john cotter : Citation Profile

Are you john cotter?

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

11

H index

13

i10 index

434

Citations

RESEARCH PRODUCTION:

40

Articles

126

Papers

RESEARCH ACTIVITY:

   24 years (1994 - 2018). See details.
   Cites by year: 18
   Journals where john cotter has often published
   Relations with other researchers
   Recent citing documents: 105.    Total self citations: 67 (13.37 %)

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   Permalink: http://citec.repec.org/pco227
   Updated: 2019-07-14    RAS profile: 2019-06-04    
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Relations with other researchers

Works with:

Conlon, Thomas (5)

Avino, Davide (4)

Yilmaz, Kamil (2)

Hallam, Mark (2)

Hanly, Jim (2)

Gabriel, Stuart (2)

Rossi, Francesco (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 (15)

Stevenson, Simon (13)

Liow, Kim (10)

Guidolin, Massimo (8)

Torro, Hipolit (7)

Caporale, Guglielmo Maria (6)

Bredin, Don (6)

Zhou, Jian (5)

Barbi, Massimiliano (5)

Perignon, Christophe (5)

Filer, Randall (4)

Cites to:

Campbell, John (20)

Bollerslev, Tim (17)

Diebold, Francis (15)

Bekaert, Geert (15)

TARAZI, Amine (15)

Engle, Robert (13)

Molyneux, Philip (12)

de Vries, Casper (11)

merton, robert (11)

Stulz, René (10)

Granger, Clive (9)

Main data

Where john cotter has published?

Journals with more than one article published# docs
Journal of Futures Markets4
Energy Economics4
The European Journal of Finance4
International Review of Financial Analysis3
Journal of Banking & Finance2
Journal of Business Finance & Accounting2
European Journal of Operational Research2
Journal of International Money and Finance2
Real Estate Economics2

Working Papers Series with more than one paper published# docs
Working Papers / Geary Institute, University College Dublin53
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. (2018). Kočenda, Evžen ; 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). Bisaglia, Luisa ; Grigoletto, Matteo. 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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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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2017Volatility as an Alternative asset Class: Does It Improve Portfolio Performance?. (2017). Guidolin, Massimo ; Caloiero, Elvira. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1763.

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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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2017Mapping China’s time-varying house price landscape. (2017). Leiva-Leon, Danilo ; Funke, Michael ; Tsang, Andrew. 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). Ilbasmis, Metin ; Zhao, Yuan ; Gronwald, Marc. 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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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 ; Haaj, Grzegorz ; van der Kraaij, Anton ; Perales, Cristian ; Huser, Anne-Caroline. 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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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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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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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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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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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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2017Sovereign default risk linkage: Implication for portfolio diversification. (2017). Hoque, Ariful ; Hassan, Kamrul ; Gasbarro, Dominic . In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:41:y:2017:i:c:p:1-16.

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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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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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2017Growth after Crisis in Europe: An Interdependence of Macroeconomic and Structural Policies. (2017). Islam, Roumeen. In: Cyprus Economic Policy Review. RePEc:erc:cypepr:v:11:y:2017:i:2:p:19-62.

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

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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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2017REITs and Market Microstructure: A Comprehensive Analysis of Market Quality. (2017). Jain, Pawan ; Westby-Gibson, Janean K ; Sunderman, Mark . In: Journal of Real Estate Research. RePEc:jre:issued:v:39:n:1:2017:p:65_98.

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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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2017Setting the futures margin with price limits: the case for single-stock futures. (2017). Fung, Hung-Gay ; Tse, Yiuman ; Chou, Jian-Hsin ; Chen, Chen-Yu . In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:48:y:2017:i:1:d:10.1007_s11156-015-0548-7.

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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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2018Comparison of the Impact of Econometric Models on Hedging Performance by Crude Oil and Natural Gas. (2018). Benada, Ludk. In: Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis. RePEc:mup:actaun:actaun_2018066020423.

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2018Bank-Insurance Risk Spillovers: Evidence from Europe. (2018). Dreassi, Alberto ; Sclip, Alex ; Paltrinieri, Andrea ; Miani, Stefano. In: The Geneva Papers on Risk and Insurance - Issues and Practice. RePEc:pal:gpprii:v:43:y:2018:i:1:d:10.1057_s41288-017-0049-0.

