john cotter : Citation Profile

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

17

H index

31

i10 index

867

Citations

RESEARCH PRODUCTION:

51

Articles

137

Papers

1

Chapters

RESEARCH ACTIVITY:

   30 years (1994 - 2024). See details.
   Cites by year: 28
   Journals where john cotter has often published
   Relations with other researchers
   Recent citing documents: 72.    Total self citations: 75 (7.96 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pco227
   Updated: 2025-07-05    RAS profile: 2025-03-14    
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Relations with other researchers

Works with:

Conlon, Thomas (10)

Eyiah-Donkor, Emmanuel (6)

Potì, Valerio (3)

Hallam, Mark (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:

Conlon, Thomas (25)

Gil-Alana, Luis (17)

GUPTA, RANGAN (16)

Torro, Hipolit (14)

Stevenson, Simon (13)

Corbet, Shaen (13)

Liow, Kim (12)

Guidolin, Massimo (9)

Bredin, Don (9)

Subramaniam, Ravichandran (8)

Shrestha, Keshab (8)

Cites to:

Campbell, John (43)

Diebold, Francis (31)

Kilian, Lutz (31)

Engle, Robert (27)

Conlon, Thomas (27)

Bollerslev, Tim (21)

Bekaert, Geert (20)

merton, robert (18)

TARAZI, Amine (17)

Baumeister, Christiane (17)

Stulz, René (17)

Main data

Where john cotter has published?

Journals with more than one article published# docs
The European Journal of Finance5
Journal of Futures Markets4
Energy Economics4
International Review of Financial Analysis3
Journal of International Money and Finance3
Journal of Banking & Finance3
Real Estate Economics2
Journal of International Financial Markets, Institutions and Money2
European Journal of Operational Research2
Journal of Commodity Markets2
Journal of Financial Stability2
Journal of Empirical Finance2

Working Papers Series with more than one paper published# docs
Working Papers / Geary Institute, University College Dublin61
Papers / arXiv.org37
MPRA Paper / University Library of Munich, Germany34
Post-Print / HAL2

Recent works citing john cotter (2025 and 2024)

YearTitle of citing document
2024Multinomial Backtesting of Distortion Risk Measures. (2024). Weber, Stefan ; Bettels, Soren ; Kim, Sojung. In: Papers. RePEc:arx:papers:2201.06319.

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2025Estimation of Spectral Risk Measure for Left Truncated and Right Censored Data. (2025). Biswas, Suparna ; Sen, Rituparna. In: Papers. RePEc:arx:papers:2402.14322.

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2024Herding Unmasked: Insights into Cryptocurrencies, Stocks and US ETFs. (2024). Conlon, Thomas ; Crane, Martin ; Bezbradica, Marija ; Ngoc, An Pham. In: Papers. RePEc:arx:papers:2407.08069.

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2025An Integrated Approach to Importance Sampling and Machine Learning for Efficient Monte Carlo Estimation of Distortion Risk Measures in Black Box Models. (2025). Weber, Stefan ; Bettels, Soren. In: Papers. RePEc:arx:papers:2408.02401.

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2024Is This Normal? The Cost of Assuming that Derivatives Have Normal Returns. (2024). Raykov, Radoslav. In: Staff Working Papers. RePEc:bca:bocawp:24-46.

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2025Commonality under pressure: banks and funds. (2025). Cornelli, Giulio ; Aquilina, Matteo ; Tarashev, Nikola. In: BIS Quarterly Review. RePEc:bis:bisqtr:2503e.

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2024Transitory and permanent shock transmissions between real estate investment trusts and other assets: Evidence from time‐frequency decomposition and machine learning. (2024). Wang, Jinghua ; Ngene, Geoffrey M. In: Accounting and Finance. RePEc:bla:acctfi:v:64:y:2024:i:1:p:539-573.

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2024Low‐ frequency versus high‐frequency housing price spillovers in China. (2024). Yang, Jian ; Li, Zheng ; Yu, Ziliang. In: Accounting and Finance. RePEc:bla:acctfi:v:64:y:2024:i:4:p:3713-3749.

