17
H index
31
i10 index
867
Citations
University of California-Los Angeles (UCLA) | 17 H index 31 i10 index 867 Citations RESEARCH PRODUCTION: 51 Articles 137 Papers 1 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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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: |
Working Papers Series with more than one paper published | # docs |
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Working Papers / Geary Institute, University College Dublin | 61 |
Papers / arXiv.org | 37 |
MPRA Paper / University Library of Munich, Germany | 34 |
Post-Print / HAL | 2 |
Year | Title of citing document |
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2024 | Multinomial Backtesting of Distortion Risk Measures. (2024). Weber, Stefan ; Bettels, Soren ; Kim, Sojung. In: Papers. RePEc:arx:papers:2201.06319. Full description at Econpapers || Download paper |
2025 | Estimation of Spectral Risk Measure for Left Truncated and Right Censored Data. (2025). Biswas, Suparna ; Sen, Rituparna. In: Papers. RePEc:arx:papers:2402.14322. Full description at Econpapers || Download paper |
2024 | Herding 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. Full description at Econpapers || Download paper |
2025 | An 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. Full description at Econpapers || Download paper |
2024 | Is This Normal? The Cost of Assuming that Derivatives Have Normal Returns. (2024). Raykov, Radoslav. In: Staff Working Papers. RePEc:bca:bocawp:24-46. Full description at Econpapers || Download paper |
2025 | Commonality under pressure: banks and funds. (2025). Cornelli, Giulio ; Aquilina, Matteo ; Tarashev, Nikola. In: BIS Quarterly Review. RePEc:bis:bisqtr:2503e. Full description at Econpapers || Download paper |
2024 | Transitory 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. Full description at Econpapers || Download paper |
2024 | Low‐ 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. Full description at Econpapers || Download paper |
2024 | Compound 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. Full description at Econpapers || Download paper |
2024 | Sustainable 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. Full description at Econpapers || Download paper |
2024 | Understanding 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. Full description at Econpapers || Download paper |
2024 | Financial 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. Full description at Econpapers || Download paper |
2024 | Ambiguity and risk in the oil market. (2024). Qadan, Mahmoud ; Ayoub, Mahmoud. In: Economic Modelling. RePEc:eee:ecmode:v:132:y:2024:i:c:s0264999324000075. Full description at Econpapers || Download paper |
2024 | Predicting 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. Full description at Econpapers || Download paper |
2024 | Unlocking 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. Full description at Econpapers || Download paper |
2024 | Chinas 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. Full description at Econpapers || Download paper |
2024 | Fifty 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. Full description at Econpapers || Download paper |
2024 | An 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. Full description at Econpapers || Download paper |
2024 | Dynamic 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. Full description at Econpapers || Download paper |
2025 | Is 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. Full description at Econpapers || Download paper |
2025 | Capital 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. Full description at Econpapers || Download paper |
2024 | Seeking 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. Full description at Econpapers || Download paper |
2024 | The 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. Full description at Econpapers || Download paper |
2024 | Macroeconomic 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. Full description at Econpapers || Download paper |
2024 | Are 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. Full description at Econpapers || Download paper |
2024 | Risk 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. Full description at Econpapers || Download paper |
2025 | Financial 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. Full description at Econpapers || Download paper |
2025 | Uncovering 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. Full description at Econpapers || Download paper |
2024 | Assessing 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. Full description at Econpapers || Download paper |
2024 | Bank 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. Full description at Econpapers || Download paper |
2024 | The 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. Full description at Econpapers || Download paper |
2024 | Nonlinearities 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. Full description at Econpapers || Download paper |
2024 | Forecasting 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. Full description at Econpapers || Download paper |
2024 | Safety 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. Full description at Econpapers || Download paper |
2024 | The 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. Full description at Econpapers || Download paper |
2024 | Asymmetric 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. Full description at Econpapers || Download paper |
2024 | Time-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. Full description at Econpapers || Download paper |
2024 | Urban 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. Full description at Econpapers || Download paper |
2024 | Business 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. Full description at Econpapers || Download paper |
2024 | Can 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. Full description at Econpapers || Download paper |
2025 | Risk 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. Full description at Econpapers || Download paper |
2024 | Bitcoin 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. Full description at Econpapers || Download paper |
2024 | Drivers 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. Full description at Econpapers || Download paper |
2024 | What 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. Full description at Econpapers || Download paper |
2024 | Integrating 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. Full description at Econpapers || Download paper |
