Access Statistics for John Cotter

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Comparative Anatomy of REITs and Residential Real Estate Indexes: Returns, Risks and Distributional Characteristics 0 0 3 3 1 1 5 5
A Comparative Anatomy of REITs and Residential Real Estate Indexes: Returns, Risks and Distributional Characteristics 0 0 1 75 5 18 28 334
A Comparative Anatomy of REITs and Residential Real Estate Indexes: Returns, Risks and Distributional Characteristics 1 1 1 43 5 14 19 111
A Utility Based Approach to Energy Hedging 0 0 0 37 0 4 5 69
A Utility Based Approach to Energy Hedging 0 0 0 72 0 3 5 193
Absolute Return Volatility 0 0 1 102 0 3 5 373
Absolute Return Volatility 0 0 1 13 0 5 7 84
Absolute Return Volatility 0 0 0 27 0 2 3 68
Absolute Return Volatility 0 0 0 46 1 4 4 190
Absolute return volatility 0 0 1 1 0 2 3 3
An Empirical Analysis of Dynamic Multiscale Hedging using Wavelet Decomposition 0 0 0 28 2 3 6 79
An Empirical Analysis of Dynamic Multiscale Hedging using Wavelet Decomposition 0 0 0 29 3 6 9 138
Anatomy of a Bail-In 0 0 0 38 1 3 4 167
Anatomy of a Bail-In 0 0 1 106 1 8 14 351
Are equity market anomalies disappearing? Evidence from the U.K 0 0 2 78 1 4 14 367
Beyond Common Equity - The Influence of Secondary Capital on Bank Insolvency Risk 0 0 0 35 0 3 10 172
Can Metropolitan Housing Risk be Diversified? A Cautionary Tale from the Recent Boom and Bust 0 0 0 8 0 1 4 90
Can housing risk be diversified? A cautionary tale from the housing boom and bust 0 0 0 82 0 2 5 182
Can metropolitan housing risk be diversified? A cautionary tale from the recent boom and bust 0 0 1 32 0 2 5 161
Co-skewness across Return Horizons 0 0 1 11 12 23 34 69
Co-skewness across Return Horizons 0 0 0 32 2 5 11 179
Commodity Futures Return Predictability and Intertemporal Asset Pricing 0 0 0 36 1 9 15 156
Commodity futures hedging, risk aversion and the hedging horizon 0 0 2 123 0 9 13 636
Commodity futures return predictability and intertemporal asset pricing 0 0 0 0 0 2 6 8
Credit Default Swaps as Indicators of Bank financial Distress 1 1 2 68 1 6 16 341
Downside Risk for European Equity Markets 0 0 0 30 1 8 9 178
Downside risk and the energy hedger's horizon 0 0 0 22 0 6 8 184
Estimating Financial Risk Measures for Futures Positions:A Non-Parametric Approach 0 0 0 25 1 5 7 101
Estimating financial risk measures for futures positions: a non-parametric approach 0 0 0 35 0 3 3 71
Estimating financial risk measures for futures positions: a non-parametric approach 0 0 1 1 0 1 2 2
Estimating financial risk measures for futures positions: a non-parametric approach 0 0 0 107 0 4 6 327
Evaluating the Precision of Estimators of Quantile-Based Risk Measures 0 0 0 17 1 7 8 92
Evaluating the Precision of Estimators of Quantile-Based Risk Measures 0 0 0 27 0 3 4 57
Evaluating the Precision of Estimators of Quantile-Based Risk Measures 0 0 0 75 0 9 11 205
Evaluating the precision of estimators of quantile-based risk measures 0 0 2 2 1 1 3 3
Event Studies of Irish Equities: Earnings Announcements, Seasonality and Size 0 0 0 0 0 7 9 542
Exponential Spectral Risk Measures 0 0 0 27 1 6 7 60
Exponential Spectral Risk Measures 0 0 0 165 2 5 10 363
Exponential spectral risk measures 0 0 2 2 0 3 5 5
Extreme Measures of Agricultural Financial Risk 0 0 0 48 0 6 18 100
Extreme Spectral Risk Measures: An Application to Futures Clearinghouse Margin Requirements 0 0 0 18 0 8 12 77
Extreme Spectral Risk Measures: An Application to Futures Clearinghouse Margin Requirements 0 0 0 72 0 0 4 268
Extreme Spectral Risk Measures: An Application to Futures Clearinghouse Margin Requirements 0 0 0 32 1 5 8 121