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2024Compound Poisson–Lindley process with Sarmanov dependence structure and its application for premium-based spectral risk forecasting. (2024). Tjahjono, Venansius ; Syuhada, Khreshna ; Hakim, Arief. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:467:y:2024:i:c:s0096300323006616.

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2024Sustainable risk preferences on asset allocation: a higher order optimal portfolio study. (2024). Esparcia, Carlos ; Diaz, Antonio ; Escribano, Ana. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:41:y:2024:i:c:s2214635024000029.

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2024Understanding sentiment shifts in central bank digital currencies. (2024). Corbet, Shaen ; Larkin, Charles ; Hu, Yang ; Conlon, Thomas ; Hou, Yang ; Oxley, Les. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:44:y:2024:i:c:s2214635024001035.

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2024Financial shock transmission in Chinas banking and housing sectors: A network analysis. (2024). Yu, Ziliang ; Li, Yang ; Nong, Huifu. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:82:y:2024:i:c:p:701-723.

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2024Ambiguity and risk in the oil market. (2024). Qadan, Mahmoud ; Ayoub, Mahmoud. In: Economic Modelling. RePEc:eee:ecmode:v:132:y:2024:i:c:s0264999324000075.

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2024Predicting financial distress in Latin American companies: A comparative analysis of logistic regression and random forest models. (2024). Barboza, Flavio ; Altman, Edward. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000834.

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2024Unlocking portfolio resilient and persistent risk: A holistic approach to unveiling potential grounds. (2024). Reis, Pedro Nogueira ; Soares, Antonio Pedro. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:73:y:2024:i:c:s1062940824001232.

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2024Chinas risk contagion using the mixed-frequency macro-financial network. (2024). Xu, Qifa ; Gao, Haijing ; Jiang, Cuixia. In: Economic Systems. RePEc:eee:ecosys:v:48:y:2024:i:4:s0939362524000347.

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2024Fifty years of portfolio optimization. (2024). Doumpos, Michalis ; Liesio, Juuso ; Zopounidis, Constantin ; Salo, Ahti. In: European Journal of Operational Research. RePEc:eee:ejores:v:318:y:2024:i:1:p:1-18.

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2024An empirical review of dynamic extreme value models for forecasting value at risk, expected shortfall and expectile. (2024). Herrera, Rodrigo ; Candia, Claudio. In: Journal of Empirical Finance. RePEc:eee:empfin:v:77:y:2024:i:c:s0927539824000239.

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2024Dynamic connectedness in the higher moments between clean energy and oil prices. (2024). Pham, Linh ; Hao, Wei. In: Energy Economics. RePEc:eee:eneeco:v:140:y:2024:i:c:s0140988324006959.

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2025Is there a robust hedging method during the COVID-19 pandemic? Evidence from Chinese crude oil futures. (2025). Geng, Qianjie. In: Energy Economics. RePEc:eee:eneeco:v:144:y:2025:i:c:s0140988325001537.

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2025Capital regulation, regulatory avoidance, and bank systemic risk. (2025). Xu, Haoran ; Ma, Yuxian ; Miao, Wenlong. In: International Review of Financial Analysis. RePEc:eee:finana:v:100:y:2025:i:c:s1057521925000894.

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2024Seeking a shock haven: Hedging extreme upward oil price changes. (2024). HU, YANG ; Conlon, Thomas ; Corbet, Shaen ; Hou, Yang ; Oxley, Les. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924001777.

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2024The impact of the war in Ukraine on the idiosyncratic risk and the market risk. (2024). le Saout, Erwan ; Soliman, Alain. In: Finance Research Letters. RePEc:eee:finlet:v:60:y:2024:i:c:s1544612323012679.

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2024Macroeconomic determinants of the long-term correlation between stock and exchange rate markets in China: A DCC-MIDAS-X approach considering structural breaks. (2024). Yoon, Seong-Min ; Xiong, Youlin ; Dong, Xiyong ; Shen, Jun. In: Finance Research Letters. RePEc:eee:finlet:v:61:y:2024:i:c:s1544612324000503.

