17
H index
25
i10 index
788
Citations
john cotter : Citation Profile
University College Dublin | RESEARCH PRODUCTION: 44 Articles 136 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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28 years (1994 - 2022). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with john cotter. | Is cited by:
| Cites to:
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Main data
Where john cotter has published?
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Working Papers / Geary Institute, University College Dublin | 61 |
| Papers / arXiv.org | 37 |
| MPRA Paper / University Library of Munich, Germany | 34 |
Recent works citing john cotter (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | Kernel Based Estimation of Spectral Risk Measures. (2019). Sen, Rituparna ; Biswas, Suparna . In: Papers. RePEc:arx:papers:1903.03304. Full description at Econpapers || Download paper |
| 2023 | Multinomial Backtesting of Distortion Risk Measures. (2022). Kim, Sojung ; Bettels, Soren ; Weber, Stefan. In: Papers. RePEc:arx:papers:2201.06319. Full description at Econpapers || Download paper |
| 2023 | Adaptive hedging horizon and hedging performance estimation. (2023). Han, Qing ; Di, Junpeng ; Haoyu, Wang. In: Papers. RePEc:arx:papers:2302.00251. Full description at Econpapers || Download paper |
| 2023 | Mean-variance hybrid portfolio optimization with quantile-based risk measure. (2023). Zhou, KE ; Gao, Jianjun ; Lin, YU ; Wu, Weiping. In: Papers. RePEc:arx:papers:2303.15830. Full description at Econpapers || Download paper |
| 2023 | Monetary policy, ownership structure, and risk?taking at financial intermediaries. (2023). Figueira, Catarina ; Caselli, Giorgio. In: The Financial Review. RePEc:bla:finrev:v:58:y:2023:i:1:p:167-191. Full description at Econpapers || Download paper |
| 2023 | Co?movement among oil, stock, bond, and housing markets: An analysis of U.S., Asian, and European economies. (2023). Yunus, Nafeesa. In: International Review of Finance. RePEc:bla:irvfin:v:23:y:2023:i:2:p:393-436. Full description at Econpapers || Download paper |
| 2023 | Nature of comovements in US state and MSA housing prices. (2023). Banerjee, Piyali ; Lee, Junsoo ; Lu, Yan ; Tidwell, Alan. In: Real Estate Economics. RePEc:bla:reesec:v:51:y:2023:i:4:p:959-989. Full description at Econpapers || Download paper |
| 2023 | Competition and Risk Taking in Local Bank Markets: Evidence from the Business Loans Segment. (2023). Ulsaker, Simen ; Nilsen, Oivind Anti ; Canta, Chiara. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10448. Full description at Econpapers || Download paper |
| 2023 | Quantifying Systemic Risk in the Presence of Unlisted Banks: Application to the European Banking Sector. (2023). van Wijnbergen, Sweder ; Dimitrov, Daniel. In: Working Papers. RePEc:dnb:dnbwpp:768. Full description at Econpapers || Download paper |
| 2023 | Bidding strategy of integrated energy system considering decision maker’s subjective risk aversion. (2023). Yu, Feng ; Liu, Chuanquan ; Zhou, Qihui. In: Applied Energy. RePEc:eee:appene:v:341:y:2023:i:c:s0306261923004932. Full description at Econpapers || Download paper |
| 2023 | Inter-regional dependence of J-REIT stock prices: A heteroscedasticity-robust time series approach. (2023). Iitsuka, Yoshitaka ; Motegi, Kaiji. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822001759. Full description at Econpapers || Download paper |
| 2023 | Corporate credit risk counter-cyclical interdependence: A systematic analysis of cross-border and cross-sector correlation dynamics. (2023). Christopoulos, Apostolos ; Zopounidis, Constantin ; Karanasos, Menelaos ; Yfanti, Stavroula. In: European Journal of Operational Research. RePEc:eee:ejores:v:304:y:2023:i:2:p:813-831. Full description at Econpapers || Download paper |
| 2023 | Hedging with automatic liquidation and leverage selection on bitcoin futures. (2023). Zou, Bin ; Deng, Jun ; Alexander, Carol. In: European Journal of Operational Research. RePEc:eee:ejores:v:306:y:2023:i:1:p:478-493. Full description at Econpapers || Download paper |
| 2023 | Modeling and forecasting dynamic conditional correlations with opening, high, low, and closing prices. (2023). Fiszeder, Piotr ; Molnar, Peter ; Fadziski, Marcin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:308-321. Full description at Econpapers || Download paper |
| 2023 | Competition and risk taking in local bank markets: Evidence from the business loans segment. (2023). Ulsaker, Simen ; Nilsen, Øivind ; Canta, Chiara. In: Journal of Empirical Finance. RePEc:eee:empfin:v:73:y:2023:i:c:p:153-169. Full description at Econpapers || Download paper |