Extreme measures of agricultural financial risk 0 0 2 2 3 4 6 6
Extreme risk in Asian equity markets 0 0 0 53 0 4 5 180
Extreme spectral risk measures: an application to futures clearinghouse margin requirements 0 0 1 1 1 1 2 2
Financial Risks and the Pension Protection Fund: Can it Survive Them? 0 0 0 54 0 3 4 220
Financial Risks and the Pension Protection Fund: Can it Survive Them? 0 0 1 25 0 2 5 86
Financial Risks and the Pension Protection Fund:Can It Survive Them? 0 0 0 26 0 4 6 119
Financial risks and the Pension Protection Fund: can it survive them? 0 0 1 1 1 3 5 5
Hedging Effectiveness under Conditions of Asymmetry 0 1 1 43 1 7 11 291
Hedging Effectiveness under Conditions of Asymmetry 1 2 2 67 3 11 13 330
Hedging Effectiveness under Conditions of Asymmetry 1 1 2 27 2 7 10 87
Hedging effectiveness under conditions of asymmetry 0 0 1 1 1 5 6 6
Hedging: Scaling and the Investor Horizon 0 0 0 48 1 8 10 204
Hedging: Scaling and the Investor Horizon 0 0 0 11 0 4 5 49
Hedging: scaling and the investor horizon 0 0 2 2 1 5 8 8
Housing Risk and Return: Evidence From a Housing Asset-Pricing Model 0 0 4 418 3 10 29 1,216
Housing risk and return: Evidence from a housing asset-pricing model 0 0 1 48 2 10 18 180
Housing risk and return: evidence from a housing asset-pricing model 0 0 2 2 1 7 11 11
How Unlucky is 25-Sigma? 0 0 0 49 0 2 5 169
How Unlucky is 25-Sigma? 0 0 0 61 2 6 8 263
How unlucky is 25-Sigma? 0 0 1 1 1 7 9 9
Implied Correlation from VaR 0 0 0 49 0 11 14 274
Implied correlation from VaR 0 0 0 108 3 8 9 486
Implied correlation from VaR 0 0 1 39 0 4 6 123
Implied correlation from VaR 0 0 1 1 0 1 2 2
Integration Among US Banks 0 0 0 19 4 7 9 266
Integration and Contagion in US Housing Markets 0 0 0 52 0 7 10 227
Integration and Contagion in US Housing Markets 1 1 1 29 3 5 6 112
Integration and contagion in US housing markets 0 0 0 20 1 7 11 158
International Equity Market Integration in a Small Open Economy: Ireland January 1990 – December 2000 0 0 0 18 1 7 9 99
Intra-Day Seasonality in Foreign Exchange Market Transactions 0 0 0 33 1 4 10 69
Intra-Day Seasonality in Foreign Exchange Market Transactions 0 0 0 74 2 9 10 274
Intra-Day Seasonality in Foreign Market Transactions 0 0 0 9 0 3 5 155
Intra-Day Seasonality in Foreign Market Transactions 0 0 0 12 2 5 8 102
Intra-Day Seasonality in Foreign Market Transactions 0 0 0 12 0 3 4 56
Intra-day seasonality in foreign exchange market transactions 0 0 1 1 2 8 9 9
Long-run international diversification 0 0 1 29 0 3 7 232
Machine Learning and Factor-Based Portfolio Optimization 0 0 2 21 2 6 15 47
Machine Learning and Factor-Based Portfolio Optimization 0 1 6 53 1 14 43 274
Macro-Financial Spillovers 0 0 1 47 1 14 18 218
Margin Exceedences for European Stock Index Futures using Extreme Value Theory 0 0 0 62 0 5 8 377
Margin Requirements with Intraday Dynamics 0 0 0 17 0 6 7 122
Margin requirements with intraday dynamics 0 0 1 1 0 0 1 1
Margin setting with high-frequency data 0 0 1 31 1 9 13 173
Margin setting with high-frequency data1 0 0 0 14 0 3 4 41
Minimum Capital Requirement Calculations for UK Futures 0 0 0 20 0 3 6 220
Minimum Capital Requirement Calculations for UK Futures 0 0 0 11 0 2 4 138
Minimum Capital Requirement Calculations for UK Futures 0 0 0 6 1 4 6 71
Minimum capital requirement calculations for UK futures 0 0 1 1 0 1 2 2
Mixed-Frequency Macro-Financial Spillovers 1 2 15 446 1 11 45 1,058
Mixed-frequency macro-financial spillovers 0 1 2 57 0 7 12 385
Modeling Long Memory in REITs 0 0 0 83 1 7 14 278