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2024Are the leading indicators really leading? Evidence from mixed-frequency spillover approach. (2024). Zhou, Xiaorui ; Wang, Zhuo ; Ren, Lin ; Shang, Yue ; Wei, YU. In: Finance Research Letters. RePEc:eee:finlet:v:69:y:2024:i:pb:s1544612324012625.

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2024Risk spillovers and optimal hedging in commodity ETFs: A TVP-VAR Approach. (2024). Vasileiou, Evangelos ; Malhotra, Davinder ; Hadad, Elroi. In: Finance Research Letters. RePEc:eee:finlet:v:70:y:2024:i:c:s1544612324014016.

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2025Financial risk contagion across markets in China under the impact of the COVID-19 pandemic. (2025). Zheng, Dazhi ; Zhou, Kaiguo ; Ji, Sunan. In: Finance Research Letters. RePEc:eee:finlet:v:71:y:2025:i:c:s1544612324014028.

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2025Uncovering the risk-return trade-off through ridge regressions. (2025). Arag, Vicent ; Alemany, Nuria ; Salvador, Enrique. In: Finance Research Letters. RePEc:eee:finlet:v:71:y:2025:i:c:s1544612324014491.

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2024Assessing the systemic risk impact of bank bail-ins. (2024). Trappl, Stefan ; Spitzer, Ralph ; Hafner-Guth, Martin ; Siebenbrunner, Christoph. In: Journal of Financial Stability. RePEc:eee:finsta:v:71:y:2024:i:c:s1572308924000147.

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2024Bank capital regulation and risk after the Global Financial Crisis. (2024). Demirguc-Kunt, Asli ; Bertay, Ata ; Mare, Davide S ; Demirgu-Kunt, Asli ; Cull, Robert ; Anginer, Deniz. In: Journal of Financial Stability. RePEc:eee:finsta:v:74:y:2024:i:c:s1572308921000516.

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2024The boom of corporate debt in emerging markets: Carry trade or save to invest?. (2024). Jara, Mauricio ; de Gregorio, Jose. In: Journal of International Economics. RePEc:eee:inecon:v:148:y:2024:i:c:s0022199623001307.

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2024Nonlinearities and a pecking order in cross-border investment. (2024). Sarkissian, Sergei ; Holland, Sara B ; Schill, Michael J ; Warnock, Francis E. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:166:y:2024:i:c:s037842662400164x.

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2024Forecasting crude oil returns with oil-related industry ESG indices. (2024). Zhang, Yaojie ; Li, Kaixin ; Wang, Yudong. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:36:y:2024:i:c:s2405851324000631.

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2024Safety assessment of cryptocurrencies as risky assets during the COVID-19 pandemic. (2024). Belanes, Amel ; Rabbouch, Hana ; Saadaoui, Foued ; Amirat, Amina. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:651:y:2024:i:c:s0378437124005223.

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2024The effect of economic and political uncertainty on sovereign CDS spreads. (2024). Pan, Wei-Fong ; Xiao, Yaqing ; Wang, Xinjie ; Xu, Weike ; Zhang, Jinfan. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pa:p:143-155.

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2024Asymmetric spillover effects in energy markets. (2024). Wohar, Mark ; Tiwari, Aviral ; doğan, buhari ; Adekoya, Oluwasegun B ; Aikins, Emmanuel Joel ; Doan, Buhari. In: International Review of Economics & Finance. RePEc:eee:reveco:v:92:y:2024:i:c:p:470-502.

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2024Time-variant safe haven currencies. (2024). Percy, Jay ; Nakata, Hayato ; Sato, Ayano. In: International Review of Economics & Finance. RePEc:eee:reveco:v:93:y:2024:i:pb:p:316-328.

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2024Urban air pollution and systemic risk of the real estate market in China. (2024). Yuan, Yan ; Zhang, Moyan ; Fang, YI ; Wang, Yanru. In: International Review of Economics & Finance. RePEc:eee:reveco:v:96:y:2024:i:pb:s105905602400618x.

