john cotter : Citation Profile


Are you john cotter?

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

17

H index

28

i10 index

811

Citations

RESEARCH PRODUCTION:

49

Articles

137

Papers

1

Chapters

RESEARCH ACTIVITY:

   30 years (1994 - 2024). See details.
   Cites by year: 27
   Journals where john cotter has often published
   Relations with other researchers
   Recent citing documents: 73.    Total self citations: 74 (8.36 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pco227
   Updated: 2024-11-04    RAS profile: 2024-09-09    
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Relations with other researchers


Works with:

Conlon, Thomas (12)

Potì, Valerio (3)

Eyiah-Donkor, Emmanuel (3)

Yilmaz, Kamil (2)

Hallam, Mark (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with john cotter.

Is cited by:

Conlon, Thomas (22)

Gil-Alana, Luis (17)

GUPTA, RANGAN (16)

Torro, Hipolit (14)

Stevenson, Simon (13)

Liow, Kim (12)

Corbet, Shaen (10)

Bredin, Don (9)

Guidolin, Massimo (9)

Subramaniam, Ravichandran (8)

Shrestha, Keshab (8)

Cites to:

Campbell, John (43)

Diebold, Francis (31)

Kilian, Lutz (30)

Engle, Robert (27)

Conlon, Thomas (26)

Bollerslev, Tim (21)

Bekaert, Geert (20)

merton, robert (18)

Stulz, René (17)

Baumeister, Christiane (16)

French, Kenneth (16)

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
Journal of Banking & Finance3
International Review of Financial Analysis3
Journal of International Money and Finance3
European Journal of Operational Research2
Journal of International Financial Markets, Institutions and Money2
Journal of Financial Stability2
Real Estate Economics2
Journal of Empirical Finance2
Journal of Commodity Markets2

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 (2024 and 2023)


YearTitle of citing document
2023Kernel Based Estimation of Spectral Risk Measures. (2019). Sen, Rituparna ; Biswas, Suparna . In: Papers. RePEc:arx:papers:1903.03304.

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2024Multinomial Backtesting of Distortion Risk Measures. (2022). Kim, Sojung ; Bettels, Soren ; Weber, Stefan. In: Papers. RePEc:arx:papers:2201.06319.

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2023Adaptive hedging horizon and hedging performance estimation. (2023). Han, Qing ; Di, Junpeng ; Haoyu, Wang. In: Papers. RePEc:arx:papers:2302.00251.

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2023Mean-variance hybrid portfolio optimization with quantile-based risk measure. (2023). Zhou, KE ; Gao, Jianjun ; Lin, YU ; Wu, Weiping. In: Papers. RePEc:arx:papers:2303.15830.

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2023Monetary policy, ownership structure, and risk?taking at financial intermediaries. (2023). Figueira, Catarina ; Caselli, Giorgio. In: The Financial Review. RePEc:bla:finrev:v:58:y:2023:i:1:p:167-191.

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2023Nature of comovements in US state and MSA housing prices. (2023). Banerjee, Piyali ; Lee, Junsoo ; Lu, Yan ; Tidwell, Alan. In: Real Estate Economics. RePEc:bla:reesec:v:51:y:2023:i:4:p:959-989.

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2023Competition and Risk Taking in Local Bank Markets: Evidence from the Business Loans Segment. (2023). Ulsaker, Simen ; Nilsen, Oivind Anti ; Canta, Chiara. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10448.

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2023Quantifying Systemic Risk in the Presence of Unlisted Banks: Application to the European Banking Sector. (2023). van Wijnbergen, Sweder ; Dimitrov, Daniel. In: Working Papers. RePEc:dnb:dnbwpp:768.

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

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2023Bidding strategy of integrated energy system considering decision maker’s subjective risk aversion. (2023). Yu, Feng ; Liu, Chuanquan ; Zhou, Qihui. In: Applied Energy. RePEc:eee:appene:v:341:y:2023:i:c:s0306261923004932.