| 2023 | Revisiting the pricing benchmarks for Asian LNG — An equilibrium analysis. (2023). Luo, Meifeng ; Wu, Shining ; Yang, Dong ; Zhang, Lingge. In: Energy. RePEc:eee:energy:v:262:y:2023:i:pa:s0360544222023088. Full description at Econpapers || Download paper |
| 2023 | The equity-oil hedge: A comparison between volatility and alternative risk frameworks. (2023). Kuang, Wei. In: Energy. RePEc:eee:energy:v:271:y:2023:i:c:s0360544223004395. Full description at Econpapers || Download paper |
| 2023 | A novel downside beta and expected stock returns. (2023). Liu, Jinjing. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922004057. Full description at Econpapers || Download paper |
| 2023 | Measuring minimum variance hedging effectiveness: Traditional vs. sophisticated models. (2023). Karmakar, Madhusudan ; Sharma, Udayan. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001370. Full description at Econpapers || Download paper |
| 2023 | Not a short-run noise! The low-frequency volatility of energy inflation. (2023). Giri, Federico ; Andreani, Michele. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322006535. Full description at Econpapers || Download paper |
| 2023 | Can bonds hedge stock market risks? Green bonds vs conventional bonds. (2023). Yoon, Seong-Min ; Nie, Siyue ; Xiong, Youlin ; Dong, Xiyong. In: Finance Research Letters. RePEc:eee:finlet:v:52:y:2023:i:c:s154461232200544x. Full description at Econpapers || Download paper |
| 2023 | The mitigation role of corporate sustainability: Evidence from the CDS spread. (2023). la Rosa, Giovanni ; Galloppo, Giuseppe ; Caiazza, Stefano. In: Finance Research Letters. RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322007371. Full description at Econpapers || Download paper |
| 2023 | Inflation and systemic risk: A network econometric model. (2023). Rambaud, Salvador Cruz ; Garcia, Javier Sanchez. In: Finance Research Letters. RePEc:eee:finlet:v:56:y:2023:i:c:s1544612323004762. Full description at Econpapers || Download paper |
| 2023 | CEO power, bank risk-taking and national culture: International evidence. (2023). Amini, Shima ; Murinde, Victor ; Uddin, Moshfique ; Pour, Eilnaz Kashefi. In: Journal of Financial Stability. RePEc:eee:finsta:v:67:y:2023:i:c:s1572308923000335. Full description at Econpapers || Download paper |
| 2023 | Forecasts of the real price of oil revisited: Do they beat the random walk?. (2023). Snudden, Stephen ; Ellwanger, Reinhard. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:154:y:2023:i:c:s0378426623001619. Full description at Econpapers || Download paper |
| 2023 | How ‘bad’ is renter protection for institutional investment in multifamily housing?. (2023). Milcheva, Stanimira ; McCollum, Meagan. In: Journal of Housing Economics. RePEc:eee:jhouse:v:59:y:2023:i:pa:s1051137722000845. Full description at Econpapers || Download paper |
| 2023 | Does safe haven exist? Tail risks of commodity markets during COVID-19 pandemic. (2023). Stankov, Petar ; Mensi, Walid ; Enilov, Martin. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:29:y:2023:i:c:s2405851322000642. Full description at Econpapers || Download paper |
| 2023 | Composite jet fuel cross-hedging. (2023). Conlon, Thomas ; Cao, Min. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851322000289. Full description at Econpapers || Download paper |
| 2023 | Commodity futures return predictability and intertemporal asset pricing. (2023). Poti, Valerio ; Eyiah-Donkor, Emmanuel ; Cotter, John. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:31:y:2023:i:c:s2405851322000460. Full description at Econpapers || Download paper |
| 2023 | Testing the forecasting power of global economic conditions for the volatility of international REITs using a GARCH-MIDAS approach. (2023). Salisu, Afees ; GUPTA, RANGAN ; Bouri, Elie. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:88:y:2023:i:c:p:303-314. Full description at Econpapers || Download paper |
| 2023 | Long-run and short-run impact of the U.S. economy on stock, bond and housing markets: An evaluation of U.S. and six major economies. (2023). Yunus, Nafeesa. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:90:y:2023:i:c:p:211-232. Full description at Econpapers || Download paper |
| 2023 | Nonlinearity in forecasting energy commodity prices: Evidence from a focused time-delayed neural network. (2023). Abedin, Mohammad Zoynul ; Fisher, Ben ; Hajek, Petr ; Bouteska, Ahmed. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531922002495. Full description at Econpapers || Download paper |