2025 | Managing 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. Full description at Econpapers || Download paper |
2025 | Generalizable 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. Full description at Econpapers || Download paper |
2025 | Sectoral 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. Full description at Econpapers || Download paper |
2024 | Les 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. Full description at Econpapers || Download paper |
2024 | Constructing 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. Full description at Econpapers || Download paper |
2024 | High-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. Full description at Econpapers || Download paper |
2024 | Spread 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. Full description at Econpapers || Download paper |
2024 | Volatility 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. Full description at Econpapers || Download paper |
2025 | Analyzing 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. Full description at Econpapers || Download paper |
2025 | Spectral 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. Full description at Econpapers || Download paper |
2025 | Is 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. Full description at Econpapers || Download paper |
2025 | Utilizing 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. Full description at Econpapers || Download paper |
2025 | Herding 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. Full description at Econpapers || Download paper |
2024 | Idiosyncrasies 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. Full description at Econpapers || Download paper |
2024 | Enduring 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. Full description at Econpapers || Download paper |
2024 | Point 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. Full description at Econpapers || Download paper |
2024 | An 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. Full description at Econpapers || Download paper |
2025 | Asymmetric 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. Full description at Econpapers || Download paper |
2024 | Can Futures Prices Predict the Real Price of Primary Commodities?. (2024). Markos, Stephen Snudden. In: LCERPA Working Papers. RePEc:wlu:lcerpa:jc0145. Full description at Econpapers || Download paper |
2024 | Statistical 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. Full description at Econpapers || Download paper |
2025 | Behavioural 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. Full description at Econpapers || Download paper |
2025 | The 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. Full description at Econpapers || Download paper |
2025 | Climate 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. Full description at Econpapers || Download paper |
2024 | Tail 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. Full description at Econpapers || Download paper |
2024 | Hedging 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. Full description at Econpapers || Download paper |
2024 | A 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. Full description at Econpapers || Download paper |
2024 | Exploring 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. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2011 | An Empirical Analysis of Dynamic Multiscale Hedging using Wavelet Decomposition In: Papers. [Full Text][Citation analysis] | paper | 35 |
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: 35 | 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: 35 | 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: 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 | 19 |
2007 | Hedging Effectiveness under Conditions of Asymmetry.(2007) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 19 | 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: 19 | article | |
2011 | Hedging Effectiveness under Conditions of Asymmetry.(2011) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 19 | 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 | 10 |
2005 | Uncovering Volatility Dynamics in Daily REIT Returns.(2005) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | paper | |
2007 | Uncovering Volatility Dynamics in Daily REIT Returns.(2007) In: Journal of Real Estate Portfolio Management. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | article | |
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 | 20 |
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: 20 | 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: 20 | 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: 20 | 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 | 42 |
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: 42 | 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: 42 | 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: 42 | 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 | 86 |
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: 86 | article | |
2005 | Multivariate Modeling of Daily REIT Volatility.(2005) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 86 | paper | |
2011 | Multivariate Modelling of Daily REIT Volatility.(2011) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 86 | 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 | 10 |
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: 10 | 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: 10 | 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: 10 | article | |
2011 | Spectral Risk Measures and the Choice of Risk Aversion Function In: Papers. [Full Text][Citation analysis] | paper | 1 |
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 | 40 |
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: 40 | article | |
2010 | Spectral Risk Measures: Properties and Limitations.(2010) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 40 | paper | |
2011 | Extreme Measures of Agricultural Financial Risk In: Papers. [Full Text][Citation analysis] | paper | 8 |
2012 | Extreme Measures of Agricultural Financial Risk.(2012) In: Journal of Agricultural Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | 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 |
Hedging: scaling and the investor horizon.() In: Journal of Risk. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | ||
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 | 13 |
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: 13 | 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: 13 | 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 | 14 |