Modeling Long Memory in REITs 0 0 0 10 0 2 2 72
Modeling long memory in REITs 0 0 1 1 0 3 4 4
Modelling Catastrophic Risk in International Equity Markets: An Extreme Value Approach 0 0 0 14 0 6 8 62
Modelling Long Memory in REITs 0 0 0 48 0 6 7 183
Modelling catastrophic risk in international equity markets: An extreme value approach 0 0 0 8 0 0 1 42
Modelling catastrophic risk in international equity markets: An extreme value approach 0 0 0 29 0 4 8 107
Modelling catastrophic risk in international equity markets: an extreme value approach 0 0 2 2 1 3 5 5
Modelling extreme financial returns of global equity markets 0 0 0 37 1 9 11 201
Modelling financial crises of global equity markets 0 0 1 1 0 0 1 1
Multivariate Modeling of Daily REIT Volatility 0 0 0 82 0 4 7 340
Multivariate Modeling of Daily REIT Volatility 0 0 0 19 0 1 1 116
Multivariate Modelling of Daily REIT Volatility 0 0 0 26 0 3 7 159
Multivariate modeling of daily REIT volatility 0 0 2 2 0 2 4 4
Nowhere to Run, Nowhere to Hide - Asset Diversification in a Flat World 0 0 0 38 0 7 13 233
Nowhere to run, nowhere to hide: asset diversification in a flat world 0 0 1 39 0 2 6 301
Performance of Utility Based Hedges 0 0 0 43 0 3 7 167
Re-evaluating Hedging Performance 0 0 0 40 1 5 8 131
Re-evaluating Hedging Performance 0 0 1 108 4 11 16 408
Re-evaluating hedging performance 0 0 1 1 0 2 3 3
Real & Nominal Foreign Exchange Volatility Effects on Exports – The Importance of Timing 0 0 0 69 8 13 14 402
Real & nominal foreign exchange volatility effects on exports – the importance of timing 0 0 1 1 3 3 5 5
Real and Nominal Foreign Exchange Volatility Effects on Exports – The Importance of Timing 0 0 1 70 4 13 15 339
Realized volatility and minimum capital requirements 0 0 0 46 1 6 6 313
Scaling conditional tail probability and quantile estimators 0 0 0 31 0 5 7 109
Scaling conditional tail probability and quantile estimators 0 0 0 8 0 1 1 33
Scaling conditional tail probability and quantile estimators 0 0 3 3 1 1 4 4
Sovereign and bank CDS spreads: two sides of the same coin for European bank default predictability? 0 0 0 53 1 9 11 124
Sovereign and bank CDS spreads: two sides of the same coin? 0 0 0 77 2 11 15 310
Sovereign and bank CDS spreads: two sides of the same coin? 0 0 0 21 2 16 19 205
Spectral Risk Measures and the Choice of Risk Aversion Function 0 0 0 21 0 6 8 59
Spectral Risk Measures with an Application to Futures Clearinghouse Variation Margin Requirements 0 0 0 25 1 5 7 124
Spectral Risk Measures with an Application to Futures Clearinghouse Variation Margin Requirements 0 0 0 29 0 14 17 180
Spectral Risk Measures with an Application to Futures Clearinghouse Variation Margin Requirements 0 0 0 24 1 6 8 96
Spectral Risk Measures with an Application to Futures Clearinghouse Variation Margin Requirements 0 0 0 15 3 13 14 101
Spectral Risk Measures: Properties and Limitations 0 0 1 91 3 6 8 360
Spectral Risk Measures: Properties and Limitations 0 0 0 18 0 5 6 80
Spectral risk measures and the choice of risk aversion functior 0 0 2 2 0 3 5 5
Spectral risk measures with an application to futures clearinghouse variation margin requirements 0 0 2 2 0 1 3 3
Spectral risk measures: properties and limitations 0 0 2 2 1 4 6 6
Spillovers in Risk of Financial Institutions 0 0 0 58 0 3 4 155
Subordinate Resolution - An Empirical Analysis of European Union Subsidiary Banks 0 0 0 71 2 7 10 299
Tail Behaviour of the Euro 0 0 0 27 0 1 2 83
Tail Behaviour of the Euro 0 0 0 26 0 4 6 134
Tail Behaviour of the Euro 0 0 0 43 1 8 13 150
Tail behaviour of the Euro 0 0 1 1 0 0 1 1
