IDEAS home Printed from https://ideas.repec.org/d/cfucdie.html

Publications

by members of

University College Dublin → School of Business → Centre for Financial Markets (CFM)

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institution, not those affilated at the time of publication. List of registered members. Register yourself. Citation analysis. This page is updated in the first days of each month.
| Working papers | Journal articles | Chapters |

Working papers

2026

  1. Thomas Conlon & John Cotter & Iason Kynigakis, 2026, "Machine Learning Forecasts of Asymmetric Betas Using Firm-Specific Information," Papers, arXiv.org, number 2604.22933, Apr.

2023

  1. John Cotter & Emmanuel Eyiah-Donkor & Valerio Potì, 2023, "Commodity futures return predictability and intertemporal asset pricing," Post-Print, HAL, number hal-04192933, Sep, DOI: 10.1016/j.jcomm.2022.100289.

2022

  1. Thomas Conlon & John Cotter & Emmanuel Eyiah-Donkor, 2022, "The illusion of oil return predictability: The choice of data matters!," Post-Print, HAL, number hal-03519860, Jan, DOI: 10.1016/j.jbankfin.2021.106331.
  2. John Cotter & Enrique Salvador, 2022, "The non-linear trade-off between return and risk and its determinants," Working Papers, Geary Institute, University College Dublin, number 202203, Feb.

2021

  1. Thomas Conlon & John Cotter & Iason Kynigakis, 2021, "Machine Learning and Factor-Based Portfolio Optimization," Papers, arXiv.org, number 2107.13866, Jul.

2020

  1. John Cotter & Mark Hallam & Kamil Yilmaz, 2020, "Macro-Financial Spillovers," Working Papers, Geary Institute, University College Dublin, number 202005, Jul.

2019

  1. Thomas Conlon & John Cotter & Chenglu Jin, 2019, "Co-skewness across Return Horizons," Working Papers, Geary Institute, University College Dublin, number 201910, Jul.
  2. Abhinav Anand & John Cotter, 2019, "Integration Among US Banks," Working Papers, Geary Institute, University College Dublin, number 201913, Sep.

2018

  1. John Cotter & Niall McGeever, 2018, "Are equity market anomalies disappearing? Evidence from the U.K," Working Papers, Geary Institute, University College Dublin, number 201804, Feb.
  2. John Cotter & Anita Suurlaht, 2018, "Spillovers in Risk of Financial Institutions," Working Papers, Geary Institute, University College Dublin, number 201805, Feb.
  3. Thomas Conlon & John Cotter & Philip Molyneux, 2018, "Beyond Common Equity - The Influence of Secondary Capital on Bank Insolvency Risk," Working Papers, Geary Institute, University College Dublin, number 201806, Feb.

2017

  1. John Cotter & Mark Hallam & Kamil Yilmaz, 2017, "Mixed-Frequency Macro-Financial Spillovers," Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum, number 1704, Feb.

2016

  1. Davide Avino & Thomas Conlon & John Cotter, 2016, "Credit Default Swaps as Indicators of Bank financial Distress," Working Papers, Geary Institute, University College Dublin, number 201601, Jan.
  2. Thomas Conlon & John Cotter & Chenglu Jin, 2016, "The Intervaling Effect on Higher-Order Co-Moments," Working Papers, Geary Institute, University College Dublin, number 201602, Jan.
  3. John Cotter & Stuart Gabriel & Richard Roll, 2016, "Nowhere to run, nowhere to hide: asset diversification in a flat world," Working Papers, Geary Institute, University College Dublin, number 201612, Nov.

2015

  1. Thomas Conlon & John Cotter, 2015, "Subordinate Resolution - An Empirical Analysis of European Union Subsidiary Banks," Working Papers, Geary Institute, University College Dublin, number 201501, Feb.
  2. Thomas Conlon & John Cotter & Ramazan Gençay, 2015, "Long-run international diversification," Working Papers, Geary Institute, University College Dublin, number 201502, Mar.