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2024Business and financial cycle across regimes: Does financial stress matter?. (2024). Cucculelli, Marco ; Sullo, Valerio ; Giampaoli, Noemi. In: International Review of Economics & Finance. RePEc:eee:reveco:v:96:y:2024:i:pb:s1059056024006373.

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2024Can Chinese investors manage climate risk domestically and globally?. (2024). Liu, Yike ; Xu, Zihan ; Xing, Xiaoyun ; Zhu, Yuxuan. In: International Review of Economics & Finance. RePEc:eee:reveco:v:96:y:2024:i:pb:s1059056024006567.

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2025Risk spillovers between the financial market and macroeconomic sectors under mixed-frequency information: A frequency domain perspective. (2025). Zhu, Chen ; Jia, Junsheng ; Ma, Xiaofu ; Li, Mengting. In: International Review of Economics & Finance. RePEc:eee:reveco:v:99:y:2025:i:c:s105905602500139x.

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2024Bitcoin forks: What drives the branches?. (2024). HU, YANG ; Conlon, Thomas ; Corbet, Shaen ; Hou, Yang ; Oxley, Les. In: Research in International Business and Finance. RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531924000539.

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2024Drivers of inflationary shocks and spillovers between Europe and the United States. (2024). Rambaud, Salvador Cruz ; Gomez, Emilio Galdeano ; Garcia, Javier Sanchez. In: Socio-Economic Planning Sciences. RePEc:eee:soceps:v:95:y:2024:i:c:s0038012124001769.

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2024What Insights Do Short-Maturity (7DTE) Return Predictive Regressions Offer about Risk Preferences in the Oil Market?. (2024). Zhang, Zhaowei ; Gao, Xiaohui ; Bakshi, Gurdip. In: Commodities. RePEc:gam:jcommo:v:3:y:2024:i:2:p:14-247:d:1403633.

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2024Integrating Risk-Averse and Constrained Reinforcement Learning for Robust Decision-Making in High-Stakes Scenarios. (2024). Habib, Muhammad Salman ; Omair, Muhammad ; Ramzan, Muhammad Babar ; Ahmad, Moiz. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:13:p:1954-:d:1420914.

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2025Managing Risk Across Time: An Intertemporal Spectral Risk Measures Framework for Multi-Period Portfolio Optimization. (2025). Gao, Jianjun ; Jin, Chengneng. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:11:p:1754-:d:1664014.

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2025Generalizable Storm Surge Risk Modeling. (2025). Scott, Mahlon ; Huang, Hsin-Hsiung. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:3:p:486-:d:1581342.

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2025Sectoral Efficiency and Resilience: A Multifaceted Analysis of S&P Global BMI Indices Under Global Crises. (2025). Antunes, Fernando Henrique ; Lima, Jos Wesley ; Raki, Slobodan ; Koji, Milena. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:4:p:641-:d:1592135.

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2024Les analystes financiers et la vulnérabilité du secteur bancaire : état des lieux et perspectives de recherche. (2024). Popescu, Alexandra ; Vaubourg, Anne-Gal. In: Post-Print. RePEc:hal:journl:hal-05007044.

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2024Constructing Optimal Portfolio Rebalancing Strategies with a Two-Stage Multiresolution-Grid Model. (2024). Wu, Mu-En ; Yang, Dong-Yuh ; Sun, You-Jia ; Chen, Bo-Jen ; Dai, Tian-Shyr. In: Computational Economics. RePEc:kap:compec:v:64:y:2024:i:5:d:10.1007_s10614-024-10555-y.

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2024High-Frequency Contagion between Aggregate and Regional Housing Markets of the United States with Financial Assets: Evidence from Multichannel Tests. (2024). GUPTA, RANGAN ; Aye, Goodness C ; Hassapis, Christis ; Christou, Christina. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:69:y:2024:i:2:d:10.1007_s11146-022-09919-8.

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2024Spread Too Thin: REIT Asset Dispersion and Divergence of Opinion. (2024). Sirmans, Stacy G ; Letdin, Mariya. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:69:y:2024:i:2:d:10.1007_s11146-022-09920-1.

