; Meng, Liang ; Zhu, Huiming. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301534.

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2020Computationally efficient inference in large Bayesian mixed frequency VARs. (2020). Poon, Aubrey ; Koop, Gary ; Gefang, Deborah. In: Economics Letters. RePEc:eee:ecolet:v:191:y:2020:i:c:s0165176520301014.

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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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2020Optimal ordering policy for complementary components with partial backordering and emergency replenishment under spectral risk measure. (2020). Ou, Jinwen ; Li, Yanhai. In: European Journal of Operational Research. RePEc:eee:ejores:v:284:y:2020:i:2:p:538-549.

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2020Integrated dynamic models for hedging international portfolio risks. (2020). Vladimirou, Hercules ; Topaloglou, Nikolas ; Zenios, Stavros A. In: European Journal of Operational Research. RePEc:eee:ejores:v:285:y:2020:i:1:p:48-65.

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2021Horses for courses: Mean-variance for asset allocation and 1/N for stock selection. (2021). Sutcliffe, Charles ; Ye, Xiaoxia ; Platanakis, Emmanouil. In: European Journal of Operational Research. RePEc:eee:ejores:v:288:y:2021:i:1:p:302-317.

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2020Optimal hedging under biased energy futures markets. (2020). Torro, Hipolit ; Furio, Dolores. In: Energy Economics. RePEc:eee:eneeco:v:88:y:2020:i:c:s014098832030089x.

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2020Theyre back! Post-financialization diversification benefits of commodities. (2020). Manseau, Guillaume ; Gagnon, Marie-Helene ; Power, Gabriel J. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521920301599.

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2020Do the crude oil futures of the Shanghai International Energy Exchange improve asset allocation of Chinese petrochemical-related stocks?. (2020). Yang, Chen ; Lv, Fei ; Fang, Libing. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521920301812.

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2020Stock-bond return correlations: Moving away from “one-frequency-fits-all” by extending the DCC-MIDAS approach. (2020). Iania, Leonardo ; Allard, Anne-Florence ; Smedts, Kristien. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521920302015.

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2020Bitcoin futures: An effective tool for hedging cryptocurrencies. (2020). Sebastião, Helder ; Godinho, Pedro ; Sebastio, Helder. In: Finance Research Letters. RePEc:eee:finlet:v:33:y:2020:i:c:s1544612319301849.

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2020Does the jump risk in the US market matter for Japan and Hong Kong? An investigation on the REIT market. (2020). Wang, Yung-Jang ; Chang, Kuang-Liang ; HE, CHI-WEI . In: Finance Research Letters. RePEc:eee:finlet:v:34:y:2020:i:c:s154461231830761x.

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2020An alternative approach to predicting bank credit risk in Europe with Google data. (2020). Gonzalez-Velasco, Carmen ; Gonzalez-Fernandez, Marcos. In: Finance Research Letters. RePEc:eee:finlet:v:35:y:2020:i:c:s1544612319305318.

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2020Systemic risk and financial stability dynamics during the Eurozone debt crisis. (2020). Kouretas, Georgios ; Bratis, Theodoros ; Laopodis, Nikiforos T. In: Journal of Financial Stability. RePEc:eee:finsta:v:47:y:2020:i:c:s1572308920300012.

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2020Are bank capital requirements optimally set? Evidence from researchers’ views. (2020). Ristolainen, Kim ; HASAN, IFTEKHAR ; Ambrocio, Gene ; Jokivuolle, Esa. In: Journal of Financial Stability. RePEc:eee:finsta:v:50:y:2020:i:c:s1572308920300711.

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2020Dealing with tail risk in energy commodity markets: Futures contracts versus exchange-traded funds. (2020). Leatham, David J ; Sukcharoen, Kunlapath ; Arunanondchai, Panit. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:20:y:2020:i:c:s2405851319300777.

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2020The diabolical sovereigns/banks risk loop: A VAR quantile design. (2020). Angelini, Eliana ; Foglia, Matteo. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:21:y:2020:i:c:s1703494920300050.

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2020Setting the margins of Hang Seng Index Futures on different positions using an APARCH-GPD Model based on extreme value theory. (2020). Yu, Wenqiang ; Chen, Yan. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:544:y:2020:i:c:s0378437119318023.

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2020Feedback trading strategies and long-term volatility. (2020). Koulakiotis, Athanasios ; Kiohos, Apostolos ; Babalos, Vassilios ; Kyriakou, Maria I. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:76:y:2020:i:c:p:181-189.

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2020Time-varying linkages among gold, stocks, bonds and real estate. (2020). Yunus, Nafeesa. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:77:y:2020:i:c:p:165-185.

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2020Natural gas price, market fundamentals and hedging effectiveness. (2020). Zhu, Zhen ; Chen, Sheng-Hung ; Chiou-Wei, Song-Zan. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:78:y:2020:i:c:p:321-337.

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2020Composite hedge and utility maximization for optimal futures hedging. (2020). Feng, Yun ; Cui, Yan. In: International Review of Economics & Finance. RePEc:eee:reveco:v:68:y:2020:i:c:p:15-32.

