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John Cotter

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Personal Details

First Name: John
Middle Name:
Last Name: Cotter
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RePEc Short-ID: pco227

Email:
Homepage: http://www.ucd.ie/bankingfinance/staff/professorjohncotter/
Postal Address: Centre for Financial Markets School of Business University College Dublin Carysfort Avenue Blackrock Co Dublin
Phone: 0035317168900

Affiliation

(in no particular order)

Works

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Working papers

  1. John Cotter & Davide Avino, 2014. "Sovereign and bank CDS spreads: two sides of the same coin?," Working Papers 201402, Geary Institute, University College Dublin.
  2. John Cotter & Jim Hanly, 2014. "Performance of Utility Based Hedges," Working Papers 201404, Geary Institute, University College Dublin.
  3. Thomas Conlon & John Cotter, 2014. "Anatomy of a Bail-In," Working Papers 201405, Geary Institute, University College Dublin.
  4. John Cotter & Niall O'Sullivan & Francesco Rossi, 2014. "The Conditional Pricing of Systematic and Idiosyncratic Risk in the UK Equity Market," Working Papers 201403, Geary Institute, University College Dublin.
  5. John Cotter & Stuart Gabriel & Richard Roll, 2012. "Can metropolitan housing risk be diversified? A cautionary tale from the recent boom and bust," Working Papers 201217, Geary Institute, University College Dublin.
  6. Thomas Conlon & John Cotter, 2012. "Downside risk and the energy hedger's horizon," Working Papers 201219, Geary Institute, University College Dublin.
  7. Thomas Conlon & John Cotter & Ramazan Gencay, 2012. "Commodity futures hedging, risk aversion and the hedging horizon," Working Papers 201218, Geary Institute, University College Dublin.
  8. John Cotter & David Blake & Kevin Dowd, 2012. "What Should Be Done About The Underfunding of Defined Benefit Pension Schemes?," Working Papers 201202, Geary Institute, University College Dublin.
  9. John Cotter & Jim Hanly, 2011. "A Utility Based Approach to Energy Hedging," Working Papers 201106, Geary Institute, University College Dublin.
  10. John Cotter & Stuart Gabriel & Richard Roll, 2011. "Integration and Contagion in US Housing Markets," Papers 1110.4119, arXiv.org.
  11. John Cotter & Kevin Dowd, 2011. "Intra-Day Seasonality in Foreign Market Transactions," Working Papers 200744, Geary Institute, University College Dublin.
  12. John Cotter & Francois Longin, 2011. "Margin Requirements with Intraday Dynamics," Working Papers 200519, Geary Institute, University College Dublin.
  13. kevin dowd & john cotter, 2011. "Spectral Risk Measures and the Choice of Risk Aversion Function," Papers 1103.5668, arXiv.org.
  14. John Cotter & Kevin Dowd & Wyn Morgan, 2011. "Extreme Measures of Agricultural Financial Risk," Papers 1103.5962, arXiv.org.
  15. Thomas Conlon & John Cotter, 2011. "An Empirical Analysis of Dynamic Multiscale Hedging using Wavelet Decomposition," Working Papers 201104, Geary Institute, University College Dublin.
  16. John Cotter & Fran\c{c}ois Longin, 2011. "Margin setting with high-frequency data1," Papers 1103.5412, arXiv.org.