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2017Top-down restructuring of markets and institutions: the Nordic banking crises. (2017). Mayes, David G. In: Journal of Banking Regulation. RePEc:pal:jbkreg:v:18:y:2017:i:3:d:10.1057_s41261-016-0006-z.

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2017On the effects of static and autoregressive conditional higher order moments on dynamic optimal hedging. (2017). Hou, Yang ; Holmes, Mark. In: MPRA Paper. RePEc:pra:mprapa:82000.

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2019Influence of US Presidential Terms on S&P500 Index Using a Time Series Analysis Approach. (2019). Ogbonna, Ahamuefula ; Yaya, Olaoluwa S ; Mudida, Robert ; Gil-Alana, Luis A ; Osuolale, Kazeem. In: MPRA Paper. RePEc:pra:mprapa:93941.

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2018The Employment Cost of Sovereign Default. (2018). Balke, Neele . In: 2018 Meeting Papers. RePEc:red:sed018:1256.

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2018Bail-in vs. Bailout: a False Dilemma?. (2018). Pandolfi, Lorenzo. In: CSEF Working Papers. RePEc:sef:csefwp:499.

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2018Ex-ante real estate Value at Risk calculation method. (2018). Barthélémy, Fabrice ; Amedee-Manesme, Charles-Olivier. In: Annals of Operations Research. RePEc:spr:annopr:v:262:y:2018:i:2:d:10.1007_s10479-015-2046-7.

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2017Multiscale correlation networks analysis of the US stock market: a wavelet analysis. (2017). Wang, Gang-Jin ; Chen, Shou ; Xie, Chi. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:12:y:2017:i:3:d:10.1007_s11403-016-0176-x.

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2017Banking integration and house price comovement. (2017). Landier, Augustin ; David, David Sraerauthor-Name. In: ESRB Working Paper Series. RePEc:srk:srkwps:201748.

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2017Normality Tests for Dependent Data. (2017). Vavra, Marian ; Psaradakis, Zacharias. In: Working and Discussion Papers. RePEc:svk:wpaper:1053.

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2017Bayesian modeling of dynamic extreme values: extension of generalized extreme value distributions with latent stochastic processes. (2017). Omori, Yasuhiro ; Kunihama, Tsuyoshi ; Nakajima, Jouchi. In: Journal of Applied Statistics. RePEc:taf:japsta:v:44:y:2017:i:7:p:1248-1268.

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2019Co-movement between the US and the securitised real estate markets of the Asian-Pacific economies. (2019). Huang, Yuting ; Li, Qiang ; Zhou, Xiaoxia ; Liow, Kim Hiang. In: Journal of Property Research. RePEc:taf:jpropr:v:36:y:2019:i:1:p:27-58.

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2017Measuring the unmeasurable: an application of uncertainty quantification to Treasury bond portfolios. (2017). Chen, Jingnan ; Sowers, Richard B ; Flood, Mark D. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:10:p:1491-1507.

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2019Nowhere to Run, Nowhere to Hide - Asset Diversification in a Flat World. (2019). Roll, Richard ; Gabriel, Stuart ; Cotter, John. In: Working Papers. RePEc:ucd:wpaper:201909.

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2019Market openness and market quality in gold markets. (2019). Zhang, Dong ; Xu, Caihong . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:3:p:384-401.