| 2023 | New Classes of Distortion Risk Measures and Their Estimation. (2023). Wang, Xiwen ; Sepanski, Jungsywan H. In: Risks. RePEc:gam:jrisks:v:11:y:2023:i:11:p:194-:d:1277752. Full description at Econpapers || Download paper |
| 2023 | Competition and risk taking in local bank markets: evidence from the business loans segment. (2023). Ulsaker, Simen ; Nilsen, Oivind A ; Canta, Chiara. In: Discussion Paper Series in Economics. RePEc:hhs:nhheco:2023_010. Full description at Econpapers || Download paper |
| 2023 | Hedging With Futures: Contract in the Indian Stock Market. (2023). Krishnan, Deepika. In: International Journal of Applied Behavioral Economics (IJABE). RePEc:igg:jabe00:v:12:y:2023:i:1:p:1-18. Full description at Econpapers || Download paper |
| 2023 | Fractional Integration and Volatility Transmission Between Real Estate and Stock Markets: Novel Evidence from a FIGARCH-BEKK Approach. (2023). Babalos, Vassilios ; Kiohos, Apostolos ; Koulakiotis, Athanasios ; Kyriakou, Maria I. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:66:y:2023:i:4:d:10.1007_s11146-021-09879-5. Full description at Econpapers || Download paper |
| 2023 | The Predictability of Real Estate Excess Returns: An Out-of-Sample Economic Value Analysis. (2023). Guidolin, Massimo ; Petrova, Milena T ; Pedio, Manuela. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:67:y:2023:i:1:d:10.1007_s11146-020-09769-2. Full description at Econpapers || Download paper |
| 2023 | Housing Risk and Returns in Submarkets with Spatial Dependence and Heterogeneity. (2023). Earl, G ; Morawakage, P S ; Omura, A ; Roca, E ; Liu, B. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:67:y:2023:i:4:d:10.1007_s11146-021-09877-7. Full description at Econpapers || Download paper |
| 2023 | Hedging performance of volatility index futures: a partial cointegration approach. (2023). Sheu, Her-Jiun ; Lien, Donald ; Lee, Hsiu-Chuan. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:61:y:2023:i:1:d:10.1007_s11156-023-01153-4. Full description at Econpapers || Download paper |
| 2023 | Common risk factors and risk–return trade-off for REITs and treasuries. (2023). Tewari, Manish ; ben Bouheni, Faten. In: Journal of Asset Management. RePEc:pal:assmgt:v:24:y:2023:i:5:d:10.1057_s41260-023-00309-0. Full description at Econpapers || Download paper |
| 2023 | Reassessing bank monitoring models: an empirical analysis of the value of market signals in the period 2008–2020. (2023). Pacheco, Luis ; Lobo, Julio ; Costa, Tania. In: Journal of Banking Regulation. RePEc:pal:jbkreg:v:24:y:2023:i:2:d:10.1057_s41261-022-00194-4. Full description at Econpapers || Download paper |
| 2023 | Decoupling VaR and regulatory capital: an examination of practitioners’ experience of market risk regulation. (2023). Killian, Sheila ; Cummins, Mark ; McCullagh, Orla. In: Journal of Banking Regulation. RePEc:pal:jbkreg:v:24:y:2023:i:3:d:10.1057_s41261-022-00199-z. Full description at Econpapers || Download paper |
| 2023 | Optimal futures hedging by using realized semicovariances: The information contained in signed high?frequency returns. (2023). Lai, Yusheng. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:5:p:677-701. Full description at Econpapers || Download paper |
Works by john cotter:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2011 | An Empirical Analysis of Dynamic Multiscale Hedging using Wavelet Decomposition In: Papers. [Full Text][Citation analysis] | paper | 34 |
| 2011 | An Empirical Analysis of Dynamic Multiscale Hedging using Wavelet Decomposition.(2011) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 34 | paper | |
| 2012 | An empirical analysis of dynamic multiscale hedging using wavelet decomposition.(2012) In: Journal of Futures Markets. [Citation analysis] This paper has nother version. Agregated cites: 34 | article | |
| 2011 | Spectral Risk Measures with an Application to Futures Clearinghouse Variation Margin Requirements In: Papers. [Full Text][Citation analysis] | paper | 8 |
| 2006 | Spectral Risk Measures with an Application to Futures Clearinghouse Variation Margin Requirements.(2006) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | paper | |
| 2011 | Spectral Risk Measures with an Application to Futures Clearinghouse Variation Margin Requirements.(2011) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | paper | |
| 2011 | Spectral Risk Measures with an Application to Futures Clearinghouse Variation Margin Requirements.(2011) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | paper | |
| 2011 | Exponential Spectral Risk Measures In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2007 | Exponential Spectral Risk Measures.(2007) In: The IUP Journal of Financial Economics. [Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