2014

  1. Thomas Conlon & John Cotter, 2014, "Anatomy of a Bail-In," Papers, arXiv.org, number 1403.7628, Mar.
  2. John Cotter & Enrique Salvador, 2014, "The non-linear trade-off between return and risk: a regime-switching multi-factor framework," Papers, arXiv.org, number 1410.6005, Oct.
  3. Avino, Davide & Cotter, John, 2014, "Sovereign and bank CDS spreads: two sides of the same coin?," MPRA Paper, University Library of Munich, Germany, number 55208.
  4. John Cotter & Niall O'Sullivan & Francesco Rossi, 2014, "The Conditional Pricing of Systematic and Idiosyncratic Risk in the UK Equity Market," Working Papers, Geary Institute, University College Dublin, number 201403, Feb.
  5. John Cotter & Jim Hanly, 2014, "Performance of Utility Based Hedges," Working Papers, Geary Institute, University College Dublin, number 201404, Feb.
  6. John Cotter & Stuart Gabriel & Richard Roll, 2014, "Can housing risk be diversified? A cautionary tale from the housing boom and bust," Working Papers, Geary Institute, University College Dublin, number 201412, Oct.

2013

  1. Avino, Davide & Cotter, John, 2013, "Sovereign and bank CDS spreads: two sides of the same coin for European bank default predictability?," MPRA Paper, University Library of Munich, Germany, number 56782, Jun.

2012

  1. John Cotter & Stuart Gabriel & Richard Roll, 2012, "Can Metropolitan Housing Risk be Diversified? A Cautionary Tale from the Recent Boom and Bust," Papers, arXiv.org, number 1208.0371, Aug.
  2. John Cotter & David Blake & Kevin Dowd, 2012, "What Should Be Done About The Underfunding of Defined Benefit Pension Schemes?," Working Papers, Geary Institute, University College Dublin, number 201202, Jan.
  3. Thomas Conlon & John Cotter & Ramazan Gencay, 2012, "Commodity futures hedging, risk aversion and the hedging horizon," Working Papers, Geary Institute, University College Dublin, number 201218, Sep.
  4. Thomas Conlon & John Cotter, 2012, "Downside risk and the energy hedger's horizon," Working Papers, Geary Institute, University College Dublin, number 201219, Sep.