The Conditional Pricing of Systematic and Idiosyncratic Risk in the UK Equity Market 0 0 0 43 1 6 7 148
The Intervaling Effect on Higher-Order Co-Moments 0 0 0 19 1 4 4 204
The illusion of oil return predictability: The choice of data matters! 0 0 0 1 1 3 4 9
The non-linear trade-off between return and risk and its determinants 1 1 1 44 4 8 14 104
The non-linear trade-off between return and risk: a regime-switching multi-factor framework 0 0 0 56 1 2 4 198
The non-linear trade-off between return and risk: a regime-switching multi-factor framework 0 0 0 21 0 2 5 78
The tail risks of FX return distributions: a comparison of the returns associated with limit orders and market orders 0 0 0 47 1 4 6 208
The tail risks of FX return distributions: a comparison of the returns associated with limit orders and market orders 0 0 0 22 0 2 3 60
The tail risks of FX return distributions: a comparison of the returns associated with limit orders and market orders 0 0 1 1 0 3 4 4
Time Varying Risk Aversion: An Application to Energy Hedging 0 0 0 39 5 9 10 118
Time Varying Risk Aversion: An Application to Energy Hedging 0 0 0 98 0 4 6 317
Time varying risk aversion: an application to energy hedging 0 0 21 21 0 0 41 41
U.S. Core Inflation: A Wavelet Analysis 0 0 0 55 1 3 13 112
U.S. Core Inflation: A Wavelet Analysis 0 0 0 59 1 4 5 191
U.S. Core Inflation: A Wavelet Analysis 0 0 0 162 2 6 10 509
U.S. core inflation: a wavelet analysis 0 0 1 1 0 2 3 3
Uncovering Long Memory in High Frequency UK Futures 0 0 0 27 0 7 9 112
Uncovering Long Memory in High Frequency UK Futures 0 0 0 39 0 4 6 186
Uncovering Long Memory in High Frequency UK Futures 0 0 0 29 0 5 6 53
Uncovering Volatility Dynamics in Daily REIT Returns 0 0 0 14 0 2 3 88
Uncovering Volatility Dynamics in Daily REIT Returns 0 0 0 59 0 0 4 250
Uncovering long memory in high frequency UK futures 0 0 1 1 0 0 1 1
Uncovering volatility dynamics in daily REIT returns 0 0 2 2 1 3 6 6
Varying the VaR for Unconditional and Conditional Environments 0 0 0 12 7 19 21 135
Varying the VaR for Unconditional and Conditional Environments 0 0 0 21 0 3 7 199
Varying the VaR for Unconditional and Conditional Environments 0 0 0 32 0 3 9 268
Varying the VaR for unconditional and conditional environments 0 0 1 1 0 1 2 2
Volatility and Irish Exports 1 1 1 16 1 2 4 124
Volatility and Irish Exports 0 0 0 19 0 2 4 179
Volatility and Irish exports 0 0 1 1 0 1 3 3
Volatility and the Euro: an Irish perspective 0 0 0 11 1 8 9 123
What Should Be Done About The Underfunding of Defined Benefit Pension Schemes? 0 0 0 49 1 4 9 211
Total Working Papers 8 13 129 6,549 164 886 1,463 27,235

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Comparative Anatomy of Residential REITs and Private Real Estate Markets: Returns, Risks and Distributional Characteristics 0 0 1 22 0 8 15 113
A financial modeling approach to industry exchange-traded funds selection 0 0 0 1 0 9 17 33
A utility based approach to energy hedging 0 0 0 14 1 5 7 81
An empirical analysis of dynamic multiscale hedging using wavelet decomposition 0 0 0 0 2 4 6 47
Anatomy of a bail-in 0 0 2 29 1 3 6 193
Asset allocation with correlation: A composite trade-off 0 0 0 7 2 8 16 104
Asset allocation with factor-based covariance matrices 0 0 1 1 1 8 16 16
Beyond common equity: The influence of secondary capital on bank insolvency risk 0 0 0 6 1 7 12 62
Can Housing Risk Be Diversified? A Cautionary Tale from the Housing Boom and Bust 0 0 0 12 1 25 30 144
Co-Skewness across Return Horizons* 0 0 0 0 5 16 18 20
Commodity futures hedging, risk aversion and the hedging horizon 0 0 1 14 1 14 19 155