| 2007 | Exponential Spectral Risk Measures.(2007) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2011 | Hedging Effectiveness under Conditions of Asymmetry In: Papers. [Full Text][Citation analysis] | paper | 17 |
| 2007 | Hedging Effectiveness under Conditions of Asymmetry.(2007) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 17 | paper | |
| 2012 | Hedging effectiveness under conditions of asymmetry.(2012) In: The European Journal of Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 17 | article | |
| 2011 | Hedging Effectiveness under Conditions of Asymmetry.(2011) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 17 | paper | |
| 2011 | Margin setting with high-frequency data1 In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2011 | Modeling Long Memory in REITs In: Papers. [Full Text][Citation analysis] | paper | 34 |
| 2008 | Modeling Long Memory in REITs.(2008) In: Real Estate Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 34 | article | |
| 2007 | Modeling Long Memory in REITs.(2007) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 34 | paper | |
| 2011 | Modelling Long Memory in REITs.(2011) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 34 | paper | |
| 2011 | Minimum Capital Requirement Calculations for UK Futures In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2004 | Minimum Capital Requirement Calculations for UK Futures.(2004) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2011 | Minimum Capital Requirement Calculations for UK Futures.(2011) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2004 | Minimum capital requirement calculations for UK futures.(2004) In: Journal of Futures Markets. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2011 | Uncovering Volatility Dynamics in Daily REIT Returns In: Papers. [Full Text][Citation analysis] | paper | 9 |
| 2005 | Uncovering Volatility Dynamics in Daily REIT Returns.(2005) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | paper | |
| 2011 | Tail Behaviour of the Euro In: Papers. [Full Text][Citation analysis] | paper | 5 |
| 2005 | Tail Behaviour of the Euro.(2005) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
| 2005 | Tail behaviour of the euro.(2005) In: Applied Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | article | |
| 2011 | Tail Behaviour of the Euro.(2011) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
| 2011 | Varying the VaR for Unconditional and Conditional Environments In: Papers. [Full Text][Citation analysis] | paper | 18 |
| 2007 | Varying the VaR for unconditional and conditional environments.(2007) In: Journal of International Money and Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 18 | article | |
| 2004 | Varying the VaR for Unconditional and Conditional Environments,.(2004) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 18 | paper | |
| 2011 | Varying the VaR for Unconditional and Conditional Environments.(2011) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 18 | paper | |
| 2011 | Uncovering Long Memory in High Frequency UK Futures In: Papers. [Full Text][Citation analysis] | paper | 21 |
| 2004 | Uncovering Long Memory in High Frequency UK Futures.(2004) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 21 | paper | |
| 2005 | Uncovering long memory in high frequency UK futures.(2005) In: The European Journal of Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 21 | article | |
| 2011 | Uncovering Long Memory in High Frequency UK Futures.(2011) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 21 | paper | |
| 2011 | Extreme Spectral Risk Measures: An Application to Futures Clearinghouse Margin Requirements In: Papers. [Full Text][Citation analysis] | paper | 36 |
| 2006 | Extreme spectral risk measures: An application to futures clearinghouse margin requirements.(2006) In: Journal of Banking & Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 36 | article | |
| 2006 | Extreme Spectral Risk Measures: An Application to Futures Clearinghouse Margin Requirements.(2006) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 36 | paper | |
| 2011 | Extreme Spectral Risk Measures: An Application to Futures Clearinghouse Margin Requirements.(2011) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 36 | paper | |
| 2011 | Implied correlation from VaR In: Papers. [Full Text][Citation analysis] | paper | 3 |