  17. John Cotter & Don Bredin, 2011. "Real and Nominal Foreign Exchange Volatility Effects on Exports – The Importance of Timing," Working Papers 200619, Geary Institute, University College Dublin.
  18. John Cotter & Jim Hanly, 2010. "Hedging: Scaling and the Investor Horizon," Working Papers 201002, Geary Institute, University College Dublin.
  19. John Cotter & Richard Roll, 2010. "A Comparative Anatomy of REITs and Residential Real Estate Indexes: Returns, Risks and Distributional Characteristics," Working Papers 201008, Geary Institute, University College Dublin.
  20. Kevin Dowd & John Cotter & Ghulam Sorwar, 2010. "Spectral Risk Measures: Properties and Limitations," Working Papers 200839, Geary Institute, University College Dublin.
  21. Karl Case & John Cotter & Stuart Gabriel, 2010. "Housing Risk and Return: Evidence From a Housing Asset-Pricing Model," Working Papers 201005, Geary Institute, University College Dublin.
  22. Kevin Dowd & Margaret Woods & John Cotter & Chris Humphrey, 2010. "How Unlucky is 25-Sigma?," Working Papers 200838, Geary Institute, University College Dublin.
  23. John Cotter, 2010. "Scaling conditional tail probability and quantile estimators," Working Papers 201006, Geary Institute, University College Dublin.
  24. John Cotter & Jim Hanly, 2010. "Time Varying Risk Aversion: An Application to Energy Hedging," Working Papers 201007, Geary Institute, University College Dublin.
  25. Cotter, John & Stevenson, Simon, 2007. "Modeling Long Memory in REITs," MPRA Paper 3500, University Library of Munich, Germany.
  26. Cotter, John & Hanly, James, 2007. "Hedging Effectiveness under Conditions of Asymmetry," MPRA Paper 3501, University Library of Munich, Germany.
  27. Cotter, John & Dowd, Kevin, 2007. "Exponential Spectral Risk Measures," MPRA Paper 3499, University Library of Munich, Germany.
  28. Cotter, John, 2007. "Extreme risk in Asian equity markets," MPRA Paper 3536, University Library of Munich, Germany.
  29. Cotter, John & Dowd, Kevin, 2007. "Intra-Day Seasonality in Foreign Exchange Market Transactions," MPRA Paper 3502, University Library of Munich, Germany.
  30. Cotter, John & Dowd, Kevin, 2007. "Estimating financial risk measures for futures positions: a non-parametric approach," MPRA Paper 3503, University Library of Munich, Germany.
  31. Cotter, John & Dowd, Kevin, 2007. "The tail risks of FX return distributions: a comparison of the returns associated with limit orders and market orders," MPRA Paper 3493, University Library of Munich, Germany.
  32. Cotter, John & Dowd, Kevin, 2007. "Evaluating the Precision of Estimators of Quantile-Based Risk Measures," MPRA Paper 3504, University Library of Munich, Germany.
  33. Cotter, John & Longin, Francois, 2006. "Implied correlation from VaR," MPRA Paper 3506, University Library of Munich, Germany.
  34. Cotter, JOhn & Dowd, Kevin, 2006. "Extreme Spectral Risk Measures: An Application to Futures Clearinghouse Margin Requirements," MPRA Paper 3505, University Library of Munich, Germany.
  35. Cotter, John, 2006. "Modelling catastrophic risk in international equity markets: An extreme value approach," MPRA Paper 3507, University Library of Munich, Germany.