Commodity futures return predictability and intertemporal asset pricing 0 1 2 6 2 8 20 29
Credit default swaps as indicators of bank financial distress 0 1 3 20 3 13 22 212
Diversification with globally integrated US stocks 0 0 1 5 0 6 14 22
Downside risk and the energy hedger's horizon 0 0 0 10 0 3 6 104
Downside risk for European equity markets 0 0 0 30 0 5 5 145
Estimating financial risk measures for futures positions: A nonparametric approach 0 0 0 3 0 7 9 45
Extreme Measures of Agricultural Financial Risk 0 0 1 16 0 3 14 119
Extreme Value Estimation of Boom and Crash Statistics 0 1 1 83 1 6 9 273
Extreme risk in futures contracts 0 0 0 116 2 3 3 548
Extreme spectral risk measures: An application to futures clearinghouse margin requirements 0 0 1 37 0 4 7 178
Forecasting the price of oil: A cautionary note 0 1 6 9 1 6 21 29
Hedging effectiveness under conditions of asymmetry 0 0 1 14 2 6 13 96
Hedging: scaling and the investor horizon 0 0 0 0 4 10 12 12
International equity market integration in a small open economy: Ireland January 1990-December 2000 0 0 0 36 0 2 3 140
Intra-day seasonality in foreign exchange market transactions 1 1 1 24 1 5 5 107
Long-run wavelet-based correlation for financial time series 0 0 2 12 2 11 20 142
Macro-financial spillovers 0 0 4 15 1 7 18 50
Margin exceedences for European stock index futures using extreme value theory 0 0 0 62 0 5 10 236
Minimum capital requirement calculations for UK futures 0 0 0 0 0 4 6 36
Modeling Long Memory in REITs 0 0 0 23 0 1 4 168
Multivariate Modeling of Daily REIT Volatility 0 0 1 119 0 3 6 372
Performance of utility based hedges 0 0 0 3 0 5 8 79
Predictability and diversification benefits of investing in commodity and currency futures 0 0 0 13 1 8 11 139
Reevaluating hedging performance 0 0 0 7 4 9 11 59
Sovereign and bank CDS spreads: Two sides of the same coin? 0 0 0 27 0 2 9 156
Spectral Risk Measures: Properties and Limitations 0 0 0 31 0 5 13 146
Spillovers in risk of financial institutions 0 0 0 5 1 2 6 27
Subordinate Resolution ‐‐ An Empirical Analysis of European Union Subsidiary Banks 0 0 0 3 0 5 6 45
Tail behaviour of the euro 0 0 0 28 0 6 7 168
The Distributional Characteristics of a Selection of Contracts Traded on the London International Financial Futures Exchange 0 0 0 5 0 5 5 28
The conditional pricing of systematic and idiosyncratic risk in the UK equity market 0 1 1 12 4 9 11 98
The illusion of oil return predictability: The choice of data matters! 0 0 0 3 1 4 7 25
The non-linear trade-off between return and risk and its determinants 0 0 1 4 1 4 18 24
The tail risks of FX return distributions: A comparison of the returns associated with limit orders and market orders 0 0 0 23 0 10 11 132
Time-varying risk aversion: An application to energy hedging 0 0 0 19 4 7 14 220
Trends and key determinants of firm-level integration 0 2 2 2 1 9 12 12
U.S. CORE INFLATION: A WAVELET ANALYSIS 0 0 1 28 0 5 8 123
Uncovering Volatility Dynamics in Daily REIT Returns 0 0 1 1 0 4 10 13
Uncovering long memory in high frequency UK futures 0 0 0 2 0 1 4 45
VOLATILITY AND IRISH EXPORTS 0 0 0 17 0 4 6 82
Varying the VaR for unconditional and conditional environments 0 0 0 16 1 7 9 123
Total Journal Articles 1 8 35 995 52 336 575 5,775
2 registered items for which data could not be found

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Re-Evaluating Hedging Performance for Asymmetry: The Case of Crude Oil 0 0 0 0 1 2 2 3
Total Chapters 0 0 0 0 1 2 2 3

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Statistics updated 2026-03-04