2011

  1. Thomas Conlon & John Cotter, 2011, "An Empirical Analysis of Dynamic Multiscale Hedging using Wavelet Decomposition," Papers, arXiv.org, number 1103.4943, Mar.
  2. John Cotter & Kevin Dowd, 2011, "Spectral Risk Measures with an Application to Futures Clearinghouse Variation Margin Requirements," Papers, arXiv.org, number 1103.5408, Mar.
  3. Kevin Dowd & John Cotter, 2011, "Exponential Spectral Risk Measures," Papers, arXiv.org, number 1103.5409, Mar.
  4. John Cotter & Jim Hanly, 2011, "Hedging Effectiveness under Conditions of Asymmetry," Papers, arXiv.org, number 1103.5411, Mar.
  5. John Cotter & Franc{c}ois Longin, 2011, "Margin setting with high-frequency data1," Papers, arXiv.org, number 1103.5412, Mar.
  6. John Cotter & Simon Stevenson, 2011, "Modeling Long Memory in REITs," Papers, arXiv.org, number 1103.5414, Mar.
  7. John Cotter, 2011, "Minimum Capital Requirement Calculations for UK Futures," Papers, arXiv.org, number 1103.5416, Mar.
  8. John Cotter & Simon Stevenson, 2011, "Uncovering Volatility Dynamics in Daily REIT Returns," Papers, arXiv.org, number 1103.5417, Mar.
  9. John Cotter, 2011, "Tail Behaviour of the Euro," Papers, arXiv.org, number 1103.5418, Mar.
  10. John Cotter, 2011, "Varying the VaR for Unconditional and Conditional Environments," Papers, arXiv.org, number 1103.5649, Mar.
  11. John Cotter, 2011, "Uncovering Long Memory in High Frequency UK Futures," Papers, arXiv.org, number 1103.5651, Mar.
  12. John Cotter & Kevin Dowd, 2011, "Extreme Spectral Risk Measures: An Application to Futures Clearinghouse Margin Requirements," Papers, arXiv.org, number 1103.5653, Mar.
  13. John Cotter & Franc{c}ois Longin, 2011, "Implied correlation from VaR," Papers, arXiv.org, number 1103.5655, Mar.
  14. john cotter, 2011, "Modelling catastrophic risk in international equity markets: An extreme value approach," Papers, arXiv.org, number 1103.5656, Mar.
  15. kevin dowd & john cotter, 2011, "U.S. Core Inflation: A Wavelet Analysis," Papers, arXiv.org, number 1103.5659, Mar.
  16. John Cotter & Simon Stevenson, 2011, "Multivariate Modeling of Daily REIT Volatility," Papers, arXiv.org, number 1103.5660, Mar.
  17. john cotter & kevin dowd, 2011, "The tail risks of FX return distributions: a comparison of the returns associated with limit orders and market orders," Papers, arXiv.org, number 1103.5661, Mar.
  18. john cotter & kevin dowd, 2011, "Intra-Day Seasonality in Foreign Exchange Market Transactions," Papers, arXiv.org, number 1103.5664, Mar.
  19. Kevin Dowd & John Cotter, 2011, "Evaluating the Precision of Estimators of Quantile-Based Risk Measures," Papers, arXiv.org, number 1103.5665, Mar.
  20. john cotter & kevin dowd, 2011, "Estimating financial risk measures for futures positions: a non-parametric approach," Papers, arXiv.org, number 1103.5666, Mar.
  21. kevin dowd & john cotter, 2011, "Spectral Risk Measures and the Choice of Risk Aversion Function," Papers, arXiv.org, number 1103.5668, Mar.
  22. Kevin Dowd & John Cotter & Chris Humphrey & Margaret Woods, 2011, "How Unlucky is 25-Sigma?," Papers, arXiv.org, number 1103.5672, Mar.
  23. Kevin Dowd & John Cotter & Ghulam Sorwar, 2011, "Spectral Risk Measures: Properties and Limitations," Papers, arXiv.org, number 1103.5674, Mar.
  24. John Cotter & Kevin Dowd & Wyn Morgan, 2011, "Extreme Measures of Agricultural Financial Risk," Papers, arXiv.org, number 1103.5962, Mar.
  25. John Cotter, 2011, "Scaling conditional tail probability and quantile estimators," Papers, arXiv.org, number 1103.5965, Mar.
  26. John Cotter & Jim Hanly, 2011, "Hedging: Scaling and the Investor Horizon," Papers, arXiv.org, number 1103.5966, Mar.
  27. John Cotter & Jim Hanly, 2011, "Time Varying Risk Aversion: An Application to Energy Hedging," Papers, arXiv.org, number 1103.5968, Mar.
  28. Karl Case & John Cotter & Stuart Gabriel, 2011, "Housing risk and return: Evidence from a housing asset-pricing model," Papers, arXiv.org, number 1103.5971, Mar.
  29. John Cotter & Richard Roll, 2011, "A Comparative Anatomy of REITs and Residential Real Estate Indexes: Returns, Risks and Distributional Characteristics," Papers, arXiv.org, number 1103.5972, Mar.
  30. John Cotter & Jim Hanly, 2011, "A Utility Based Approach to Energy Hedging," Papers, arXiv.org, number 1103.5973, Mar.
  31. John Cotter, 2011, "Absolute Return Volatility," Papers, arXiv.org, number 1103.5976, Mar.
  32. David Blake & John Cotter & Kevin Dowd, 2011, "Financial Risks and the Pension Protection Fund: Can it Survive Them?," Papers, arXiv.org, number 1103.5978, Mar.
  33. John Cotter & Stuart Gabriel & Richard Roll, 2011, "Integration and Contagion in US Housing Markets," Papers, arXiv.org, number 1110.4119, Oct.
  34. John Cotter & Don Bredin, 2011, "Real and Nominal Foreign Exchange Volatility Effects on Exports – The Importance of Timing," Working Papers, Geary Institute, University College Dublin, number 200619, 07.
  35. John Cotter & Kevin Dowd, 2011, "Intra-Day Seasonality in Foreign Market Transactions," Working Papers, Geary Institute, University College Dublin, number 200744, Jun.