  36. Cotter, John, 2006. "Real & Nominal Foreign Exchange Volatility Effects on Exports – The Importance of Timing," MPRA Paper 3494, University Library of Munich, Germany.
  37. Cotter, John & Dowd, Kevin, 2006. "U.S. Core Inflation: A Wavelet Analysis," MPRA Paper 3520, University Library of Munich, Germany.
  38. Cotter, John & Blake, David & Dowd, Kevin, 2006. "Financial Risks and the Pension Protection Fund: Can it Survive Them?," MPRA Paper 3498, University Library of Munich, Germany.
  39. Cotter, John & Dowd, Kevin, 2006. "Spectral Risk Measures with an Application to Futures Clearinghouse Variation Margin Requirements," MPRA Paper 3495, University Library of Munich, Germany.
  40. Cotter, John & Bredin, Don, 2005. "Volatility and Irish Exports," MPRA Paper 3522, University Library of Munich, Germany.
  41. Cotter, John & Hanly, James, 2005. "Re-evaluating Hedging Performance," MPRA Paper 3523, University Library of Munich, Germany.
  42. Cotter, John & Stevenson, Simon, 2005. "Multivariate Modeling of Daily REIT Volatility," MPRA Paper 3524, University Library of Munich, Germany.
  43. Cotter, John, 2004. "Minimum Capital Requirement Calculations for UK Futures," MPRA Paper 3527, University Library of Munich, Germany.
  44. Cotter, John, 2004. "Absolute Return Volatility," MPRA Paper 3529, University Library of Munich, Germany, revised 2005.
  45. Cotter, John & Longin, Francois, 2004. "Margin setting with high-frequency data," MPRA Paper 3528, University Library of Munich, Germany, revised 2006.
  46. Cotter, John, 2004. "Modelling extreme financial returns of global equity markets," MPRA Paper 3532, University Library of Munich, Germany.
  47. Cotter, John, 2004. "Varying the VaR for Unconditional and Conditional Environments," MPRA Paper 3483, University Library of Munich, Germany.
  48. Cotter, John, 2004. "International Equity Market Integration in a Small Open Economy: Ireland January 1990 – December 2000," MPRA Paper 3538, University Library of Munich, Germany.
  49. Cotter, John, 2004. "Downside Risk for European Equity Markets," MPRA Paper 3537, University Library of Munich, Germany.
  50. Cotter, John, 2004. "Uncovering Long Memory in High Frequency UK Futures," MPRA Paper 3525, University Library of Munich, Germany.
  51. John Cotter, 2004. "Realized volatility and minimum capital requirements," Money Macro and Finance (MMF) Research Group Conference 2003 20, Money Macro and Finance Research Group.
  52. Cotter, John, 2004. "Tail Behaviour of the Euro," MPRA Paper 3531, University Library of Munich, Germany, revised 2005.
  53. Cotter, John & Stevenson, Simon, 2004. "Uncovering Volatility Dynamics in Daily REIT Returns," MPRA Paper 3533, University Library of Munich, Germany, revised 2005.
  54. Cotter, John, 2000. "Volatility and the Euro: an Irish perspective," MPRA Paper 3535, University Library of Munich, Germany.
  55. Cotter, John, 2000. "Margin Exceedences for European Stock Index Futures using Extreme Value Theory," MPRA Paper 3534, University Library of Munich, Germany, revised 2001.
  56. Cotter, J. & Gallagher, L., 1994. "Event Studies of Irish Equities: Earnings Announcements, Seasonality and Size," Papers 94-4, University College Cork - Department of Economics.