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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.
[Citation analysis]
This paper has another version. Agregated cites: 18		article
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.
[Full Text][Citation analysis]		paper0
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.
[Full Text][Citation analysis]		paper7
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.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7		article
2011Hedging Effectiveness under Conditions of Asymmetry.(2011) In: Working Papers.
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This paper has another version. Agregated cites: 7		paper
2011Margin setting with high-frequency data1 In: Papers.
[Full Text][Citation analysis]		paper0
2011Modeling Long Memory in REITs In: Papers.
[Full Text][Citation analysis]		paper17
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.
[Full Text][Citation analysis]		paper0
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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This paper has another version. Agregated cites: 0		paper
2004Minimum capital requirement calculations for UK futures.(2004) In: Journal of Futures Markets.
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This paper has another version. Agregated cites: 0		article
2011Uncovering Volatility Dynamics in Daily REIT Returns In: Papers.
[Full Text][Citation analysis]		paper9
2005Uncovering Volatility Dynamics in Daily REIT Returns.(2005) In: MPRA Paper.
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This paper has another version. Agregated cites: 9		paper
2011Tail Behaviour of the Euro In: Papers.
[Full Text][Citation analysis]		paper5
2005Tail Behaviour of the Euro.(2005) In: MPRA Paper.
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This paper has another version. Agregated cites: 5		paper
2005Tail behaviour of the euro.(2005) In: Applied Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5		article
2011Tail Behaviour of the Euro.(2011) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5		paper
2011Varying the VaR for Unconditional and Conditional Environments In: Papers.
[Full Text][Citation analysis]		paper16
2007Varying the VaR for unconditional and conditional environments.(2007) In: Journal of International Money and Finance.
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This paper has another version. Agregated cites: 16		article
2004Varying the VaR for Unconditional and Conditional Environments,.(2004) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 16		paper
2011Varying the VaR for Unconditional and Conditional Environments.(2011) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 16		paper
2011Uncovering Long Memory in High Frequency UK Futures In: Papers.
[Full Text][Citation analysis]		paper17
2004Uncovering Long Memory in High Frequency UK Futures.(2004) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 17		paper
2005Uncovering long memory in high frequency UK futures.(2005) In: The European Journal of Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 17		article
2011Uncovering Long Memory in High Frequency UK Futures.(2011) In: Working Papers.
[Full Text][Citation analysis]
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2011Extreme Spectral Risk Measures: An Application to Futures Clearinghouse Margin Requirements In: Papers.
[Full Text][Citation analysis]		paper28
2006Extreme spectral risk measures: An application to futures clearinghouse margin requirements.(2006) In: Journal of Banking & Finance.
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This paper has another version. Agregated cites: 28		article
2006Extreme Spectral Risk Measures: An Application to Futures Clearinghouse Margin Requirements.(2006) In: MPRA Paper.
[Full Text][Citation analysis]
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2011Extreme Spectral Risk Measures: An Application to Futures Clearinghouse Margin Requirements.(2011) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 28		paper
2011Implied correlation from VaR In: Papers.
[Full Text][Citation analysis]		paper1
2006Implied correlation from VaR.(2006) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		paper
2011Implied Correlation from VaR.(2011) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		paper
2011Modelling catastrophic risk in international equity markets: An extreme value approach In: Papers.
[Full Text][Citation analysis]		paper1
2006Modelling catastrophic risk in international equity markets: An extreme value approach.(2006) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		paper
2006Modelling catastrophic risk in international equity markets: an extreme value approach.(2006) In: Applied Financial Economics Letters.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		article
2011Modelling Catastrophic Risk in International Equity Markets: An Extreme Value Approach.(2011) In: Working Papers.
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This paper has another version. Agregated cites: 1		paper
2011U.S. Core Inflation: A Wavelet Analysis In: Papers.
[Full Text][Citation analysis]		paper11
2011U.S. CORE INFLATION: A WAVELET ANALYSIS.(2011) In: Macroeconomic Dynamics.
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This paper has another version. Agregated cites: 11		article
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.
[Full Text][Citation analysis]		paper60
2006Multivariate Modeling of Daily REIT Volatility.(2006) In: The Journal of Real Estate Finance and Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 60		article
2005Multivariate Modeling of Daily REIT Volatility.(2005) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 60		paper
2011Multivariate Modelling of Daily REIT Volatility.(2011) In: Working Papers.
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This paper has another version. Agregated cites: 60		paper
2011The tail risks of FX return distributions: a comparison of the returns associated with limit orders and market orders In: Papers.
[Full Text][Citation analysis]		paper2