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2021Pandemic-related financial market volatility spillovers: Evidence from the Chinese COVID-19 epicentre. (2021). Oxley, Les ; Corbet, Shaen ; Xu, Danyang ; Hu, Yang ; Hou, Yang. In: International Review of Economics & Finance. RePEc:eee:reveco:v:71:y:2021:i:c:p:55-81.

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2020Are cryptocurrencies a safe haven for equity markets? An international perspective from the COVID-19 pandemic. (2020). Corbet, Shaen ; Conlon, Thomas ; McGee, Richard J. In: Research in International Business and Finance. RePEc:eee:riibaf:v:54:y:2020:i:c:s0275531920304438.

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2020Handling financial risks in crude oil imports: Taking into account crude oil prices as well as country and transportation risks. (2020). Wang, Shuang ; Gu, Yewen ; Lu, Jing ; Wallace, Stein W. In: Transportation Research Part E: Logistics and Transportation Review. RePEc:eee:transe:v:133:y:2020:i:c:s1366554519311883.

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2020Supporting a financially constrained supplier under spectral risk measures: The efficiency of buyer lending. (2020). Gu, Chaocheng ; Li, Yanhai ; Ou, Jinwen. In: Transportation Research Part E: Logistics and Transportation Review. RePEc:eee:transe:v:136:y:2020:i:c:s1366554519312700.

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2020Overreaction in the REITs Market: New Evidence from Quantile Autoregression Approach. (2020). Julio, Ivan F ; Manohar, Catherine Anitha ; Ngene, Geoffrey M. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:11:p:282-:d:445319.

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2020The Role of Redenomination Risk in the Price Evolution of Italian Banks’ CDS Spreads. (2020). Zedda, Stefano ; Toscano, Mario ; Patane, Michele ; Anelli, Michele. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:7:p:150-:d:382904.

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2020Geopolitical Risk and Tourism Stocks of Emerging Economies. (2020). Shahzad, Syed Jawad Hussain ; Naeem, Muhammad Abubakr ; Hasan, Mudassar ; Nor, Safwan Mohd ; Arif, Muhammad. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:21:p:9261-:d:441495.

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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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2020Momentum Strategies with Home Price Indices and Stocks. (2020). Yang, Jing ; Li, Yuming. In: International Real Estate Review. RePEc:ire:issued:v:23:n:02:2020:p:861-892.

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2020The Pricing of Spatial Linkages in Companies’ Underlying Assets. (2020). Milcheva, Stanimira ; Zhu, Bing. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:61:y:2020:i:3:d:10.1007_s11146-018-9666-z.

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2020Safe Assets, Credit Provision and Debt Management. (2020). Chiesa, Gabriella. In: Open Economies Review. RePEc:kap:openec:v:31:y:2020:i:3:d:10.1007_s11079-019-09542-w.

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2020Multiday expected shortfall under generalized t distributions: evidence from global stock market. (2020). Choudhry, Taufiq ; Baker, Rose ; Sorwar, Ghulam ; Iqbal, Robina . In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:55:y:2020:i:3:d:10.1007_s11156-019-00860-1.

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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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2020Banki na progu upad?o?ci – refleksje nad post?powaniem. (2020). Stopczyski, Andrzej R. In: Bank i Kredyt. RePEc:nbp:nbpbik:v:51:y:2020:i:5:p:517-548.

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2020Computationally Efficient Inference in Large Bayesian Mixed Frequency VARs. (2020). Poon, Aubrey ; Gefang, Deborah ; Koop, Gary. In: Economic Statistics Centre of Excellence (ESCoE) Discussion Papers. RePEc:nsr:escoed:escoe-dp-2020-07.

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2020Stock market comovements among Asian emerging economies: A wavelet-based approach. (2020). Joyo, Ahmed Shafique ; Basheer, Muhammad Farhan ; Longsheng, Cheng ; Younis, Ijaz. In: PLOS ONE. RePEc:plo:pone00:0240472.

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2020On the Stationarity of Futures Hedge Ratios. (2020). Degiannakis, Stavros ; Vougas, Dimitrios ; Salvador, Enrique ; Floros, Christos. In: MPRA Paper. RePEc:pra:mprapa:102907.

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2020Asset Classes and Portfolio Diversification: Evidence from a Stochastic Spanning Approach. (2020). Walther, Thomas ; Topaloglou, Nikolas ; Nguyen, Duc Khuong. In: MPRA Paper. RePEc:pra:mprapa:103870.

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2020Do Oil-Price Shocks Predict the Realized Variance of U.S. REITs?. (2020). GUPTA, RANGAN ; Bonato, Matteo ; Pierdzioch, Christian. In: Working Papers. RePEc:pre:wpaper:2020100.

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2020Applying multivariate-fractionally integrated volatility analysis on emerging market bond portfolios. (2020). Unal, Gazanfer ; Demirel, Mustafa. In: Financial Innovation. RePEc:spr:fininn:v:6:y:2020:i:1:d:10.1186_s40854-020-00203-3.