| 2006 | Implied correlation from VaR.(2006) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 2011 | Implied Correlation from VaR.(2011) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 2011 | Modelling catastrophic risk in international equity markets: An extreme value approach In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2006 | Modelling catastrophic risk in international equity markets: An extreme value approach.(2006) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2011 | Modelling Catastrophic Risk in International Equity Markets: An Extreme Value Approach.(2011) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2011 | U.S. Core Inflation: A Wavelet Analysis In: Papers. [Full Text][Citation analysis] | paper | 14 |
| 2011 | U.S. CORE INFLATION: A WAVELET ANALYSIS.(2011) In: Macroeconomic Dynamics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | article | |
| 2006 | U.S. Core Inflation: A Wavelet Analysis.(2006) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
| 2011 | U.S. Core Inflation: A Wavelet Analysis.(2011) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
| 2011 | Multivariate Modeling of Daily REIT Volatility In: Papers. [Full Text][Citation analysis] | paper | 80 |
| 2006 | Multivariate Modeling of Daily REIT Volatility.(2006) In: The Journal of Real Estate Finance and Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 80 | article | |
| 2005 | Multivariate Modeling of Daily REIT Volatility.(2005) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 80 | paper | |
| 2011 | Multivariate Modelling of Daily REIT Volatility.(2011) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 80 | paper | |
| 2011 | The tail risks of FX return distributions: a comparison of the returns associated with limit orders and market orders In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2007 | The 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 nother version. Agregated cites: 2 | article | |
| 2007 | The 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 nother version. Agregated cites: 2 | paper | |
| 2011 | Intra-Day Seasonality in Foreign Exchange Market Transactions In: Papers. [Full Text][Citation analysis] | paper | 3 |
| 2010 | Intra-day seasonality in foreign exchange market transactions.(2010) In: International Review of Economics & Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
| 2007 | Intra-Day Seasonality in Foreign Exchange Market Transactions.(2007) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 2011 | Evaluating the Precision of Estimators of Quantile-Based Risk Measures In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2007 | Evaluating the Precision of Estimators of Quantile-Based Risk Measures.(2007) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2011 | Evaluating the Precision of Estimators of Quantile-Based Risk Measures.(2011) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2011 | Estimating financial risk measures for futures positions: a non-parametric approach In: Papers. [Full Text][Citation analysis] | paper | 9 |
| 2007 | Estimating financial risk measures for futures positions: a non-parametric approach.(2007) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | paper | |
| 2011 | Estimating Financial Risk Measures for Futures Positions:A Non-Parametric Approach.(2011) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | paper | |
| 2010 | Estimating financial risk measures for futures positions: A nonparametric approach.(2010) In: Journal of Futures Markets. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | article | |
| 2011 | Spectral Risk Measures and the Choice of Risk Aversion Function In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2011 | How Unlucky is 25-Sigma? In: Papers. [Full Text][Citation analysis] | paper | 9 |
| 2010 | How Unlucky is 25-Sigma?.(2010) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | paper | |
| 2011 | Spectral Risk Measures: Properties and Limitations In: Papers. [Full Text][Citation analysis] | paper | 35 |
| 2008 | Spectral Risk Measures: Properties and Limitations.(2008) In: Journal of Financial Services Research. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 35 | article | |
| 2010 | Spectral Risk Measures: Properties and Limitations.(2010) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 35 | paper | |
| 2011 | Extreme Measures of Agricultural Financial Risk In: Papers. [Full Text][Citation analysis] | paper | 7 |
| 2012 | Extreme Measures of Agricultural Financial Risk.(2012) In: Journal of Agricultural Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | article | |