2007The tail risks of FX return distributions: A comparison of the returns associated with limit orders and market orders.(2007) In: Finance Research Letters.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		article
2007The tail risks of FX return distributions: a comparison of the returns associated with limit orders and market orders.(2007) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		paper
2011Intra-Day Seasonality in Foreign Exchange Market Transactions In: Papers.
[Full Text][Citation analysis]		paper2
2010Intra-day seasonality in foreign exchange market transactions.(2010) In: International Review of Economics & Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		article
2007Intra-Day Seasonality in Foreign Exchange Market Transactions.(2007) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		paper
2011Evaluating the Precision of Estimators of Quantile-Based Risk Measures In: Papers.
[Full Text][Citation analysis]		paper2
2007Evaluating the Precision of Estimators of Quantile-Based Risk Measures.(2007) In: MPRA Paper.
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This paper has another version. Agregated cites: 2		paper
2011Evaluating the Precision of Estimators of Quantile-Based Risk Measures.(2011) In: Working Papers.
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This paper has another version. Agregated cites: 2		paper
2011Estimating financial risk measures for futures positions: a non-parametric approach In: Papers.
[Full Text][Citation analysis]		paper7
2007Estimating financial risk measures for futures positions: a non-parametric approach.(2007) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7		paper
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.
[Full Text][Citation analysis]		paper0
2011How Unlucky is 25-Sigma? In: Papers.
[Full Text][Citation analysis]		paper6
2010How Unlucky is 25-Sigma?.(2010) In: Working Papers.
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This paper has another version. Agregated cites: 6		paper
2011Spectral Risk Measures: Properties and Limitations In: Papers.
[Full Text][Citation analysis]		paper21
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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This paper has another version. Agregated cites: 21		paper
2011Extreme Measures of Agricultural Financial Risk In: Papers.
[Full Text][Citation analysis]		paper4
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.
[Full Text][Citation analysis]		paper0
2010Scaling conditional tail probability and quantile estimators.(2010) In: Working Papers.
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This paper has another version. Agregated cites: 0		paper
2011Hedging: Scaling and the Investor Horizon In: Papers.
[Full Text][Citation analysis]		paper1
2010Hedging: Scaling and the Investor Horizon.(2010) In: Working Papers.
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This paper has another version. Agregated cites: 1		paper
2011Time Varying Risk Aversion: An Application to Energy Hedging In: Papers.
[Full Text][Citation analysis]		paper6
2010Time-varying risk aversion: An application to energy hedging.(2010) In: Energy Economics.
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This paper has another version. Agregated cites: 6		article
2010Time Varying Risk Aversion: An Application to Energy Hedging.(2010) In: Working Papers.
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This paper has another version. Agregated cites: 6		paper
2011Housing risk and return: Evidence from a housing asset-pricing model In: Papers.
[Full Text][Citation analysis]		paper8
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.
[Full Text][Citation analysis]		paper5
2010A Comparative Anatomy of REITs and Residential Real Estate Indexes: Returns, Risks and Distributional Characteristics.(2010) In: Working Papers.
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This paper has another version. Agregated cites: 5		paper
2011A Utility Based Approach to Energy Hedging In: Papers.
[Full Text][Citation analysis]		paper8
2012A utility based approach to energy hedging.(2012) In: Energy Economics.
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This paper has another version. Agregated cites: 8		article
2011A Utility Based Approach to Energy Hedging.(2011) In: Working Papers.
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2011Absolute Return Volatility In: Papers.
[Full Text][Citation analysis]		paper1
2005Absolute Return Volatility.(2005) In: MPRA Paper.
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2005Absolute Return Volatility.(2005) In: MPRA Paper.
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This paper has another version. Agregated cites: 1		paper
2011Absolute Return Volatility.(2011) In: Working Papers.
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2011Financial Risks and the Pension Protection Fund: Can it Survive Them? In: Papers.
[Full Text][Citation analysis]		paper1
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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2012Can metropolitan housing risk be diversified? A cautionary tale from the recent boom and bust.(2012) In: Working Papers.
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2014Anatomy of a Bail-In In: Papers.
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2014Anatomy of a bail-in.(2014) In: Journal of Financial Stability.
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2014Anatomy of a Bail-In.(2014) In: Working 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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2014The non-linear trade-off between return and risk: a regime-switching multi-factor framework.(2014) In: Working Papers.
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2008VOLATILITY AND IRISH EXPORTS In: Economic Inquiry.
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2005Volatility and Irish Exports.(2005) In: MPRA Paper.
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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 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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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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2012Downside risk and the energy hedgers horizon.(2012) In: Working Papers.