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2020Comparison of Some Static Hedging Models of Agricultural Commodities Price Uncertainty. (2020). SADEFO, Jules ; Moumouni, Zoulkiflou. In: Journal of Quantitative Economics. RePEc:spr:jqecon:v:18:y:2020:i:3:d:10.1007_s40953-020-00206-y.

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2020A robust behavioral portfolio selection: model with investor attitudes and biases. (2020). Seifi, Abbas ; Esfahanipour, Akbar ; Momen, Omid. In: Operational Research. RePEc:spr:operea:v:20:y:2020:i:1:d:10.1007_s12351-017-0330-9.

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2020Debt holder monitoring and implicit guarantees: did the BRRD improve market discipline?. (2020). Cutura, Jannic Alexander. In: ESRB Working Paper Series. RePEc:srk:srkwps:2020111.

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2020Global financial crisis and multiscale systematic risk: Evidence from selected European stock markets. (2020). Hasan, Mohammad S ; Alexandridis, Antonios K. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:25:y:2020:i:4:p:518-546.

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2021Regime switches and permanent changes in impacts of housing risk factors on MSA?level housing returns. (2021). Huang, Meichi. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:1:p:310-342.

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2020A novel risk management framework for natural gas markets. (2020). Pouliasis, Panos ; Visvikis, Ilias D ; Kryukov, Alexander A ; Papapostolou, Nikos C. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:3:p:430-459.

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2020Should investors include Bitcoin in their portfolios? A portfolio theory approach. (2020). Urquhart, Andrew ; Platanakis, Emmanouil. In: The British Accounting Review. RePEc:eee:bracre:v:52:y:2020:i:4:s0890838919300605.

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2020Evaluating sovereign risk spillovers on domestic banks during the European debt crisis. (2020). Keddad, Benjamin ; Schalck, Christophe. In: Economic Modelling. RePEc:eee:ecmode:v:88:y:2020:i:c:p:356-375.

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2020Optimal hedging under biased energy futures markets. (2020). Torro, Hipolit ; Furio, Dolores. In: Energy Economics. RePEc:eee:eneeco:v:88:y:2020:i:c:s014098832030089x.

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2020Systemic risk and financial stability dynamics during the Eurozone debt crisis. (2020). Kouretas, Georgios ; Bratis, Theodoros ; Laopodis, Nikiforos T. In: Journal of Financial Stability. RePEc:eee:finsta:v:47:y:2020:i:c:s1572308920300012.

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2020Beyond common equity: The influence of secondary capital on bank insolvency risk. (2020). Cotter, John ; Conlon, Thomas ; Molyneux, Philip. In: Journal of Financial Stability. RePEc:eee:finsta:v:47:y:2020:i:c:s1572308920300103.

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2020The diabolical sovereigns/banks risk loop: A VAR quantile design. (2020). Angelini, Eliana ; Foglia, Matteo. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:21:y:2020:i:c:s1703494920300050.

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2020Composite hedge and utility maximization for optimal futures hedging. (2020). Feng, Yun ; Cui, Yan. In: International Review of Economics & Finance. RePEc:eee:reveco:v:68:y:2020:i:c:p:15-32.

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2020An energy-based measure for long-run horizon risk quantification. (2020). Maurer, Frantz ; Tzagkarakis, George . In: Annals of Operations Research. RePEc:spr:annopr:v:289:y:2020:i:2:d:10.1007_s10479-020-03609-5.

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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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This paper has another version. Agregated cites: 24
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2012An empirical analysis of dynamic multiscale hedging using wavelet decomposition.(2012) In: Journal of Futures Markets.
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This paper has another version. Agregated cites: 24
article
2011Spectral Risk Measures with an Application to Futures Clearinghouse Variation Margin Requirements In: Papers.
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paper5
2006Spectral Risk Measures with an Application to Futures Clearinghouse Variation Margin Requirements.(2006) In: MPRA Paper.
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This paper has another version. Agregated cites: 5
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2011Spectral Risk Measures with an Application to Futures Clearinghouse Variation Margin Requirements.(2011) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5
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2011Spectral Risk Measures with an Application to Futures Clearinghouse Variation Margin Requirements.(2011) In: Working Papers.
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This paper has another version. Agregated cites: 5
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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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This paper has another version. Agregated cites: 1
article
2007Exponential Spectral Risk Measures.(2007) In: MPRA Paper.
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This paper has another version. Agregated cites: 1
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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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This paper has another version. Agregated cites: 9
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2012Hedging effectiveness under conditions of asymmetry.(2012) In: The European Journal of Finance.
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This paper has another version. Agregated cites: 9
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2011Hedging Effectiveness under Conditions of Asymmetry.(2011) In: Working Papers.
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This paper has another version. Agregated cites: 9
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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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This paper has another version. Agregated cites: 23
article
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2011Varying the VaR for Unconditional and Conditional Environments.(2011) In: Working Papers.
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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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2010Estimating financial risk measures for futures positions: A nonparametric approach.(2010) In: Journal of Futures Markets.
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2010Time Varying Risk Aversion: An Application to Energy Hedging.(2010) In: Working Papers.
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2011Integration and Contagion in US Housing Markets.(2011) In: Working Papers.
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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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