Access Statistics for John Cotter

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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 0 74 1 1 7 302
A Comparative Anatomy of REITs and Residential Real Estate Indexes: Returns, Risks and Distributional Characteristics 0 0 0 40 0 0 0 90
A Utility Based Approach to Energy Hedging 0 0 0 71 0 0 0 185
A Utility Based Approach to Energy Hedging 0 0 0 37 0 0 2 64
Absolute Return Volatility 0 0 0 101 0 0 1 368
Absolute Return Volatility 0 0 1 12 2 2 4 77
Absolute Return Volatility 0 0 0 27 0 0 0 65
Absolute Return Volatility 0 0 0 46 0 0 1 185
An Empirical Analysis of Dynamic Multiscale Hedging using Wavelet Decomposition 0 0 0 29 0 0 1 128
An Empirical Analysis of Dynamic Multiscale Hedging using Wavelet Decomposition 0 0 0 28 0 0 0 73
Anatomy of a Bail-In 0 0 0 38 0 1 37 163
Anatomy of a Bail-In 0 0 0 105 0 1 19 334
Are equity market anomalies disappearing? Evidence from the U.K 0 2 4 75 1 6 31 339
Beyond Common Equity - The Influence of Secondary Capital on Bank Insolvency Risk 0 0 0 35 0 0 10 157
Can Metropolitan Housing Risk be Diversified? A Cautionary Tale from the Recent Boom and Bust 0 0 1 8 0 0 5 84
Can housing risk be diversified? A cautionary tale from the housing boom and bust 0 0 1 81 0 0 4 173
Can metropolitan housing risk be diversified? A cautionary tale from the recent boom and bust 0 0 0 31 0 0 3 154
Co-skewness across Return Horizons 0 0 1 32 0 0 7 167
Co-skewness across Return Horizons 0 0 8 9 1 1 18 31
Commodity Futures Return Predictability and Intertemporal Asset Pricing 0 1 3 34 0 1 9 132
Commodity futures hedging, risk aversion and the hedging horizon 0 1 1 120 1 2 38 618
Credit Default Swaps as Indicators of Bank financial Distress 1 1 1 65 3 3 18 319
Downside Risk for European Equity Markets 0 0 0 29 0 0 6 167
Downside risk and the energy hedger's horizon 0 0 0 22 0 0 0 175
Estimating Financial Risk Measures for Futures Positions:A Non-Parametric Approach 0 0 0 25 0 0 7 94
Estimating financial risk measures for futures positions: a non-parametric approach 0 0 0 35 0 0 2 64
Estimating financial risk measures for futures positions: a non-parametric approach 0 0 0 107 0 0 1 320
Evaluating the Precision of Estimators of Quantile-Based Risk Measures 0 0 0 17 0 0 0 83
Evaluating the Precision of Estimators of Quantile-Based Risk Measures 0 0 0 27 0 0 2 51
Evaluating the Precision of Estimators of Quantile-Based Risk Measures 0 0 0 75 0 0 2 193
Event Studies of Irish Equities: Earnings Announcements, Seasonality and Size 0 0 0 0 0 0 6 532
Exponential Spectral Risk Measures 0 0 0 165 1 2 3 350
Exponential Spectral Risk Measures 0 0 0 27 0 0 0 53
Extreme Measures of Agricultural Financial Risk 0 0 0 48 0 0 0 78
Extreme Spectral Risk Measures: An Application to Futures Clearinghouse Margin Requirements 0 0 1 32 0 0 2 112
Extreme Spectral Risk Measures: An Application to Futures Clearinghouse Margin Requirements 0 0 1 72 0 0 3 263
Extreme Spectral Risk Measures: An Application to Futures Clearinghouse Margin Requirements 0 0 0 18 0 0 0 63
Extreme risk in Asian equity markets 0 0 1 53 0 0 1 174
Financial Risks and the Pension Protection Fund: Can it Survive Them? 0 0 0 24 0 0 1 81
Financial Risks and the Pension Protection Fund: Can it Survive Them? 0 0 0 54 0 1 1 215
Financial Risks and the Pension Protection Fund:Can It Survive Them? 0 0 0 26 0 1 1 112
Hedging Effectiveness under Conditions of Asymmetry 0 0 0 42 0 1 10 275
Hedging Effectiveness under Conditions of Asymmetry 0 0 0 65 0 0 3 317