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2024Volatility in U.S. Housing Sector and the REIT Equity Return. (2024). Alam, Masud. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:69:y:2024:i:3:d:10.1007_s11146-022-09897-x.

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2025Analyzing the Impacts of Property Age on REITs and the Reasons Why REITs Own Older Properties. (2025). Wu, Zhonghua ; Ooi, Joseph ; Feng, Zifeng. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:70:y:2025:i:2:d:10.1007_s11146-023-09961-0.

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2025Spectral risk for digital assets. (2025). Horváth, Matúš ; Hrdle, Wolfgang Karl ; Wang, Xingjia ; Horvth, Mat ; Lu, Meng-Jou. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:64:y:2025:i:2:d:10.1007_s11156-024-01313-0.

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2025Is portfolio diversification still effective: evidence spanning three crises from the perspective of U.S. investors. (2025). McMillan, David G ; Kambouroudis, Dimos ; Huang, Rong. In: Journal of Asset Management. RePEc:pal:assmgt:v:26:y:2025:i:2:d:10.1057_s41260-025-00398-z.

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2025Utilizing the real estate investment trusts for portfolio optimisation by application of genetic algorithm. (2025). Pavel, Codruta-Daniela ; Dias, Rui ; Espinosa, Juan Felipe ; Matac, Liviu Marian ; Xu, LI. In: Palgrave Communications. RePEc:pal:palcom:v:12:y:2025:i:1:d:10.1057_s41599-025-04715-0.

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2025Herding unmasked: Insights into cryptocurrencies, stocks and US ETFs. (2025). Ngoc, An Pham ; Crane, Martin ; Bezbradica, Marija ; Conlon, Thomas. In: PLOS ONE. RePEc:plo:pone00:0316332.

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2024Idiosyncrasies of Intraday Risk in Emerging and Developed Markets: Efficacy of the MCS-GARCH Model and Extreme Value Theory. (2024). Paul, Samit ; Banerjee, Aditya. In: Global Business Review. RePEc:sae:globus:v:25:y:2024:i:2:p:468-490.

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2024Enduring relief or fleeting respite? Bitcoin as a hedge and safe haven for the US dollar. (2024). Conlon, Thomas ; Corbet, Shaen ; McGee, Richard. In: Annals of Operations Research. RePEc:spr:annopr:v:337:y:2024:i:1:d:10.1007_s10479-024-05884-y.

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2024Point forecasts of the price of crude oil: an attempt to “beat” the end-of-month random-walk benchmark. (2024). Nonejad, Nima. In: Empirical Economics. RePEc:spr:empeco:v:67:y:2024:i:4:d:10.1007_s00181-024-02599-8.

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2024An evaluation of the adequacy of Lévy and extreme value tail risk estimates. (2024). Hassan, M. Kabir ; Mozumder, Sharif. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-024-00614-6.

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2025Asymmetric risk contagion effect of the interaction between the real economy and the financial sector—an analysis based on the domestic commodity price index. (2025). Yonghui, Quan ; Wenlong, Miao. In: Financial Innovation. RePEc:spr:fininn:v:11:y:2025:i:1:d:10.1186_s40854-024-00735-y.

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2024Can Futures Prices Predict the Real Price of Primary Commodities?. (2024). Markos, Stephen Snudden. In: LCERPA Working Papers. RePEc:wlu:lcerpa:jc0145.

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2024Statistical evaluation of a long‐memory process using the generalized entropic value‐at‐risk. (2024). Yoshioka, Yumi. In: Environmetrics. RePEc:wly:envmet:v:35:y:2024:i:4:n:e2838.

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2025Behavioural explanations of Expectile VaR forecasting and dynamic hedging strategies for downside risk during the COVID‐19 pandemic: Insights from financial markets. (2025). Masmoudi, Afif ; Abbes, Mouna Boujelbne ; Gaadane, Sahbi ; Trichilli, Yousra. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:30:y:2025:i:1:p:44-70.

