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Information about:
John Cotter

Personal Details | Affiliation | Works
This is information that was supplied by John Cotter in registering through RePEc. If you are John Cotter , you may change this information at RePEc. Or if you are not registered and would like to be listed as well, register at RePEc. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

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Personal Details

First Name: John
Middle Name:
Last Name: Cotter
Suffix:

RePEc Short-ID: pco227

Email: [This author has chosen not to make the email address public]
Homepage: http://www.ucd.ie/gsb/Banking_Finance/cotter.htm
Postal Address: Centre for Financial Markets School of Business University College Dublin Carysfort Avenue Blackrock Co Dublin
Phone:

Affiliation

(in no particular order)

Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  1. Cotter, John & Dowd, Kevin, 2007. "Exponential Spectral Risk Measures," MPRA Paper 3499, University Library of Munich, Germany. [Downloadable!]
    Published as:

  2. Cotter, John & Hanly, James, 2007. "Hedging Effectiveness under Conditions of Asymmetry," MPRA Paper 3501, University Library of Munich, Germany. [Downloadable!]

  3. Cotter, John & Dowd, Kevin, 2007. "Estimating financial risk measures for futures positions: a non-parametric approach," MPRA Paper 3503, University Library of Munich, Germany. [Downloadable!]

  4. 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. [Downloadable!]
    Published as:

  5. Cotter, John & Dowd, Kevin, 2007. "Evaluating the Precision of Estimators of Quantile-Based Risk Measures," MPRA Paper 3504, University Library of Munich, Germany. [Downloadable!]

  6. Cotter, John & Dowd, Kevin, 2007. "Intra-Day Seasonality in Foreign Exchange Market Transactions," MPRA Paper 3502, University Library of Munich, Germany. [Downloadable!]

  7. Cotter, John, 2007. "Extreme risk in Asian equity markets," MPRA Paper 3536, University Library of Munich, Germany. [Downloadable!]

  8. Cotter, John & Stevenson, Simon, 2007. "Modeling Long Memory in REITs," MPRA Paper 3500, University Library of Munich, Germany. [Downloadable!]
    Published as:

  9. Cotter, John & Dowd, Kevin, 2006. "U.S. Core Inflation: A Wavelet Analysis," MPRA Paper 3520, University Library of Munich, Germany. [Downloadable!]

  10. Cotter, John & Longin, Francois, 2006. "Implied correlation from VaR," MPRA Paper 3506, University Library of Munich, Germany. [Downloadable!]

  11. 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. [Downloadable!]

  12. 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. [Downloadable!]

  13. Cotter, John, 2006. "Modelling catastrophic risk in international equity markets: An extreme value approach," MPRA Paper 3507, University Library of Munich, Germany. [Downloadable!]
    Published as:

  14. Cotter, JOhn & Dowd, Kevin, 2006. "Extreme Spectral Risk Measures: An Application to Futures Clearinghouse Margin Requirements," MPRA Paper 3505, University Library of Munich, Germany. [Downloadable!]
    Published as:

  15. Cotter, John, 2006. "Real & Nominal Foreign Exchange Volatility Effects on Exports – The Importance of Timing," MPRA Paper 3494, University Library of Munich, Germany. [Downloadable!]

  16. Cotter, John & Hanly, James, 2005. "Re-evaluating Hedging Performance," MPRA Paper 3523, University Library of Munich, Germany. [Downloadable!]

  17. Cotter, John & Stevenson, Simon, 2005. "Multivariate Modeling of Daily REIT Volatility," MPRA Paper 3524, University Library of Munich, Germany. [Downloadable!]
    Published as:

  18. Cotter, John & Bredin, Don, 2005. "Volatility and Irish Exports," MPRA Paper 3522, University Library of Munich, Germany. [Downloadable!]
    Published as:

  19. Cotter, John, 2004. "Uncovering Long Memory in High Frequency UK Futures," MPRA Paper 3525, University Library of Munich, Germany. [Downloadable!]

  20. 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. [Downloadable!]

  21. Cotter, John, 2004. "Modelling extreme financial returns of global equity markets," MPRA Paper 3532, University Library of Munich, Germany. [Downloadable!]

  22. Cotter, John, 2004. "Downside Risk for European Equity Markets," MPRA Paper 3537, University Library of Munich, Germany. [Downloadable!]
    Published as:

  23. Cotter, John & Longin, Francois, 2004. "Margin setting with high-frequency data," MPRA Paper 3528, University Library of Munich, Germany, revised 2006. [Downloadable!]

  24. 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. [Downloadable!]
    Published as:

  25. Cotter, John & Stevenson, Simon, 2004. "Uncovering Volatility Dynamics in Daily REIT Returns," MPRA Paper 3533, University Library of Munich, Germany, revised 2005. [Downloadable!]