2012 | A utility based approach to energy hedging.(2012) In: Energy Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | article | |
2011 | A Utility Based Approach to Energy Hedging.(2011) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | 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 | 15 |
2011 | Integration and contagion in US housing markets.(2011) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 15 | paper | |
2011 | Integration and Contagion in US Housing Markets.(2011) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 15 | 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 | 24 |
2014 | Anatomy of a bail-in.(2014) In: Journal of Financial Stability. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 24 | article | |
2014 | Anatomy of a Bail-In.(2014) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 24 | 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 | 2 |
2021 | Machine Learning and Factor-Based Portfolio Optimization.(2021) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | 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 | 19 |
2018 | Long-run wavelet-based correlation for financial time series In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 12 |
2022 | The non-linear trade-off between return and risk and its determinants In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 2 |
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: 2 | paper | |
2023 | A financial modeling approach to industry exchange-traded funds selection In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 0 |
2013 | Downside risk and the energy hedgers horizon In: Energy Economics. [Full Text][Citation analysis] | article | 30 |
2012 | Downside risk and the energy hedgers horizon.(2012) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 30 | paper | |
2015 | Performance of utility based hedges In: Energy Economics. [Full Text][Citation analysis] | article | 21 |
2014 | Performance of Utility Based Hedges.(2014) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 21 | 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 | 6 |
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: 6 | paper | |
2017 | Predictability and diversification benefits of investing in commodity and currency futures In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 8 |
2020 | Beyond common equity: The influence of secondary capital on bank insolvency risk In: Journal of Financial Stability. [Full Text][Citation analysis] | article | 13 |
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: 13 | 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 | 31 |
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: 31 | 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: 31 | paper | |
2024 | Diversification with globally integrated US stocks In: Journal of International Financial Markets, Institutions and Money. [Full Text][Citation analysis] | article | 2 |
2022 | The illusion of oil return predictability: The choice of data matters! In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 7 |
2022 | The illusion of oil return predictability: The choice of data matters!.(2022) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
2001 | Margin exceedences for European stock index futures using extreme value theory In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 26 |
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: 26 | paper | |
2023 | Macro-financial spillovers In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 10 |
2020 | Macro-Financial Spillovers.(2020) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | paper | |
2019 | Credit default swaps as indicators of bank financial distress In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 17 |
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: 17 | paper | |
2023 | Commodity futures return predictability and intertemporal asset pricing In: Journal of Commodity Markets. [Full Text][Citation analysis] | article | 4 |
2023 | Commodity futures return predictability and intertemporal asset pricing.(2023) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
2020 | Commodity Futures Return Predictability and Intertemporal Asset Pricing.(2020) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
2024 | Forecasting the price of oil: A cautionary note In: Journal of Commodity Markets. [Full Text][Citation analysis] | article | 1 |
2012 | Re-Evaluating Hedging Performance for Asymmetry: The Case of Crude Oil In: Contemporary Studies in Economic and Financial Analysis. [Full Text][Citation analysis] | chapter | 0 |
1994 | Event Studies of Irish Equities: Earnings Announcements, Seasonality and Size. In: University College Cork - Department of Economics. [Citation analysis] | paper | 0 |
2007 | Exponential Spectral Risk Measures In: The IUP Journal of Financial Economics. [Citation analysis] | article | 1 |
2017 | Mixed-Frequency Macro-Financial Spillovers In: Koç University-TUSIAD Economic Research Forum Working Papers. [Full Text][Citation analysis] | paper | 10 |
2017 | Mixed-frequency macro-financial spillovers.(2017) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | paper | |
2004 | Realized volatility and minimum capital requirements In: Money Macro and Finance (MMF) Research Group Conference 2003. [Full Text][Citation analysis] | paper | 0 |
2023 | Co-Skewness across Return Horizons* In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 1 |
2019 | Co-skewness across Return Horizons.(2019) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
2022 | Co-skewness across Return Horizons.(2022) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
2015 | Can Housing Risk Be Diversified? A Cautionary Tale from the Housing Boom and Bust In: The Review of Financial Studies. [Full Text][Citation analysis] | article | 30 |
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: 30 | 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 |
2004 | Downside risk for European equity markets.(2004) In: Applied Financial Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | article | |
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 | 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 | 40 |
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: 40 | 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 | 3 |
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: 3 | paper | |
2018 | Are equity market anomalies disappearing? Evidence from the U.K. In: Working Papers. [Full Text][Citation analysis] | paper | 3 |
2019 | Integration Among US Banks In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
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