| 2011 | Scaling conditional tail probability and quantile estimators In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2010 | Scaling conditional tail probability and quantile estimators.(2010) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2011 | Hedging: Scaling and the Investor Horizon In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2010 | Hedging: Scaling and the Investor Horizon.(2010) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2011 | Time Varying Risk Aversion: An Application to Energy Hedging In: Papers. [Full Text][Citation analysis] | paper | 10 |
| 2010 | Time-varying risk aversion: An application to energy hedging.(2010) In: Energy Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | article | |
| 2010 | Time Varying Risk Aversion: An Application to Energy Hedging.(2010) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | paper | |
| 2011 | Housing risk and return: Evidence from a housing asset-pricing model In: Papers. [Full Text][Citation analysis] | paper | 11 |
| 2010 | Housing Risk and Return: Evidence From a Housing Asset-Pricing Model.(2010) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | paper | |
| 2011 | A Comparative Anatomy of REITs and Residential Real Estate Indexes: Returns, Risks and Distributional Characteristics In: Papers. [Full Text][Citation analysis] | paper | 5 |
| 2010 | A Comparative Anatomy of REITs and Residential Real Estate Indexes: Returns, Risks and Distributional Characteristics.(2010) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
| 2011 | A Utility Based Approach to Energy Hedging In: Papers. [Full Text][Citation analysis] | paper | 13 |
| 2012 | A utility based approach to energy hedging.(2012) In: Energy Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | article | |
| 2011 | A Utility Based Approach to Energy Hedging.(2011) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | paper | |
| 2011 | Absolute Return Volatility In: Papers. [Full Text][Citation analysis] | paper | 4 |
| 2005 | Absolute Return Volatility.(2005) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2005 | Absolute Return Volatility.(2005) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2011 | Absolute Return Volatility.(2011) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2011 | Financial Risks and the Pension Protection Fund: Can it Survive Them? In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2006 | Financial Risks and the Pension Protection Fund: Can it Survive Them?.(2006) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2011 | Financial Risks and the Pension Protection Fund:Can It Survive Them?.(2011) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2011 | Integration and Contagion in US Housing Markets In: Papers. [Full Text][Citation analysis] | paper | 14 |
| 2011 | Integration and contagion in US housing markets.(2011) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
| 2011 | Integration and Contagion in US Housing Markets.(2011) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
| 2012 | Can Metropolitan Housing Risk be Diversified? A Cautionary Tale from the Recent Boom and Bust In: Papers. [Full Text][Citation analysis] | paper | 3 |
| 2012 | Can metropolitan housing risk be diversified? A cautionary tale from the recent boom and bust.(2012) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 2014 | Anatomy of a Bail-In In: Papers. [Full Text][Citation analysis] | paper | 23 |
| 2014 | Anatomy of a bail-in.(2014) In: Journal of Financial Stability. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 23 | article | |
| 2014 | Anatomy of a Bail-In.(2014) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 23 | paper | |
| 2014 | The non-linear trade-off between return and risk: a regime-switching multi-factor framework In: Papers. [Full Text][Citation analysis] | paper | 4 |
| 2014 | The non-linear trade-off between return and risk: a regime-switching multi-factor framework.(2014) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2021 | Machine Learning and Factor-Based Portfolio Optimization In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2021 | Machine Learning and Factor-Based Portfolio Optimization.(2021) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2008 | VOLATILITY AND IRISH EXPORTS In: Economic Inquiry. [Full Text][Citation analysis] | article | 1 |
| 2005 | Volatility and Irish Exports.(2005) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2011 | Volatility and Irish Exports.(2011) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2000 | The Distributional Characteristics of a Selection of Contracts Traded on the London International Financial Futures Exchange In: Journal of Business Finance & Accounting. [Full Text][Citation analysis] | article | 0 |