2007

  1. Cotter, John, 2007, "Extreme risk in Asian equity markets," MPRA Paper, University Library of Munich, Germany, number 3536.

2006

  1. Cotter, John, 2006, "Real & Nominal Foreign Exchange Volatility Effects on Exports – The Importance of Timing," MPRA Paper, University Library of Munich, Germany, number 3494.

2005

  1. Cotter, John & Bredin, Don, 2005, "Volatility and Irish Exports," MPRA Paper, University Library of Munich, Germany, number 3522.
  2. Cotter, John & Hanly, James, 2005, "Re-evaluating Hedging Performance," MPRA Paper, University Library of Munich, Germany, number 3523.

2004

  1. John Cotter, 2004, "Realized volatility and minimum capital requirements," Money Macro and Finance (MMF) Research Group Conference 2003, Money Macro and Finance Research Group, number 20, Sep.
  2. Cotter, John & Longin, Francois, 2004, "Margin setting with high-frequency data," MPRA Paper, University Library of Munich, Germany, number 3528, revised 2006.
  3. Cotter, John, 2004, "Modelling extreme financial returns of global equity markets," MPRA Paper, University Library of Munich, Germany, number 3532.
  4. Cotter, John, 2004, "Downside Risk for European Equity Markets," MPRA Paper, University Library of Munich, Germany, number 3537.
  5. Cotter, John, 2004, "International Equity Market Integration in a Small Open Economy: Ireland January 1990 – December 2000," MPRA Paper, University Library of Munich, Germany, number 3538.
  6. John Cotter & François Longin, 2004, "Margin requirements with intraday dynamics," Centre for Financial Markets Working Papers, Research Repository, University College Dublin, number 10197/1162, Jun.
  7. John Cotter, 2004, "Modelling financial crises of global equity markets," Centre for Financial Markets Working Papers, Research Repository, University College Dublin, number 10197/1181.

2000

  1. Cotter, John, 2000, "Margin Exceedences for European Stock Index Futures using Extreme Value Theory," MPRA Paper, University Library of Munich, Germany, number 3534, revised 2001.
  2. Cotter, John, 2000, "Volatility and the Euro: an Irish perspective," MPRA Paper, University Library of Munich, Germany, number 3535.

1994

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

Journal articles

2026

  1. Conlon, Thomas & Cotter, John & Ropotos, Ioannis, 2026, "Drivers of firm-level tail dependence: A machine learning approach," Journal of Economic Dynamics and Control, Elsevier, volume 182, issue C, DOI: 10.1016/j.jedc.2025.105207.

2025

  1. Conlon, Thomas & Cotter, John & Kynigakis, Iason, 2025, "Asset allocation with factor-based covariance matrices," European Journal of Operational Research, Elsevier, volume 325, issue 1, pages 189-203, DOI: 10.1016/j.ejor.2025.03.015.
  2. Conlon, Thomas & Cotter, John & Ropotos, Ioannis, 2025, "Trends and key determinants of firm-level integration," Journal of International Money and Finance, Elsevier, volume 157, issue C, DOI: 10.1016/j.jimonfin.2025.103376.

2024

  1. Conlon, Thomas & Cotter, John & Ropotos, Ioannis, 2024, "Diversification with globally integrated US stocks," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 90, issue C, DOI: 10.1016/j.intfin.2023.101889.
  2. Conlon, Thomas & Cotter, John & Eyiah-Donkor, Emmanuel, 2024, "Forecasting the price of oil: A cautionary note," Journal of Commodity Markets, Elsevier, volume 33, issue C, DOI: 10.1016/j.jcomm.2023.100378.