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2015Performance of utility based hedges In: Energy Economics.
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2014Performance of Utility Based Hedges.(2014) In: Working Papers.
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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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2014The Conditional Pricing of Systematic and Idiosyncratic Risk in the UK Equity Market.(2014) 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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2014Sovereign and bank CDS spreads: Two sides of the same coin? In: Journal of International Financial Markets, Institutions and Money.
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2014Sovereign and bank CDS spreads: two sides of the same coin?.(2014) In: MPRA Paper.
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2014Sovereign and bank CDS spreads: two sides of the same coin?.(2014) In: Working Papers.
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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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1994Event Studies of Irish Equities: Earnings Announcements, Seasonality and Size. In: University College Cork - Department of Economics.
[Citation analysis]		paper0
2017Mixed-Frequency Macro-Financial Spillovers In: Koç University-TUSIAD Economic Research Forum Working Papers.
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2017Mixed-frequency macro-financial spillovers.(2017) In: Working Papers.
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2004Realized volatility and minimum capital requirements In: Money Macro and Finance (MMF) Research Group Conference 2003.
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2015Can Housing Risk Be Diversified? A Cautionary Tale from the Housing Boom and Bust In: Review of Financial Studies.
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2014Can housing risk be diversified? A cautionary tale from the housing boom and bust.(2014) In: Working Papers.
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2006Real & Nominal Foreign Exchange Volatility Effects on Exports – The Importance of Timing In: MPRA Paper.
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2005Re-evaluating Hedging Performance In: MPRA Paper.
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2011Re-evaluating Hedging Performance.(2011) In: Working Papers.
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2006Reevaluating hedging performance.(2006) In: Journal of Futures Markets.
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2006Margin setting with high-frequency data In: MPRA Paper.
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2004Modelling extreme financial returns of global equity markets In: MPRA Paper.
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2000Volatility and the Euro: an Irish perspective In: MPRA Paper.
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2007Extreme risk in Asian equity markets In: MPRA Paper.
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2004Downside Risk for European Equity Markets In: MPRA Paper.
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2004Downside risk for European equity markets.(2004) In: Applied Financial Economics.
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2013Sovereign and bank CDS spreads: two sides of the same coin for European bank default predictability? In: MPRA Paper.
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2005Extreme risk in futures contracts In: Applied Economics Letters.
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2006Extreme Value Estimation of Boom and Crash Statistics In: The European Journal of Finance.
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2016Commodity futures hedging, risk aversion and the hedging horizon In: The European Journal of Finance.
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2012Commodity futures hedging, risk aversion and the hedging horizon.(2012) In: Working Papers.
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2011Margin Requirements with Intraday Dynamics In: Working Papers.
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2011Real and Nominal Foreign Exchange Volatility Effects on Exports – The Importance of Timing In: Working Papers.
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2011Intra-Day Seasonality in Foreign Market Transactions In: Working Papers.
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2011Intra-Day Seasonality in Foreign Market Transactions.(2011) In: Working Papers.
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2011Intra-Day Seasonality in Foreign Market Transactions.(2011) In: Working Papers.
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2012What Should Be Done About The Underfunding of Defined Benefit Pension Schemes? In: Working Papers.
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2015Subordinate Resolution - An Empirical Analysis of European Union Subsidiary Banks In: Working Papers.
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2015Long-run international diversification In: Working Papers.
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2016The Intervaling Effect on Higher-Order Co-Moments In: Working Papers.
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2016Nowhere to run, nowhere to hide: asset diversification in a flat world In: Working Papers.
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2018Are equity market anomalies disappearing? Evidence from the U.K. In: Working Papers.
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2018Spillovers in Risk of Financial Institutions In: Working Papers.
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2018Beyond Common Equity - The Influence of Secondary Capital on Bank Insolvency Risk In: Working Papers.
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