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

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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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2023Inter-regional dependence of J-REIT stock prices: A heteroscedasticity-robust time series approach. (2023). Iitsuka, Yoshitaka ; Motegi, Kaiji. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822001759.

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

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2023Corporate credit risk counter-cyclical interdependence: A systematic analysis of cross-border and cross-sector correlation dynamics. (2023). Christopoulos, Apostolos ; Zopounidis, Constantin ; Karanasos, Menelaos ; Yfanti, Stavroula. In: European Journal of Operational Research. RePEc:eee:ejores:v:304:y:2023:i:2:p:813-831.

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2023Hedging with automatic liquidation and leverage selection on bitcoin futures. (2023). Zou, Bin ; Deng, Jun ; Alexander, Carol. In: European Journal of Operational Research. RePEc:eee:ejores:v:306:y:2023:i:1:p:478-493.

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2023Modeling and forecasting dynamic conditional correlations with opening, high, low, and closing prices. (2023). Fiszeder, Piotr ; Molnar, Peter ; Fadziski, Marcin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:308-321.

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2023Competition and risk taking in local bank markets: Evidence from the business loans segment. (2023). Ulsaker, Simen ; Nilsen, Øivind ; Canta, Chiara. In: Journal of Empirical Finance. RePEc:eee:empfin:v:73:y:2023:i:c:p:153-169.

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2023The commodity risk premium and neural networks. (2023). faff, robert ; Yew, Rand Kwong ; Rad, Hossein ; Miffre, Joelle. In: Journal of Empirical Finance. RePEc:eee:empfin:v:74:y:2023:i:c:s0927539823001007.

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2023Revisiting the pricing benchmarks for Asian LNG — An equilibrium analysis. (2023). Luo, Meifeng ; Wu, Shining ; Yang, Dong ; Zhang, Lingge. In: Energy. RePEc:eee:energy:v:262:y:2023:i:pa:s0360544222023088.

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2023The equity-oil hedge: A comparison between volatility and alternative risk frameworks. (2023). Kuang, Wei. In: Energy. RePEc:eee:energy:v:271:y:2023:i:c:s0360544223004395.

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2023A novel downside beta and expected stock returns. (2023). Liu, Jinjing. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922004057.

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2023Measuring minimum variance hedging effectiveness: Traditional vs. sophisticated models. (2023). Karmakar, Madhusudan ; Sharma, Udayan. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001370.

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2023The impact of bank FinTech on commercial banks risk-taking in China. (2023). Yang, Keng ; Jin, Tianhe ; Wu, Xin ; Qi, Hanying. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s105752192300460x.

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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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2023Not a short-run noise! The low-frequency volatility of energy inflation. (2023). Giri, Federico ; Andreani, Michele. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322006535.

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2023Can bonds hedge stock market risks? Green bonds vs conventional bonds. (2023). Yoon, Seong-Min ; Nie, Siyue ; Xiong, Youlin ; Dong, Xiyong. In: Finance Research Letters. RePEc:eee:finlet:v:52:y:2023:i:c:s154461232200544x.

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2023The mitigation role of corporate sustainability: Evidence from the CDS spread. (2023). la Rosa, Giovanni ; Galloppo, Giuseppe ; Caiazza, Stefano. In: Finance Research Letters. RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322007371.

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2023Inflation and systemic risk: A network econometric model. (2023). Rambaud, Salvador Cruz ; Garcia, Javier Sanchez. In: Finance Research Letters. RePEc:eee:finlet:v:56:y:2023:i:c:s1544612323004762.

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2023Inter-industry risk spillover, role reversal, and economic stability. (2023). Luo, Qingtian ; Zhu, Zongyuan. In: Finance Research Letters. RePEc:eee:finlet:v:57:y:2023:i:c:s1544612323006189.

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2023Climate, geopolitical, and energy market risk interconnectedness: Evidence from a new climate risk index. (2023). Tian, Sihua ; Li, Shaofang ; Gu, Qinen ; Wang, Yuyouting. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pb:s154461232300764x.