Hedging Effectiveness under Conditions of Asymmetry 0 0 0 25 0 0 3 77
Hedging: Scaling and the Investor Horizon 0 0 1 48 0 0 7 188
Hedging: Scaling and the Investor Horizon 0 0 1 10 0 0 2 43
Housing Risk and Return: Evidence From a Housing Asset-Pricing Model 0 0 1 410 0 0 25 1,168
Housing risk and return: Evidence from a housing asset-pricing model 0 0 0 46 0 0 14 159
How Unlucky is 25-Sigma? 2 2 2 49 5 5 9 161
How Unlucky is 25-Sigma? 26 26 28 59 33 33 44 247
Implied Correlation from VaR 0 0 0 45 1 2 7 252
Implied correlation from VaR 0 1 1 108 0 1 2 475
Implied correlation from VaR 0 1 1 36 0 1 5 115
Integration Among US Banks 0 0 2 19 0 3 46 250
Integration and Contagion in US Housing Markets 0 0 2 52 0 1 19 212
Integration and Contagion in US Housing Markets 0 0 0 28 0 0 7 104
Integration and contagion in US housing markets 0 0 0 20 0 0 0 145
International Equity Market Integration in a Small Open Economy: Ireland January 1990 – December 2000 0 0 0 18 0 0 0 90
Intra-Day Seasonality in Foreign Exchange Market Transactions 0 0 0 33 0 0 0 57
Intra-Day Seasonality in Foreign Exchange Market Transactions 0 1 1 74 0 3 3 260
Intra-Day Seasonality in Foreign Market Transactions 0 0 0 9 0 0 26 149
Intra-Day Seasonality in Foreign Market Transactions 0 0 0 12 0 0 0 51
Intra-Day Seasonality in Foreign Market Transactions 0 0 0 12 0 0 11 94
Long-run international diversification 0 0 0 28 0 0 22 222
Machine Learning and Factor-Based Portfolio Optimization 2 2 9 39 4 6 36 193
Machine Learning and Factor-Based Portfolio Optimization 0 0 2 18 0 0 6 27
Macro-Financial Spillovers 0 0 3 44 0 0 11 191
Margin Exceedences for European Stock Index Futures using Extreme Value Theory 0 0 1 62 0 0 33 368
Margin Requirements with Intraday Dynamics 0 0 0 17 0 0 0 114
Margin setting with high-frequency data 0 0 1 30 0 0 1 160
Margin setting with high-frequency data1 0 0 0 14 0 0 1 37
Minimum Capital Requirement Calculations for UK Futures 0 0 0 6 0 0 9 65
Minimum Capital Requirement Calculations for UK Futures 0 0 0 11 0 0 2 134
Minimum Capital Requirement Calculations for UK Futures 0 0 0 20 0 0 1 214
Mixed-Frequency Macro-Financial Spillovers 1 6 34 406 2 23 97 950
Mixed-frequency macro-financial spillovers 0 0 4 53 0 4 42 365
Modeling Long Memory in REITs 0 0 0 10 0 1 5 70
Modeling Long Memory in REITs 0 0 0 83 0 1 7 264
Modelling Catastrophic Risk in International Equity Markets: An Extreme Value Approach 0 0 0 14 0 0 0 53
Modelling Long Memory in REITs 1 1 1 48 1 1 4 176
Modelling catastrophic risk in international equity markets: An extreme value approach 0 0 0 29 0 0 0 98
Modelling catastrophic risk in international equity markets: An extreme value approach 0 0 0 8 0 0 0 41
Modelling extreme financial returns of global equity markets 0 0 0 36 0 0 0 186
Multivariate Modeling of Daily REIT Volatility 0 0 0 19 1 2 16 114
Multivariate Modeling of Daily REIT Volatility 0 0 0 81 1 1 26 330
Multivariate Modelling of Daily REIT Volatility 1 1 1 26 1 1 12 151
Nowhere to Run, Nowhere to Hide - Asset Diversification in a Flat World 0 0 2 38 0 0 2 217
Nowhere to run, nowhere to hide: asset diversification in a flat world 0 0 0 37 2 2 30 285
Performance of Utility Based Hedges 0 0 1 43 0 0 21 156
Re-evaluating Hedging Performance 1 1 2 107 1 2 6 391
Re-evaluating Hedging Performance 0 0 0 40 0 1 2 122
Real & Nominal Foreign Exchange Volatility Effects on Exports – The Importance of Timing 0 0 0 69 0 1 26 387
Real and Nominal Foreign Exchange Volatility Effects on Exports – The Importance of Timing 0 0 0 69 0 0 10 323
