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john cotter : Citation Profile


Are you john cotter?

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

10

H index

10

i10 index

287

Citations

RESEARCH PRODUCTION:

37

Articles

124

Papers

RESEARCH ACTIVITY:

   23 years (1994 - 2017). See details.
   Cites by year: 12
   Journals where john cotter has often published
   Relations with other researchers
   Recent citing documents: 37.    Total self citations: 62 (17.77 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pco227
   Updated: 2018-02-17    RAS profile: 2017-07-11    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Conlon, Thomas (5)

Avino, Davide (4)

Gabriel, Stuart (2)

Hallam, Mark (2)

Rossi, Francesco (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 (14)

Liow, Kim (9)

Bredin, Don (6)

Caporale, Guglielmo Maria (5)

Zhou, Jian (4)

Torro, Hipolit (4)

Žiković, Saša (4)

Filer, Randall (4)

Hou, Yang (3)

Bampinas, Georgios (3)

Panagiotidis, Theodore (3)

Cites to:

Campbell, John (18)

Bekaert, Geert (15)

Bollerslev, Tim (15)

Diebold, Francis (13)

de Vries, Casper (11)

Engle, Robert (11)

Stulz, René (10)

merton, robert (9)

Andersen, Torben (8)

Ang, Andrew (8)

Granger, Clive (8)

Main data


Where john cotter has published?


Journals with more than one article published# docs
Energy Economics4
Journal of Futures Markets4
International Review of Financial Analysis3
The European Journal of Finance3
Journal of Banking & Finance2
Journal of Business Finance & Accounting2
Real Estate Economics2

Working Papers Series with more than one paper published# docs
Working Papers / Geary Institute, University College Dublin50
Papers / arXiv.org36
MPRA Paper / University Library of Munich, Germany34

Recent works citing john cotter (2018 and 2017)


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

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

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

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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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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 J. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:493-507.

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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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2017The price of shelter - Downside risk reduction with precious metals. (2017). 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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2017Hedging and speculative pressures and the transition of the spot-futures relationship in energy and metal markets. (2017). Shi, Yukun ; Park, Jin Suk . In: International Review of Financial Analysis. RePEc:eee:finana:v:54:y:2017:i:c:p:176-191.

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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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2017Optimal hedge ratio in a biased forward market under liquidity constraints. (2017). Dömötör, Barbara ; Domotor, Barbara . In: Finance Research Letters. RePEc:eee:finlet:v:21:y:2017:i:c:p:259-263.

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2017Evaluating the effectiveness of the new EU bank regulatory framework: A farewell to bail-out?. (2017). Benczur, Peter ; Giudici, Marco Petracco ; Maccaferri, Sara ; 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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2017Monetary uncertainty and trade in Eastern Europe and Central Asia: A firm-level analysis. (2017). Martínez-Zarzoso, Inmaculada ; Johannsen, Florian ; Martinez-Zarzoso, Inmaculada. In: International Business Review. RePEc:eee:iburev:v:26:y:2017:i:3:p:476-490.

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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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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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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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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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2017Predictability and co-movement relationships between conventional and Islamic stock market indexes: A multiscale exploration using wavelets. (2017). Saâdaoui, Foued ; Aldohaiman, Mohamed S ; al Dohaiman, Mohamed S ; Naifar, Nader ; Saadaoui, Foued . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:482:y:2017:i:c:p:552-568.

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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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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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2017Construction of Commodity Portfolio and Its Hedge Effectiveness Gauging – Revisiting DCC Models. (2017). Mirovic, Vera ; Njegic, Jovan ; Zivkov, Dejan . In: Czech Journal of Economics and Finance (Finance a uver). RePEc:fau:fauart:v:67:y:2017:i:5:p:396-422.

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2017Asset Co-movements: Features and Challenges. (2017). Gospodinov, Nikolay. In: FRB Atlanta Working Paper. RePEc:fip:fedawp:2017-11.

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

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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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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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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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Works by john cotter:


YearTitleTypeCited
2008Extreme Measures of Agricultural Financial Risk In: Miscellaneous Papers.
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2011Extreme Measures of Agricultural Financial Risk.(2011) In: Papers.
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2012Extreme Measures of Agricultural Financial Risk.(2012) In: Journal of Agricultural Economics.
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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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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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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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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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1994Event Studies of Irish Equities: Earnings Announcements, Seasonality and Size. In: University College Cork - Department of Economics.
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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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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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2012Commodity futures hedging, risk aversion and the hedging horizon In: Working Papers.
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2015Eurozone bank resolution and Bail-In - Intervention, triggers and writedowns In: Working Papers.
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2015Long-run international diversification In: Working Papers.
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2016Credit Default Swaps as Indicators of Bank Financial Distress In: Working Papers.
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2016The Intervaling Effect on Higher-Order Co-Moments In: Working Papers.
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