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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). Dong, Xiyong ; Yoon, Seong-Min ; Shen, Jun ; Xiong, Youlin. In: Finance Research Letters. RePEc:eee:finlet:v:61:y:2024:i:c:s1544612324000503.

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2023CEO power, bank risk-taking and national culture: International evidence. (2023). Amini, Shima ; Murinde, Victor ; Uddin, Moshfique ; Pour, Eilnaz Kashefi. In: Journal of Financial Stability. RePEc:eee:finsta:v:67:y:2023:i:c:s1572308923000335.

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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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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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2023Forecasts of the real price of oil revisited: Do they beat the random walk?. (2023). Snudden, Stephen ; Ellwanger, Reinhard. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:154:y:2023:i:c:s0378426623001619.

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2023How ‘bad’ is renter protection for institutional investment in multifamily housing?. (2023). Milcheva, Stanimira ; McCollum, Meagan. In: Journal of Housing Economics. RePEc:eee:jhouse:v:59:y:2023:i:pa:s1051137722000845.

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2023The term effect of financial cycle variables on GDP growth. (2023). Xiao, Yang ; Wang, BO. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:139:y:2023:i:c:s0261560623001717.

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2023Does safe haven exist? Tail risks of commodity markets during COVID-19 pandemic. (2023). Stankov, Petar ; Mensi, Walid ; Enilov, Martin. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:29:y:2023:i:c:s2405851322000642.

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2023Composite jet fuel cross-hedging. (2023). Conlon, Thomas ; Cao, Min. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851322000289.

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2023Testing the forecasting power of global economic conditions for the volatility of international REITs using a GARCH-MIDAS approach. (2023). Salisu, Afees ; GUPTA, RANGAN ; Bouri, Elie. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:88:y:2023:i:c:p:303-314.

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2023Long-run and short-run impact of the U.S. economy on stock, bond and housing markets: An evaluation of U.S. and six major economies. (2023). Yunus, Nafeesa. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:90:y:2023:i:c:p:211-232.

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2024The effect of economic and political uncertainty on sovereign CDS spreads. (2024). Pan, Wei-Fong ; Wang, Xinjie ; Zhang, Jinfan ; Xu, Weike ; Xiao, Yaqing. 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). Tiwari, Aviral ; Doan, Buhari ; Aikins, Emmanuel Joel ; Wohar, Mark ; Adekoya, Oluwasegun B. In: International Review of Economics & Finance. RePEc:eee:reveco:v:92:y:2024:i:c:p:470-502.

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2023Nonlinearity in forecasting energy commodity prices: Evidence from a focused time-delayed neural network. (2023). Abedin, Mohammad Zoynul ; Fisher, Ben ; Hajek, Petr ; Bouteska, Ahmed. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531922002495.

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

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2023New Classes of Distortion Risk Measures and Their Estimation. (2023). Wang, Xiwen ; Sepanski, Jungsywan H. In: Risks. RePEc:gam:jrisks:v:11:y:2023:i:11:p:194-:d:1277752.

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2023Competition and risk taking in local bank markets: evidence from the business loans segment. (2023). Ulsaker, Simen ; Nilsen, Oivind A ; Canta, Chiara. In: Discussion Paper Series in Economics. RePEc:hhs:nhheco:2023_010.

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2023Hedging With Futures: Contract in the Indian Stock Market. (2023). Krishnan, Deepika. In: International Journal of Applied Behavioral Economics (IJABE). RePEc:igg:jabe00:v:12:y:2023:i:1:p:1-18.

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2023Fractional Integration and Volatility Transmission Between Real Estate and Stock Markets: Novel Evidence from a FIGARCH-BEKK Approach. (2023). Babalos, Vassilios ; Kiohos, Apostolos ; Koulakiotis, Athanasios ; Kyriakou, Maria I. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:66:y:2023:i:4:d:10.1007_s11146-021-09879-5.

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2023The Predictability of Real Estate Excess Returns: An Out-of-Sample Economic Value Analysis. (2023). Guidolin, Massimo ; Petrova, Milena T ; Pedio, Manuela. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:67:y:2023:i:1:d:10.1007_s11146-020-09769-2.