| 2019 | Subordinate Resolution ?? An Empirical Analysis of European Union Subsidiary Banks In: Journal of Common Market Studies. [Full Text][Citation analysis] | article | 6 |
| 2015 | Subordinate Resolution - An Empirical Analysis of European Union Subsidiary Banks.(2015) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
| 2015 | A Comparative Anatomy of Residential REITs and Private Real Estate Markets: Returns, Risks and Distributional Characteristics In: Real Estate Economics. [Full Text][Citation analysis] | article | 17 |
| 2017 | Asset allocation with correlation: A composite trade-off In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 17 |
| 2018 | Long-run wavelet-based correlation for financial time series In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 9 |
| 2022 | The non-linear trade-off between return and risk and its determinants In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 0 |
| 2022 | The non-linear trade-off between return and risk and its determinants.(2022) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2013 | Downside risk and the energy hedgers horizon In: Energy Economics. [Full Text][Citation analysis] | article | 26 |
| 2012 | Downside risk and the energy hedgers horizon.(2012) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 26 | paper | |
| 2015 | Performance of utility based hedges In: Energy Economics. [Full Text][Citation analysis] | article | 17 |
| 2014 | Performance of Utility Based Hedges.(2014) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 17 | paper | |
| 2004 | International equity market integration in a small open economy: Ireland January 1990-December 2000 In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 8 |
| 2004 | International Equity Market Integration in a Small Open Economy: Ireland January 1990 – December 2000.(2004) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | paper | |
| 2015 | The conditional pricing of systematic and idiosyncratic risk in the UK equity market In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 5 |
| 2014 | The Conditional Pricing of Systematic and Idiosyncratic Risk in the UK Equity Market.(2014) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
| 2017 | Predictability and diversification benefits of investing in commodity and currency futures In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 7 |
| 2020 | Beyond common equity: The influence of secondary capital on bank insolvency risk In: Journal of Financial Stability. [Full Text][Citation analysis] | article | 9 |
| 2018 | Beyond Common Equity - The Influence of Secondary Capital on Bank Insolvency Risk.(2018) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | paper | |
| 2014 | Sovereign and bank CDS spreads: Two sides of the same coin? In: Journal of International Financial Markets, Institutions and Money. [Full Text][Citation analysis] | article | 28 |
| 2014 | Sovereign and bank CDS spreads: two sides of the same coin?.(2014) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 28 | paper | |
| 2014 | Sovereign and bank CDS spreads: two sides of the same coin?.(2014) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 28 | paper | |
| 2022 | The illusion of oil return predictability: The choice of data matters! In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 5 |
| 2022 | The illusion of oil return predictability: The choice of data matters!.(2022) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
| 2001 | Margin exceedences for European stock index futures using extreme value theory In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 24 |
| 2001 | Margin Exceedences for European Stock Index Futures using Extreme Value Theory.(2001) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 24 | paper | |
| 2019 | Credit default swaps as indicators of bank financial distress In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 14 |
| 2016 | Credit Default Swaps as Indicators of Bank financial Distress.(2016) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
| 1994 | Event Studies of Irish Equities: Earnings Announcements, Seasonality and Size. In: University College Cork - Department of Economics. [Citation analysis] | paper | 0 |
| 2017 | Mixed-Frequency Macro-Financial Spillovers In: Koç University-TUSIAD Economic Research Forum Working Papers. [Full Text][Citation analysis] | paper | 8 |
| 2017 | Mixed-frequency macro-financial spillovers.(2017) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | paper | |
| 2004 | Realized volatility and minimum capital requirements In: Money Macro and Finance (MMF) Research Group Conference 2003. [Full Text][Citation analysis] | paper | 0 |