2023

  1. Conlon, Thomas & Cotter, John & Kovalenko, Illia & Post, Thierry, 2023, "A financial modeling approach to industry exchange-traded funds selection," Journal of Empirical Finance, Elsevier, volume 74, issue C, DOI: 10.1016/j.jempfin.2023.101441.
  2. Cotter, John & Hallam, Mark & Yilmaz, Kamil, 2023, "Macro-financial spillovers," Journal of International Money and Finance, Elsevier, volume 133, issue C, DOI: 10.1016/j.jimonfin.2023.102824.
  3. Cotter, John & Eyiah-Donkor, Emmanuel & Potì, Valerio, 2023, "Commodity futures return predictability and intertemporal asset pricing," Journal of Commodity Markets, Elsevier, volume 31, issue C, DOI: 10.1016/j.jcomm.2022.100289.
  4. Chenglu Jin & Thomas Conlon & John Cotter, 2023, "Co-Skewness across Return Horizons," Journal of Financial Econometrics, Oxford University Press, volume 21, issue 5, pages 1483-1518.

2022

  1. Cotter, John & Salvador, Enrique, 2022, "The non-linear trade-off between return and risk and its determinants," Journal of Empirical Finance, Elsevier, volume 67, issue C, pages 100-132, DOI: 10.1016/j.jempfin.2022.03.002.
  2. Conlon, Thomas & Cotter, John & Eyiah-Donkor, Emmanuel, 2022, "The illusion of oil return predictability: The choice of data matters!," Journal of Banking & Finance, Elsevier, volume 134, issue C, DOI: 10.1016/j.jbankfin.2021.106331.

2020

  1. Conlon, Thomas & Cotter, John & Molyneux, Philip, 2020, "Beyond common equity: The influence of secondary capital on bank insolvency risk," Journal of Financial Stability, Elsevier, volume 47, issue C, DOI: 10.1016/j.jfs.2020.100732.

2019

  1. Thomas Conlon & John Cotter, 2019, "Subordinate Resolution ‐‐ An Empirical Analysis of European Union Subsidiary Banks," Journal of Common Market Studies, Wiley Blackwell, volume 57, issue 4, pages 857-876, July, DOI: 10.1111/jcms.12849.
  2. Avino, Davide E. & Conlon, Thomas & Cotter, John, 2019, "Credit default swaps as indicators of bank financial distress," Journal of International Money and Finance, Elsevier, volume 94, issue C, pages 132-139, DOI: 10.1016/j.jimonfin.2019.03.001.
  3. John Cotter & Anita Suurlaht, 2019, "Spillovers in risk of financial institutions," The European Journal of Finance, Taylor & Francis Journals, volume 25, issue 17, pages 1765-1792, November, DOI: 10.1080/1351847X.2019.1635897.

2018

  1. Conlon, Thomas & Cotter, John & Gençay, Ramazan, 2018, "Long-run wavelet-based correlation for financial time series," European Journal of Operational Research, Elsevier, volume 271, issue 2, pages 676-696, DOI: 10.1016/j.ejor.2018.05.028.

2017

  1. Carroll, Rachael & Conlon, Thomas & Cotter, John & Salvador, Enrique, 2017, "Asset allocation with correlation: A composite trade-off," European Journal of Operational Research, Elsevier, volume 262, issue 3, pages 1164-1180, DOI: 10.1016/j.ejor.2017.04.015.
  2. Cotter, John & Eyiah-Donkor, Emmanuel & Potì, Valerio, 2017, "Predictability and diversification benefits of investing in commodity and currency futures," International Review of Financial Analysis, Elsevier, volume 50, issue C, pages 52-66, DOI: 10.1016/j.irfa.2016.12.009.

