john cotter : Citation Profile


Are you john cotter?

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

9

H index

9

i10 index

265

Citations

RESEARCH PRODUCTION:

37

Articles

124

Papers

RESEARCH ACTIVITY:

   23 years (1994 - 2017). See details.
   Cites by year: 11
   Journals where john cotter has often published
   Relations with other researchers
   Recent citing documents: 53.    Total self citations: 61 (18.71 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pco227
   Updated: 2017-10-21    RAS profile: 2017-07-11    
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Relations with other researchers


Works with:

Conlon, Thomas (6)

Avino, Davide (4)

Gabriel, Stuart (4)

Hanly, Jim (3)

Rossi, Francesco (2)

Yilmaz, Kamil (2)

Hallam, Mark (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)

Žiković, Saša (4)

Filer, Randall (4)

Zhou, Jian (4)

Panagiotidis, Theodore (3)

Torro, Hipolit (3)

Bampinas, Georgios (3)

Osinska, Magdalena (2)

Cites to:

Campbell, John (18)

Bollerslev, Tim (15)

Bekaert, Geert (15)

Diebold, Francis (12)

de Vries, Casper (10)

Engle, Robert (10)

Stulz, René (10)

Harvey, Campbell (8)

Ang, Andrew (8)

Andersen, Torben (8)

Longstaff, Francis (7)

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 Finance3
International Review of Financial Analysis3
Journal of Business Finance & Accounting2
Real Estate Economics2
Journal of Banking & Finance2

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 (2017 and 2016)


YearTitle of citing document
2016House price fluctuations and the business cycle dynamics. (2016). Abate, Girum ; Anselin, Luc . In: CREATES Research Papers. RePEc:aah:create:2016-06.

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2017Sharing the Pain? Credit Supply and Real Effects of Bank Bail-ins. (2017). Da-Rocha Lopes, Samuel ; Silva, Andre ; 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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2016Selecting dynamic moving average trading rules in the crude oil futures market using a genetic approach. (2016). Wang, Lijun ; Huang, Xuan ; Liu, Xiaojia . In: Applied Energy. RePEc:eee:appene:v:162:y:2016:i:c:p:1608-1618.

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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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2016CEO political preference and corporate tax sheltering. (2016). Wu, Qiang ; HASAN, IFTEKHAR ; Francis, Bill B ; Sun, Xian . In: Journal of Corporate Finance. RePEc:eee:corfin:v:38:y:2016:i:c:p:37-53.

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2016Real estate global beta and spillovers: An international study. (2016). Liow, Kim ; Newell, Graeme . In: Economic Modelling. RePEc:eee:ecmode:v:59:y:2016:i:c:p:297-313.

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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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2016Optimal conditional hedge ratio: A simple shrinkage estimation approach. (2016). Park, Sung Y. ; Kim, Myeong Jun . In: Journal of Empirical Finance. RePEc:eee:empfin:v:38:y:2016:i:pa:p:139-156.

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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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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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2016Intraday risk management in International stock markets: A conditional EVT approach. (2016). Karmakar, Madhusudan ; Paul, Samit . In: International Review of Financial Analysis. RePEc:eee:finana:v:44:y:2016:i:c:p:34-55.

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2016Analyzing hedging strategies for fixed income portfolios: A Bayesian approach for model selection. (2016). Bessler, Wolfgang ; Leonhardt, Alexander . In: International Review of Financial Analysis. RePEc:eee:finana:v:46:y:2016:i:c:p:239-256.

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2016Dynamic conditional copula correlation and optimal hedge ratios with currency futures. (2016). Kotkatvuori-ornberg, Juha . In: International Review of Financial Analysis. RePEc:eee:finana:v:47:y:2016:i:c:p:60-69.

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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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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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2016Insurance companies’ trading behaviour during the European sovereign debt crisis: Flight home or flight to quality?. (2016). Vermeulen, Robert ; Bijlsma, Melle. In: Journal of Financial Stability. RePEc:eee:finsta:v:27:y:2016:i:c:p:137-154.

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2016Comparing the financial performance of timber REITs and other REITs. (2016). Piao, Xiaorui ; Xue, Yuan ; Mei, Bin . In: Forest Policy and Economics. RePEc:eee:forpol:v:72:y:2016:i:c:p:115-121.

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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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2016Semi-static hedging of variable annuities. (2016). Bernard, Carole ; Kwak, Minsuk . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:67:y:2016:i:c:p:173-186.

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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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2016Optimal hedging in carbon emission markets using Markov regime switching models. (2016). Shi, Yukun ; Philip, Dennis . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:43:y:2016:i:c:p:1-15.

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2016To debt or not to debt: Are Islamic banks less risky than conventional banks?. (2016). Sorwar, Ghulam ; Nurullah, Mohamed ; Pereira, John ; Pappas, Vasileios . In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:132:y:2016:i:s:p:113-126.