Realized volatility and minimum capital requirements 0 0 0 46 0 0 41 307
Scaling conditional tail probability and quantile estimators 0 0 0 8 0 0 0 32
Scaling conditional tail probability and quantile estimators 0 0 0 31 0 1 1 102
Sovereign and bank CDS spreads: two sides of the same coin for European bank default predictability? 0 0 0 53 0 0 0 111
Sovereign and bank CDS spreads: two sides of the same coin? 0 0 0 74 0 1 27 282
Sovereign and bank CDS spreads: two sides of the same coin? 0 0 0 21 0 0 28 185
Spectral Risk Measures and the Choice of Risk Aversion Function 0 0 0 21 0 0 0 51
Spectral Risk Measures with an Application to Futures Clearinghouse Variation Margin Requirements 0 0 0 15 1 1 3 87
Spectral Risk Measures with an Application to Futures Clearinghouse Variation Margin Requirements 0 0 0 25 0 0 6 116
Spectral Risk Measures with an Application to Futures Clearinghouse Variation Margin Requirements 0 0 0 29 0 0 1 163
Spectral Risk Measures with an Application to Futures Clearinghouse Variation Margin Requirements 0 0 0 24 0 0 9 87
Spectral Risk Measures: Properties and Limitations 1 1 5 88 1 3 10 344
Spectral Risk Measures: Properties and Limitations 0 0 0 18 0 0 1 69
Spillovers in Risk of Financial Institutions 0 0 0 57 0 0 3 148
Subordinate Resolution - An Empirical Analysis of European Union Subsidiary Banks 0 0 0 71 0 0 22 287
Tail Behaviour of the Euro 0 0 0 27 0 0 2 81
Tail Behaviour of the Euro 0 0 0 43 0 0 10 136
Tail Behaviour of the Euro 0 0 0 26 0 0 5 127
The Conditional Pricing of Systematic and Idiosyncratic Risk in the UK Equity Market 0 0 0 42 0 1 4 139
The Intervaling Effect on Higher-Order Co-Moments 0 0 0 19 0 1 8 198
The illusion of oil return predictability: The choice of data matters! 0 0 0 0 0 0 1 4
The non-linear trade-off between return and risk and its determinants 0 1 10 42 1 5 27 83
The non-linear trade-off between return and risk: a regime-switching multi-factor framework 0 0 0 21 0 0 14 70
The non-linear trade-off between return and risk: a regime-switching multi-factor framework 0 0 0 56 0 0 8 189
The tail risks of FX return distributions: a comparison of the returns associated with limit orders and market orders 0 0 0 47 0 0 6 200
The tail risks of FX return distributions: a comparison of the returns associated with limit orders and market orders 0 0 0 22 0 0 2 56
Time Varying Risk Aversion: An Application to Energy Hedging 0 0 0 39 0 0 5 108
Time Varying Risk Aversion: An Application to Energy Hedging 0 0 0 98 0 0 1 310
U.S. Core Inflation: A Wavelet Analysis 0 0 0 161 0 0 6 493
U.S. Core Inflation: A Wavelet Analysis 0 0 2 57 0 0 8 183
U.S. Core Inflation: A Wavelet Analysis 0 0 0 55 0 0 2 98
Uncovering Long Memory in High Frequency UK Futures 0 0 0 39 0 0 2 178
Uncovering Long Memory in High Frequency UK Futures 0 0 0 27 1 1 2 103
Uncovering Long Memory in High Frequency UK Futures 0 0 0 29 0 0 1 47
Uncovering Volatility Dynamics in Daily REIT Returns 0 0 0 59 1 1 2 245
Uncovering Volatility Dynamics in Daily REIT Returns 0 0 0 14 1 1 9 85
Varying the VaR for Unconditional and Conditional Environments 0 0 0 12 0 0 11 114
Varying the VaR for Unconditional and Conditional Environments 0 0 0 21 0 1 10 191
Varying the VaR for Unconditional and Conditional Environments 0 0 0 31 0 0 0 257
Volatility and Irish Exports 0 0 0 15 1 4 8 110
Volatility and Irish Exports 0 0 0 19 0 0 0 175
Volatility and the Euro: an Irish perspective 0 0 0 11 0 0 0 114
What Should Be Done About The Underfunding of Defined Benefit Pension Schemes? 0 0 0 49 1 1 1 200