Articles

  1. Conlon, Thomas & Cotter, John, 2013. "Downside risk and the energy hedger's horizon," Energy Economics, Elsevier, vol. 36(C), pages 371-379.
  2. Wyn Morgan & John Cotter & Kevin Dowd, 2012. "Extreme Measures of Agricultural Financial Risk," Journal of Agricultural Economics, Wiley Blackwell, vol. 63(1), pages 65-82, 02.
  3. Cotter, John & Hanly, Jim, 2012. "A utility based approach to energy hedging," Energy Economics, Elsevier, vol. 34(3), pages 817-827.
  4. John Cotter & Jim Hanly, 2012. "Hedging effectiveness under conditions of asymmetry," The European Journal of Finance, Taylor & Francis Journals, vol. 18(2), pages 135-147, February.
  5. Thomas Conlon & John Cotter, 2012. "An empirical analysis of dynamic multiscale hedging using wavelet decomposition," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 32(3), pages 272-299, 03.
  6. Dowd, Kevin & Cotter, John & Loh, Lixia, 2011. "U.S. Core Inflation: A Wavelet Analysis," Macroeconomic Dynamics, Cambridge University Press, vol. 15(04), pages 513-536, September.
  7. Cotter, John & Dowd, Kevin, 2010. "Intra-day seasonality in foreign exchange market transactions," International Review of Economics & Finance, Elsevier, vol. 19(2), pages 287-294, April.
  8. Cotter, John & Hanly, Jim, 2010. "Time-varying risk aversion: An application to energy hedging," Energy Economics, Elsevier, vol. 32(2), pages 432-441, March.
  9. Don Bredin & John Cotter, 2008. "Volatility And Irish Exports," Economic Inquiry, Western Economic Association International, vol. 46(4), pages 540-560, October.
  10. Kevin Dowd & John Cotter & Ghulam Sorwar, 2008. "Spectral Risk Measures: Properties and Limitations," Journal of Financial Services Research, Springer, vol. 34(1), pages 61-75, August.
  11. John Cotter & Simon Stevenson, 2008. "Modeling Long Memory in REITs," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 36(3), pages 533-554, 09.
  12. Cotter, John & Dowd, Kevin, 2007. "The tail risks of FX return distributions: A comparison of the returns associated with limit orders and market orders," Finance Research Letters, Elsevier, vol. 4(3), pages 146-154, September.
  13. Cotter, John, 2007. "Varying the VaR for unconditional and conditional environments," Journal of International Money and Finance, Elsevier, vol. 26(8), pages 1338-1354, December.
  14. Kevin Dowd & John Cotter, 2007. "Exponential Spectral Risk Measures," The IUP Journal of Financial Economics, IUP Publications, vol. 0(4), pages 57-66, December.
  15. John Cotter & Simon Stevenson, 2006. "Multivariate Modeling of Daily REIT Volatility," The Journal of Real Estate Finance and Economics, Springer, vol. 32(3), pages 305-325, May.
  16. John Cotter, 2006. "Modelling catastrophic risk in international equity markets: an extreme value approach," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 2(1), pages 13-17, January.
  17. John Cotter, 2006. "Extreme Value Estimation of Boom and Crash Statistics," The European Journal of Finance, Taylor & Francis Journals, vol. 12(6-7), pages 553-566.
  18. Cotter, John & Dowd, Kevin, 2006. "Extreme spectral risk measures: An application to futures clearinghouse margin requirements," Journal of Banking & Finance, Elsevier, vol. 30(12), pages 3469-3485, December.
  19. John Cotter, 2005. "Tail behaviour of the euro," Applied Economics, Taylor & Francis Journals, vol. 37(7), pages 827-840.
  20. John Cotter, 2005. "Uncovering long memory in high frequency UK futures," The European Journal of Finance, Taylor & Francis Journals, vol. 11(4), pages 325-337.
  21. John Cotter, 2005. "Extreme risk in futures contracts," Applied Economics Letters, Taylor & Francis Journals, vol. 12(8), pages 489-492.
  22. Cotter, John, 2004. "International equity market integration in a small open economy: Ireland January 1990-December 2000," International Review of Financial Analysis, Elsevier, vol. 13(5), pages 669-685.
  23. John Cotter, 2004. "Downside risk for European equity markets," Applied Financial Economics, Taylor & Francis Journals, vol. 14(10), pages 707-716.
  24. Cotter, John, 2001. "Margin exceedences for European stock index futures using extreme value theory," Journal of Banking & Finance, Elsevier, vol. 25(8), pages 1475-1502, August.
  25. John Cotter & Donal G. McKillop, 2000. "The Distributional Characteristics of a Selection of Contracts Traded on the London International Financial Futures Exchange," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 27(3-4), pages 487-510.