  26. Cotter, John, 2004. "Tail Behaviour of the Euro," MPRA Paper 3531, University Library of Munich, Germany, revised 2005. [Downloadable!]
    Published as:

  27. Cotter, John, 2004. "Absolute Return Volatility," MPRA Paper 3529, University Library of Munich, Germany, revised 2005. [Downloadable!]
    Other versions:

  28. Cotter, John, 2004. "Varying the VaR for Unconditional and Conditional Environments," MPRA Paper 3483, University Library of Munich, Germany. [Downloadable!]
    Published as:

  29. Cotter, John, 2004. "Minimum Capital Requirement Calculations for UK Futures," MPRA Paper 3527, University Library of Munich, Germany. [Downloadable!]

  30. Cotter, John, 2000. "Volatility and the Euro: an Irish perspective," MPRA Paper 3535, University Library of Munich, Germany. [Downloadable!]

  31. Cotter, John, 2000. "Margin Exceedences for European Stock Index Futures using Extreme Value Theory," MPRA Paper 3534, University Library of Munich, Germany, revised 2001. [Downloadable!]
    Published as:

  32. Cotter, J. & Gallagher, L., 1994. "Event Studies of Irish Equities: Earnings Announcements, Seasonality and Size," Papers 94-4, University College Cork - Department of Economics.

  33. John Cotter, . "UK Issue Announcement Effects: The Special Case Of Private Placements," Financial Market Papers 5, Financial Services Research Forum. [Downloadable!]

  34. John Cotter, . "Market Anomalies for the Irish Equity Market," Financial Market Papers 3, Financial Services Research Forum. [Downloadable!]

Articles

  1. 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. [Downloadable!] (restricted)

  2. 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. [Downloadable!] (restricted)
    Other versions:

  3. Don Bredin & John Cotter, 2008. "Volatility And Irish Exports," Economic Inquiry, Western Economic Association International, vol. 46(4), pages 540-560, October. [Downloadable!] (restricted)
    Other versions:

  4. 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. [Downloadable!] (restricted)
    Other versions:

  5. Kevin Dowd & John Cotter, 2007. "Exponential Spectral Risk Measures," Icfai University Journal of Financial Economics, Icfai Press, vol. 0(4), pages 57-66, December.
    Other versions:

  6. 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. [Downloadable!] (restricted)
    Other versions:

  7. 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. [Downloadable!] (restricted)
    Other versions:

  8. John Cotter, 2006. "Extreme Value Estimation of Boom and Crash Statistics," European Journal of Finance, Taylor and Francis Journals, vol. 12(6-7), pages 553-566, October. [Downloadable!] (restricted)

  9. 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. [Downloadable!] (restricted)
    Other versions:

  10. 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. [Downloadable!] (restricted)
    Other versions:

  11. John Cotter, 2005. "Tail behaviour of the euro," Applied Economics, Taylor and Francis Journals, vol. 37(7), pages 827-840, April. [Downloadable!] (restricted)
    Other versions:

  12. John Cotter, 2005. "Extreme risk in futures contracts," Applied Economics Letters, Taylor and Francis Journals, vol. 12(8), pages 489-492, June. [Downloadable!] (restricted)

  13. John Cotter, 2004. "Downside risk for European equity markets," Applied Financial Economics, Taylor and Francis Journals, vol. 14(10), pages 707-716, June. [Downloadable!] (restricted)
    Other versions:

  14. 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. [Downloadable!] (restricted)
    Other versions:

  15. 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. [Downloadable!] (restricted)
    Other versions:

  16. 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, Blackwell Publishing, vol. 27(3-4), pages 487-510. [Downloadable!] (restricted)
    Published as:

NEP Fields

10 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BEC: Business Economics (1) 2007-06-18
  2. NEP-ECM: Econometrics (1) 2007-06-18
  3. NEP-EEC: European Economics (2) 2003-12-14 2003-12-14
  4. NEP-ETS: Econometric Time Series (4) 2007-06-18 2007-06-18 2007-06-18 2007-06-18 Author is listed
  5. NEP-FIN: Finance (1) 2003-12-14
  6. NEP-FMK: Financial Markets (2) 2003-12-14 2007-06-18
  7. NEP-IFN: International Finance (1) 2007-06-18
  8. NEP-MST: Market Microstructure (2) 2007-06-18 2007-06-18
  9. NEP-RMG: Risk Management (8) 2007-06-18 2007-06-18 2007-06-18 2007-06-18 2007-06-18 2007-06-18 2007-06-18 2007-06-18 Author is listed
  10. NEP-SEA: South East Asia (1) 2007-06-18
  11. NEP-UPT: Utility Models & Prospect Theory (1) 2007-06-18
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This page was last updated on 2009-11-22.

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