2016

  1. Thomas Conlon & John Cotter & Ramazan Gençay, 2016, "Commodity futures hedging, risk aversion and the hedging horizon," The European Journal of Finance, Taylor & Francis Journals, volume 22, issue 15, pages 1534-1560, December, DOI: 10.1080/1351847X.2015.1031912.

2015

  1. John Cotter & Richard Roll, 2015, "A Comparative Anatomy of Residential REITs and Private Real Estate Markets: Returns, Risks and Distributional Characteristics," Real Estate Economics, American Real Estate and Urban Economics Association, volume 43, issue 1, pages 209-240, March.
  2. Cotter, John & Hanly, Jim, 2015, "Performance of utility based hedges," Energy Economics, Elsevier, volume 49, issue C, pages 718-726, DOI: 10.1016/j.eneco.2015.04.004.
  3. Cotter, John & Sullivan, Niall O' & Rossi, Francesco, 2015, "The conditional pricing of systematic and idiosyncratic risk in the UK equity market," International Review of Financial Analysis, Elsevier, volume 37, issue C, pages 184-193, DOI: 10.1016/j.irfa.2014.10.002.
  4. John Cotter & Stuart Gabriel & Richard Roll, 2015, "Can Housing Risk Be Diversified? A Cautionary Tale from the Housing Boom and Bust," The Review of Financial Studies, Society for Financial Studies, volume 28, issue 3, pages 913-936.

2014

  1. Conlon, Thomas & Cotter, John, 2014, "Anatomy of a bail-in," Journal of Financial Stability, Elsevier, volume 15, issue C, pages 257-263, DOI: 10.1016/j.jfs.2014.04.001.
  2. Avino, Davide & Cotter, John, 2014, "Sovereign and bank CDS spreads: Two sides of the same coin?," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 32, issue C, pages 72-85, DOI: 10.1016/j.intfin.2014.05.007.

2013

  1. Conlon, Thomas & Cotter, John, 2013, "Downside risk and the energy hedger's horizon," Energy Economics, Elsevier, volume 36, issue C, pages 371-379, DOI: 10.1016/j.eneco.2012.09.012.

2012

  1. Wyn Morgan & John Cotter & Kevin Dowd, 2012, "Extreme Measures of Agricultural Financial Risk," Journal of Agricultural Economics, Wiley Blackwell, volume 63, issue 1, pages 65-82, February, DOI: j.1477-9552.2011.00322.x.
  2. Cotter, John & Hanly, Jim, 2012, "A utility based approach to energy hedging," Energy Economics, Elsevier, volume 34, issue 3, pages 817-827, DOI: 10.1016/j.eneco.2011.07.009.
  3. John Cotter & Jim Hanly, 2012, "Hedging effectiveness under conditions of asymmetry," The European Journal of Finance, Taylor & Francis Journals, volume 18, issue 2, pages 135-147, February, DOI: 10.1080/1351847X.2011.574977.
  4. Thomas Conlon & John Cotter, 2012, "An empirical analysis of dynamic multiscale hedging using wavelet decomposition," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 32, issue 3, pages 272-299, March.

2011

  1. Dowd, Kevin & Cotter, John & Loh, Lixia, 2011, "U.S. Core Inflation: A Wavelet Analysis," Macroeconomic Dynamics, Cambridge University Press, volume 15, issue 4, pages 513-536, September.

2010

  1. Cotter, John & Hanly, Jim, 2010, "Time-varying risk aversion: An application to energy hedging," Energy Economics, Elsevier, volume 32, issue 2, pages 432-441, March.
  2. Cotter, John & Dowd, Kevin, 2010, "Intra-day seasonality in foreign exchange market transactions," International Review of Economics & Finance, Elsevier, volume 19, issue 2, pages 287-294, April.
  3. John Cotter & Kevin Dowd, 2010, "Estimating financial risk measures for futures positions: A nonparametric approach," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 30, issue 7, pages 689-703, July.