NEP Fields

84 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-AGR: Agricultural Economics (1) 2011-04-09
  2. NEP-BAN: Banking (8) 2011-04-09 2011-04-09 2011-04-09 2011-04-09 2011-07-27 2011-07-27 2014-03-15 2014-03-15. Author is listed
  3. NEP-BEC: Business Economics (4) 2007-06-18 2010-04-24 2011-04-09 2011-07-27
  4. NEP-CBA: Central Banking (5) 2011-04-09 2011-07-13 2011-07-27 2014-03-15 2014-03-15. Author is listed
  5. NEP-CTA: Contract Theory & Applications (2) 2011-04-09 2011-07-02
  6. NEP-ECM: Econometrics (1) 2007-06-18
  7. NEP-EEC: European Economics (4) 2011-04-09 2011-07-27 2014-03-15 2014-03-15
  8. NEP-ENE: Energy Economics (6) 2010-04-17 2011-03-12 2011-04-09 2011-04-09 2012-09-30 2014-03-15. Author is listed
  9. NEP-ETS: Econometric Time Series (8) 2007-06-18 2007-06-18 2007-06-18 2007-06-18 2011-04-09 2011-06-11 2011-07-02 2011-07-02. Author is listed
  10. NEP-FMK: Financial Markets (4) 2007-06-18 2011-04-09 2011-04-09 2014-03-15
  11. NEP-FOR: Forecasting (2) 2011-04-09 2011-07-27
  12. NEP-HME: Heterodox Microeconomics (2) 2011-11-01 2011-11-21
  13. NEP-IAS: Insurance Economics (2) 2011-04-09 2011-07-02
  14. NEP-IFN: International Finance (1) 2007-06-18
  15. NEP-INT: International Trade (2) 2011-07-02 2011-07-27
  16. NEP-MAC: Macroeconomics (2) 2011-04-09 2011-07-13
  17. NEP-MIC: Microeconomics (2) 2011-04-09 2011-04-09
  18. NEP-MON: Monetary Economics (4) 2011-04-09 2011-04-09 2011-07-13 2011-07-27
  19. NEP-MST: Market Microstructure (12) 2007-06-18 2007-06-18 2011-04-09 2011-04-09 2011-04-09 2011-04-09 2011-04-09 2011-06-11 2011-07-02 2011-07-02 2011-07-02 2011-07-27. Author is listed
  20. NEP-OPM: Open Economy Macroeconomics (1) 2011-07-27
  21. NEP-RMG: Risk Management (60) 2007-06-18 2007-06-18 2007-06-18 2007-06-18 2007-06-18 2007-06-18 2007-06-18 2007-06-18 2010-04-17 2010-04-24 2011-03-12 2011-03-12 2011-04-02 2011-04-09 2011-04-09 2011-04-09 2011-04-09 2011-04-09 2011-04-09 2011-04-09 2011-04-09 2011-04-09 2011-04-09 2011-04-09 2011-04-09 2011-04-09 2011-04-09 2011-04-09 2011-04-09 2011-04-09 2011-04-09 2011-04-09 2011-04-09 2011-04-09 2011-04-09 2011-04-09 2011-04-09 2011-04-09 2011-04-09 2011-06-11 2011-06-11 2011-07-02 2011-07-02 2011-07-02 2011-07-02 2011-07-02 2011-07-02 2011-07-02 2011-07-02 2011-07-02 2011-07-02 2011-07-02 2011-07-27 2011-07-27 2011-07-27 2011-07-27 2011-07-27 2012-09-30 2014-03-15 2014-03-15. Author is listed
  22. NEP-SEA: South East Asia (1) 2007-06-18
  23. NEP-UPT: Utility Models & Prospect Theory (20) 2007-06-18 2010-04-17 2010-04-24 2011-03-12 2011-04-09 2011-04-09 2011-04-09 2011-04-09 2011-04-09 2011-04-09 2011-04-09 2011-04-09 2011-04-09 2011-07-02 2011-07-02 2011-07-02 2011-07-02 2011-07-02 2012-09-30 2014-03-15. Author is listed
  24. NEP-URE: Urban & Real Estate Economics (8) 2010-04-17 2010-04-17 2011-04-09 2011-04-09 2011-11-01 2011-11-14 2011-11-21 2012-08-23. Author is listed

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