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2023Housing Risk and Returns in Submarkets with Spatial Dependence and Heterogeneity. (2023). Earl, G ; Morawakage, P S ; Omura, A ; Roca, E ; Liu, B. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:67:y:2023:i:4:d:10.1007_s11146-021-09877-7.

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2023Hedging performance of volatility index futures: a partial cointegration approach. (2023). Sheu, Her-Jiun ; Lien, Donald ; Lee, Hsiu-Chuan. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:61:y:2023:i:1:d:10.1007_s11156-023-01153-4.

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2023Common risk factors and risk–return trade-off for REITs and treasuries. (2023). Tewari, Manish ; ben Bouheni, Faten. In: Journal of Asset Management. RePEc:pal:assmgt:v:24:y:2023:i:5:d:10.1057_s41260-023-00309-0.

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2023Reassessing bank monitoring models: an empirical analysis of the value of market signals in the period 2008–2020. (2023). Pacheco, Luis ; Lobo, Julio ; Costa, Tania. In: Journal of Banking Regulation. RePEc:pal:jbkreg:v:24:y:2023:i:2:d:10.1057_s41261-022-00194-4.

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2023Decoupling VaR and regulatory capital: an examination of practitioners’ experience of market risk regulation. (2023). Killian, Sheila ; Cummins, Mark ; McCullagh, Orla. In: Journal of Banking Regulation. RePEc:pal:jbkreg:v:24:y:2023:i:3:d:10.1057_s41261-022-00199-z.

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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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2024Use of high?frequency data to evaluate the performance of dynamic hedging strategies. (2022). Lai, Yusheng. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:1:p:104-124.

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Works by john cotter:


YearTitleTypeCited
2011An Empirical Analysis of Dynamic Multiscale Hedging using Wavelet Decomposition In: Papers.
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2011An Empirical Analysis of Dynamic Multiscale Hedging using Wavelet Decomposition.(2011) In: Working Papers.
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2012An empirical analysis of dynamic multiscale hedging using wavelet decomposition.(2012) In: Journal of Futures Markets.
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This paper has nother version. Agregated cites: 34
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2011Spectral Risk Measures with an Application to Futures Clearinghouse Variation Margin Requirements In: Papers.
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2006Spectral Risk Measures with an Application to Futures Clearinghouse Variation Margin Requirements.(2006) In: MPRA Paper.
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2011Spectral Risk Measures with an Application to Futures Clearinghouse Variation Margin Requirements.(2011) In: Working Papers.
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2011Spectral Risk Measures with an Application to Futures Clearinghouse Variation Margin Requirements.(2011) In: Working Papers.
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This paper has nother version. Agregated cites: 8
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2011Exponential Spectral Risk Measures In: Papers.
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2007Exponential Spectral Risk Measures.(2007) In: The IUP Journal of Financial Economics.
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This paper has nother version. Agregated cites: 1
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2007Exponential Spectral Risk Measures.(2007) In: MPRA Paper.
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2011Hedging Effectiveness under Conditions of Asymmetry In: Papers.
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2007Hedging Effectiveness under Conditions of Asymmetry.(2007) In: MPRA Paper.
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2012Hedging effectiveness under conditions of asymmetry.(2012) In: The European Journal of Finance.
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2011Hedging Effectiveness under Conditions of Asymmetry.(2011) In: Working Papers.
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2011Margin setting with high-frequency data1 In: Papers.
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2011Modeling Long Memory in REITs In: Papers.
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2008Modeling Long Memory in REITs.(2008) In: Real Estate Economics.
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2007Modeling Long Memory in REITs.(2007) In: MPRA Paper.
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This paper has nother version. Agregated cites: 34
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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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.() In: .
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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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This paper has nother version. Agregated cites: 19
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2011Varying the VaR for Unconditional and Conditional Environments.(2011) In: Working Papers.
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This paper has nother version. Agregated cites: 19
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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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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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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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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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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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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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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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2015Subordinate Resolution - An Empirical Analysis of European Union Subsidiary Banks 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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