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2025The impact of dividend payout policies on real estate market diversification. (2025). Gronwald, Marc ; Ilbasmis, Metin ; Zhao, Yuan. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:30:y:2025:i:2:p:1049-1073.

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2025Climate risks and the REITs market. (2025). Salisu, Afees ; Ogbonna, Ahamuefula ; Vo, Xuan Vinh. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:30:y:2025:i:2:p:1632-1648.

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2024Tail risk forecasting and its application to margin requirements in the commodity futures market. (2024). Song, Yuping ; Hou, Weijie ; Feng, Yun. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:5:p:1513-1529.

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2024Hedging performance analysis of energy markets: Evidence from copula quantile regression. (2024). Yu, Xinping ; Ren, Xianling. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:3:p:432-450.

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2024A deep learning‐based financial hedging approach for the effective management of commodity risks. (2024). Hu, Yan ; Ni, Jian. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:6:p:879-900.

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2024Exploring the unpredictable nature of climate policy uncertainty: An empirical analysis of its impact on commodity futures returns in the United States. (2024). Lee, Yenhsien ; Liu, Hungchun ; Zeng, Guangzhe ; Tang, Chiahsien. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:7:p:1277-1292.

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Works by john cotter:

YearTitleTypeCited
2011An Empirical Analysis of Dynamic Multiscale Hedging using Wavelet Decomposition In: Papers.
[Full Text][Citation analysis]		paper35
2011An Empirical Analysis of Dynamic Multiscale Hedging using Wavelet Decomposition.(2011) In: Working Papers.
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This paper has nother version. Agregated cites: 35		paper
2012An empirical analysis of dynamic multiscale hedging using wavelet decomposition.(2012) In: Journal of Futures Markets.
[Citation analysis]
This paper has nother version. Agregated cites: 35		article
2011Spectral Risk Measures with an Application to Futures Clearinghouse Variation Margin Requirements In: Papers.
[Full Text][Citation analysis]		paper8
2006Spectral 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
2011Spectral 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
2011Spectral 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
2011Exponential Spectral Risk Measures In: Papers.
[Full Text][Citation analysis]		paper1
2007Exponential Spectral Risk Measures.(2007) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2011Hedging Effectiveness under Conditions of Asymmetry In: Papers.
[Full Text][Citation analysis]		paper19
2007Hedging Effectiveness under Conditions of Asymmetry.(2007) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 19		paper
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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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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2007Uncovering Volatility Dynamics in Daily REIT Returns.(2007) In: Journal of Real Estate Portfolio Management.
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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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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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2011Extreme Measures of Agricultural Financial Risk In: Papers.
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2012Extreme Measures of Agricultural Financial Risk.(2012) In: Journal of Agricultural Economics.
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2011Scaling conditional tail probability and quantile estimators In: Papers.
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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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2021Machine Learning and Factor-Based Portfolio Optimization In: 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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2019Subordinate Resolution ‐‐ An Empirical Analysis of European Union Subsidiary Banks In: Journal of Common Market Studies.
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2015Subordinate Resolution - An Empirical Analysis of European Union Subsidiary Banks.(2015) In: Working Papers.
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2015A Comparative Anatomy of Residential REITs and Private Real Estate Markets: Returns, Risks and Distributional Characteristics In: Real Estate Economics.
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2017Asset allocation with correlation: A composite trade-off In: European Journal of Operational Research.
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2018Long-run wavelet-based correlation for financial time series In: European Journal of Operational Research.
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2022The non-linear trade-off between return and risk and its determinants In: Journal of Empirical Finance.
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2022The non-linear trade-off between return and risk and its determinants.(2022) In: Working Papers.
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2023A financial modeling approach to industry exchange-traded funds selection In: Journal of Empirical Finance.
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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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2020Beyond common equity: The influence of secondary capital on bank insolvency risk In: Journal of Financial Stability.
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2018Beyond Common Equity - The Influence of Secondary Capital on Bank Insolvency Risk.(2018) In: Working Papers.
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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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2024Diversification with globally integrated US stocks In: Journal of International Financial Markets, Institutions and Money.