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

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2016The economic drivers of differences in house price inflation rates across MSAs. (2016). Zietz, Joachim ; Füss, Roland ; Fuss, Roland ; ROLAND FSS, . In: Journal of Housing Economics. RePEc:eee:jhouse:v:31:y:2016:i:c:p:35-53.

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2016Identifying the relative importance of stock characteristics. (2016). Li, Youwei ; French, Declan ; Wu, Yuliang . In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:34:y:2016:i:c:p:80-91.

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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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2016Transition from lognormal to χ2-superstatistics for financial time series. (2016). Xu, Dan ; Beck, Christian . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:453:y:2016:i:c:p:173-183.

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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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2016Facts or fates of investors losses during crises? Evidence from REIT-stock volatility and tail dependence structures. (2016). Huang, Meichi ; Wu, Chang-Che ; Liu, Shih-Min . In: International Review of Economics & Finance. RePEc:eee:reveco:v:42:y:2016:i:c:p:54-71.

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2016Horizon heterogeneity, institutional constraint and managerial myopia: a multi-frequency perspective on ELSS. (2016). Chakrabarty, Anindya ; Bandyopadhyay, Gautam ; De, Anupam . In: International Journal of Business Excellence. RePEc:ids:ijbexc:v:9:y:2016:i:1:p:18-47.

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2016Dissecting the 2007-2009 Real Estate Market Bust: Systematic Pricing Correction or Just a Housing Fad?. (2016). Ravazzolo, Francesco ; Guidolin, Massimo ; Bianchi, Daniele. In: Working Papers. RePEc:igi:igierp:567.

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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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2016A multivariate analysis of United States and global real estate investment trusts. (2016). Asteriou, Dimitrios ; Pilbeam, Keith ; Begiazi, Kyriaki . In: International Economics and Economic Policy. RePEc:kap:iecepo:v:13:y:2016:i:3:d:10.1007_s10368-016-0349-z.

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2016“Spectral Risk Measures: Properties and Limitations”: Comment on Dowd, Cotter, and Sorwar. (2016). Brandtner, Mario . In: Journal of Financial Services Research. RePEc:kap:jfsres:v:49:y:2016:i:1:d:10.1007_s10693-014-0204-8.

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2016An Empirical Analysis of Futures Margin Changes: Determinants and Policy Implications. (2016). Park, Yang-Ho ; Abruzzo, Nicole . In: Journal of Financial Services Research. RePEc:kap:jfsres:v:49:y:2016:i:1:d:10.1007_s10693-014-0212-8.

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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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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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2016Analyse Risk-Return Paradox: Evidence from Electricity Sector of Pakistan. (2016). Qayyum, Abdul ; Shah, Sadia Naqi . In: MPRA Paper. RePEc:pra:mprapa:68783.

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2016Modelling Long Memory Volatility in the Bitcoin Market: Evidence of Persistence and Structural Breaks. (2016). Roubaud, David ; GUPTA, RANGAN ; Gil-Alana, Luis ; Bouri, Elie. In: Working Papers. RePEc:pre:wpaper:201654.

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2016Exchange rate persistence of the Chinese yuan against the US dollar in the NDF market. (2016). Gil-Alana, Luis ; Chen, Zhongfei ; Barros, Carlos P. In: Empirical Economics. RePEc:spr:empeco:v:51:y:2016:i:4:d:10.1007_s00181-015-1063-3.

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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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2016Long Range Dependence in the Indian Stock Market: Evidence of Fractional Integration, Non-Linearities and Breaks. (2016). Gil-Alana, Luis ; Tripathy, Trilochan . In: Journal of Quantitative Economics. RePEc:spr:jqecon:v:14:y:2016:i:2:d:10.1007_s40953-016-0029-4.

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2016Spektrale Risikomaße: Konzeption, betriebswirtschaftliche Anwendungen und Fallstricke. (2016). Brandtner, Mario . In: Management Review Quarterly. RePEc:spr:manrev:v:66:y:2016:i:2:d:10.1007_s11301-015-0116-1.

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2016Regime-dependent sovereign risk pricing during the euro crisis. (2016). Portes, Richard ; Fouquau, Julien ; Delatte, Anne-Laure . In: ESRB Working Paper Series. RePEc:srk:srkwps:201609.

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2016Corporate Behaviour and Market Integration: Evidence from the Asia-Pacific Real Estate Market. (2016). Ma, Guojie . In: PhD Thesis. RePEc:uts:finphd:35.

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2016Predictors and portfolios over the life cycle. (2016). Munk, Claus ; Kraft, Holger ; Weiss, Farina . In: SAFE Working Paper Series. RePEc:zbw:safewp:139.

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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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2017Predictability and diversification benefits of investing in commodity and currency futures In: International Review of Financial Analysis.
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2001Margin Exceedences for European Stock Index Futures using Extreme Value Theory.(2001) In: MPRA Paper.
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2006Reevaluating hedging performance.(2006) In: Journal of Futures Markets.
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