| 2015 | Can Housing Risk Be Diversified? A Cautionary Tale from the Housing Boom and Bust In: Review of Financial Studies. [Full Text][Citation analysis] | article | 26 |
| 2014 | Can housing risk be diversified? A cautionary tale from the housing boom and bust.(2014) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 26 | paper | |
| 2006 | Real & Nominal Foreign Exchange Volatility Effects on Exports – The Importance of Timing In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 2005 | Re-evaluating Hedging Performance In: MPRA Paper. [Full Text][Citation analysis] | paper | 31 |
| 2011 | Re-evaluating Hedging Performance.(2011) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 31 | paper | |
| 2006 | Reevaluating hedging performance.(2006) In: Journal of Futures Markets. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 31 | article | |
| 2006 | Margin setting with high-frequency data In: MPRA Paper. [Full Text][Citation analysis] | paper | 2 |
| 2004 | Modelling extreme financial returns of global equity markets In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 2000 | Volatility and the Euro: an Irish perspective In: MPRA Paper. [Full Text][Citation analysis] | paper | 1 |
| 2007 | Extreme risk in Asian equity markets In: MPRA Paper. [Full Text][Citation analysis] | paper | 6 |
| 2004 | Downside Risk for European Equity Markets In: MPRA Paper. [Full Text][Citation analysis] | paper | 10 |
| 2013 | Sovereign and bank CDS spreads: two sides of the same coin for European bank default predictability? In: MPRA Paper. [Full Text][Citation analysis] | paper | 1 |
| 2005 | Extreme risk in futures contracts In: Applied Economics Letters. [Full Text][Citation analysis] | article | 2 |
| 2006 | Modelling catastrophic risk in international equity markets: an extreme value approach In: Applied Financial Economics Letters. [Full Text][Citation analysis] | article | 1 |
| 2004 | Downside risk for European equity markets In: Applied Financial Economics. [Full Text][Citation analysis] | article | 9 |
| 2006 | Extreme Value Estimation of Boom and Crash Statistics In: The European Journal of Finance. [Full Text][Citation analysis] | article | 2 |
| 2016 | Commodity futures hedging, risk aversion and the hedging horizon In: The European Journal of Finance. [Full Text][Citation analysis] | article | 39 |
| 2012 | Commodity futures hedging, risk aversion and the hedging horizon.(2012) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 39 | paper | |
| 2019 | Spillovers in risk of financial institutions In: The European Journal of Finance. [Full Text][Citation analysis] | article | 7 |
| 2018 | Spillovers in Risk of Financial Institutions.(2018) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
| 2011 | Margin Requirements with Intraday Dynamics In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2011 | Real and Nominal Foreign Exchange Volatility Effects on Exports – The Importance of Timing In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2011 | Intra-Day Seasonality in Foreign Market Transactions In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2011 | Intra-Day Seasonality in Foreign Market Transactions.(2011) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2011 | Intra-Day Seasonality in Foreign Market Transactions.(2011) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2012 | What Should Be Done About The Underfunding of Defined Benefit Pension Schemes? In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2015 | Long-run international diversification In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2016 | The Intervaling Effect on Higher-Order Co-Moments In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2016 | Nowhere to run, nowhere to hide: asset diversification in a flat world In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2019 | Nowhere to Run, Nowhere to Hide - Asset Diversification in a Flat World.(2019) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2018 | Are equity market anomalies disappearing? Evidence from the U.K. In: Working Papers. [Full Text][Citation analysis] | paper | 3 |
| 2019 | Co-skewness across Return Horizons In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2022 | Co-skewness across Return Horizons.(2022) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2019 | Integration Among US Banks In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2020 | Macro-Financial Spillovers In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2020 | Commodity Futures Return Predictability and Intertemporal Asset Pricing In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
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