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2022The illusion of oil return predictability: The choice of data matters! In: Journal of Banking & Finance.
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2022The illusion of oil return predictability: The choice of data matters!.(2022) In: Post-Print.
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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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2023Macro-financial spillovers In: Journal of International Money and Finance.
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2020Macro-Financial Spillovers.(2020) In: Working Papers.
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2019Credit default swaps as indicators of bank financial distress In: Journal of International Money and Finance.
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2016Credit Default Swaps as Indicators of Bank financial Distress.(2016) In: Working Papers.
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2023Commodity futures return predictability and intertemporal asset pricing In: Journal of Commodity Markets.
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2023Commodity futures return predictability and intertemporal asset pricing.(2023) In: Post-Print.
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2020Commodity Futures Return Predictability and Intertemporal Asset Pricing.(2020) In: Working Papers.
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2024Forecasting the price of oil: A cautionary note In: Journal of Commodity Markets.
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2012Re-Evaluating Hedging Performance for Asymmetry: The Case of Crude Oil In: Contemporary Studies in Economic and Financial Analysis.
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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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2007Exponential Spectral Risk Measures In: The IUP Journal of Financial 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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2023Co-Skewness across Return Horizons* In: Journal of Financial Econometrics.
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2019Co-skewness across Return Horizons.(2019) In: Working Papers.
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2022Co-skewness across Return Horizons.(2022) In: Working Papers.
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2015Can Housing Risk Be Diversified? A Cautionary Tale from the Housing Boom and Bust In: The Review of Financial Studies.
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2014Can housing risk be diversified? A cautionary tale from the housing boom and bust.(2014) In: Working Papers.
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2006Real & Nominal Foreign Exchange Volatility Effects on Exports – The Importance of Timing In: MPRA Paper.
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2005Re-evaluating Hedging Performance In: MPRA Paper.
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2011Re-evaluating Hedging Performance.(2011) In: Working Papers.
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2006Reevaluating hedging performance.(2006) In: Journal of Futures Markets.
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2006Margin setting with high-frequency data In: MPRA Paper.
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2004Modelling extreme financial returns of global equity markets In: MPRA Paper.
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2000Volatility and the Euro: an Irish perspective In: MPRA Paper.
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2007Extreme risk in Asian equity markets In: MPRA Paper.
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2004Downside Risk for European Equity Markets In: MPRA Paper.
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2004Downside risk for European equity markets.(2004) In: Applied Financial Economics.
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2013Sovereign and bank CDS spreads: two sides of the same coin for European bank default predictability? In: MPRA Paper.
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2005Extreme risk in futures contracts In: Applied Economics Letters.
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2006Extreme Value Estimation of Boom and Crash Statistics In: The European Journal of Finance.
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2016Commodity futures hedging, risk aversion and the hedging horizon In: The European Journal of Finance.
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2012Commodity futures hedging, risk aversion and the hedging horizon.(2012) In: Working Papers.
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2019Spillovers in risk of financial institutions In: The European Journal of Finance.
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2018Spillovers in Risk of Financial Institutions.(2018) In: Working Papers.
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2011Margin Requirements with Intraday Dynamics In: Working Papers.
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2011Real and Nominal Foreign Exchange Volatility Effects on Exports – The Importance of Timing In: Working Papers.
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2011Intra-Day Seasonality in Foreign Market Transactions In: Working Papers.
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2011Intra-Day Seasonality in Foreign Market Transactions.(2011) In: Working Papers.
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2011Intra-Day Seasonality in Foreign Market Transactions.(2011) In: Working Papers.
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2012What Should Be Done About The Underfunding of Defined Benefit Pension Schemes? In: Working Papers.
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2015Long-run international diversification In: Working Papers.
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2016The Intervaling Effect on Higher-Order Co-Moments In: Working Papers.
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2016Nowhere to run, nowhere to hide: asset diversification in a flat world In: Working Papers.
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2019Nowhere to Run, Nowhere to Hide - Asset Diversification in a Flat World.(2019) In: Working Papers.
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