2008

  1. Don Bredin & John Cotter, 2008, "Volatility And Irish Exports," Economic Inquiry, Western Economic Association International, volume 46, issue 4, pages 540-560, October, DOI: 10.1111/j.1465-7295.2007.00101.x.
  2. John Cotter & Simon Stevenson, 2008, "Modeling Long Memory in REITs," Real Estate Economics, American Real Estate and Urban Economics Association, volume 36, issue 3, pages 533-554, September, DOI: 10.1111/j.1540-6229.2008.00221.x.
  3. Kevin Dowd & John Cotter & Ghulam Sorwar, 2008, "Spectral Risk Measures: Properties and Limitations," Journal of Financial Services Research, Springer;Western Finance Association, volume 34, issue 1, pages 61-75, August, DOI: 10.1007/s10693-008-0035-6.

2007

  1. 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, volume 4, issue 3, pages 146-154, September.
  2. Cotter, John, 2007, "Varying the VaR for unconditional and conditional environments," Journal of International Money and Finance, Elsevier, volume 26, issue 8, pages 1338-1354, December.
  3. John Cotter & Simon Stevenson, 2007, "Uncovering Volatility Dynamics in Daily REIT Returns," Journal of Real Estate Portfolio Management, Taylor & Francis Journals, volume 13, issue 2, pages 119-128, January, DOI: 10.1080/10835547.2007.12089770.

2006

  1. Cotter, John & Dowd, Kevin, 2006, "Extreme spectral risk measures: An application to futures clearinghouse margin requirements," Journal of Banking & Finance, Elsevier, volume 30, issue 12, pages 3469-3485, December.
  2. John Cotter & Simon Stevenson, 2006, "Multivariate Modeling of Daily REIT Volatility," The Journal of Real Estate Finance and Economics, Springer, volume 32, issue 3, pages 305-325, May, DOI: 10.1007/s11146-006-6804-9.
  3. John Cotter, 2006, "Extreme Value Estimation of Boom and Crash Statistics," The European Journal of Finance, Taylor & Francis Journals, volume 12, issue 6-7, pages 553-566, DOI: 10.1080/13518470500460111.
  4. John Cotter & Jim Hanly, 2006, "Reevaluating hedging performance," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 26, issue 7, pages 677-702, July.

2005

  1. John Cotter, 2005, "Extreme risk in futures contracts," Applied Economics Letters, Taylor & Francis Journals, volume 12, issue 8, pages 489-492, DOI: 10.1080/13504850500109816.
  2. John Cotter, 2005, "Tail behaviour of the euro," Applied Economics, Taylor & Francis Journals, volume 37, issue 7, pages 827-840, DOI: 10.1080/0003684042000338694.
  3. John Cotter, 2005, "Uncovering long memory in high frequency UK futures," The European Journal of Finance, Taylor & Francis Journals, volume 11, issue 4, pages 325-337, DOI: 10.1080/13518470410001674314.

2004

  1. Cotter, John, 2004, "International equity market integration in a small open economy: Ireland January 1990-December 2000," International Review of Financial Analysis, Elsevier, volume 13, issue 5, pages 669-685.
  2. John Cotter, 2004, "Downside risk for European equity markets," Applied Financial Economics, Taylor & Francis Journals, volume 14, issue 10, pages 707-716, DOI: 10.1080/0960310042000243547.
  3. John Cotter, 2004, "Minimum capital requirement calculations for UK futures," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 24, issue 2, pages 193-220, February.

2001

  1. Cotter, John, 2001, "Margin exceedences for European stock index futures using extreme value theory," Journal of Banking & Finance, Elsevier, volume 25, issue 8, pages 1475-1502, August.

2000

  1. 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, volume 27, issue 3‐4, pages 487-510, April, DOI: 10.1111/1468-5957.00322.

Chapters

2012

  1. John Cotter & Jim Hanly, 2012, "Re-Evaluating Hedging Performance for Asymmetry: The Case of Crude Oil," Contemporary Studies in Economic and Financial Analysis, Emerald Group Publishing Limited, "Derivative Securities Pricing and Modelling", DOI: 10.1108/S1569-3759(2012)0000094013.

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.