Total Working Papers 36 49 142 6,341 70 140 1,231 25,346

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 3 21 1 1 16 96
A utility based approach to energy hedging 0 0 0 12 0 0 3 71
An empirical analysis of dynamic multiscale hedging using wavelet decomposition 0 0 0 0 0 0 0 40
Anatomy of a bail-in 0 0 2 26 0 0 38 182
Asset allocation with correlation: A composite trade-off 0 1 1 6 0 1 20 87
Beyond common equity: The influence of secondary capital on bank insolvency risk 0 0 2 6 2 2 9 49
Can Housing Risk Be Diversified? A Cautionary Tale from the Housing Boom and Bust 0 0 2 11 0 0 9 112
Commodity futures hedging, risk aversion and the hedging horizon 0 0 1 11 0 1 28 128
Credit default swaps as indicators of bank financial distress 0 0 0 14 5 8 54 181
Downside risk and the energy hedger's horizon 0 0 0 10 0 0 9 98
Estimating financial risk measures for futures positions: A nonparametric approach 0 0 0 3 0 0 3 36
Exponential Spectral Risk Measures 0 0 0 0 0 0 0 128
Extreme Measures of Agricultural Financial Risk 0 0 0 14 0 0 3 99
Extreme Value Estimation of Boom and Crash Statistics 0 0 0 80 0 0 3 262
Extreme risk in futures contracts 0 0 0 116 0 0 0 545
Extreme spectral risk measures: An application to futures clearinghouse margin requirements 1 1 2 32 2 2 13 156
Hedging effectiveness under conditions of asymmetry 0 0 0 13 0 0 1 83
International equity market integration in a small open economy: Ireland January 1990-December 2000 0 0 0 36 0 0 0 137
Intra-day seasonality in foreign exchange market transactions 0 0 0 23 0 0 1 101
Long-run wavelet-based correlation for financial time series 0 1 3 8 0 1 35 114
Margin exceedences for European stock index futures using extreme value theory 0 0 0 62 0 0 0 225
Minimum capital requirement calculations for UK futures 0 0 0 0 0 0 1 30
Modeling Long Memory in REITs 0 0 1 22 0 0 3 161
Multivariate Modeling of Daily REIT Volatility 1 1 5 118 1 1 7 365
Performance of utility based hedges 0 0 0 3 0 0 2 70
Predictability and diversification benefits of investing in commodity and currency futures 0 0 0 13 0 0 18 123
Reevaluating hedging performance 0 0 1 7 0 1 4 46
Sovereign and bank CDS spreads: Two sides of the same coin? 0 3 4 25 1 5 10 143
Spectral Risk Measures: Properties and Limitations 0 0 0 31 0 0 0 129
Spillovers in risk of financial institutions 0 0 0 4 1 1 2 19
Subordinate Resolution ‐‐ An Empirical Analysis of European Union Subsidiary Banks 0 0 0 3 0 0 3 36
Tail behaviour of the euro 0 0 0 28 0 0 2 159
The Distributional Characteristics of a Selection of Contracts Traded on the London International Financial Futures Exchange 0 0 0 5 0 0 0 23
The conditional pricing of systematic and idiosyncratic risk in the UK equity market 0 0 0 10 0 2 5 84
The illusion of oil return predictability: The choice of data matters! 0 0 0 2 0 0 3 13
The non-linear trade-off between return and risk and its determinants 0 0 0 3 0 0 0 4
The tail risks of FX return distributions: A comparison of the returns associated with limit orders and market orders 0 0 1 23 0 0 3 120
Time-varying risk aversion: An application to energy hedging 0 0 0 19 0 1 20 206
U.S. CORE INFLATION: A WAVELET ANALYSIS 0 0 0 27 0 1 3 112
Uncovering long memory in high frequency UK futures 0 0 0 2 0 0 1 41
VOLATILITY AND IRISH EXPORTS 0 0 0 17 0 0 1 73
Varying the VaR for unconditional and conditional environments 0 0 0 16 0 0 5 114
Total Journal Articles 2 7 28 882 13 28 338 5,001
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Statistics updated 2023-12-04