Research

Much of my research is available in draft and published formats detailed below.  My ResearchGate Page is here, my SSRN page is here, and my IDEAS/Repec page is here

Work In Progress:

  • Cotter, John, (Co-Author Stuart Gabriel), Are Local House Prices Really Local?
  • Cotter, John, (Co-Authors Mahmoud Botshekan and Mathijs van Dijk), Decomposing Aggregate Implied Cost of Capital (ICC) to its equity premium components.
  • Cotter, John, (Co-Authors Tom Conlon and Phil Molyneux), Capital Adequacy and Banking Risk.
  • Cotter, John, (Co-Author Ronan Gallagher), Investing in DB Pension Losers:
    A Re-Examination of the Investment Case.
  • Cotter, John, (Co-Author Colm Doyle), Asset Allocation and Defined Benefit Pension Schemes.
  • Cotter, John (Co-Authors Carroll, Rachael, Thomas Conlon), Asset Allocation with orrelation, University College Dublin.
  • Cotter, John (Co-Author Colm Doyle), Optimal DC Pension Fund Management and the Dangers of Longevity Risk.

Working Papers:

  • Cotter, John, (Co-Authors Stuart Gabriel and Richard Roll), 2016, Nowhere to Run, Nowhere to Hide: Asset Diversification in a Flat World. draft
  • Cotter, John, (Co-Authors Tom Conlon and Phil Molyneux), 2016, Beyond Common Equity: The Influence of Secondary Capital on Bank Risk
  • Cotter, John, (Co-Author Davide Avino and Tom Conlon), 2016, Credit Default Swaps as Indicators of Bank Financial Distress
  • Cotter, John, (Co-Authors David Blake and Kevin Dowd), What Should Be Done About The Underfunding Of Defined Benefit Pension Schemes? A Case Study of Ireland. draft
  • Cotter, John and Enrique Salvador, The non-linear trade-off between return and risk: a regime-switching multi-factor framework. draft
  • Cotter, John, and James Hanly, Performance of Utility Based Hedges. draft
  • Cotter, John (Co-Authors Thomas Conlon and Ramazan Gencay), Long-Run International Diversification. draft
  • Cotter, John, (Co-Author Francois Longin), Implied Correlation from VaR. draft
  • Cotter, John, (Co-Author Francois Longin), Margin Setting With High-Frequency Data. draft

Peer Reviewed Publications:

  • Cotter, John (Co-Authors Stuart Gabriel and Richard Roll), Can Metropolitan Housing Risk Be Diversified? A Cautionary Tale from the Recent Boom and Bust, Review of Financial Studies, Forthcoming. Article

Draft

  • Cotter, John (Co-Author Richard Roll), A Comparative Anatomy of Residential REITs and Private Real Estate markets: Returns, Risks and Distributional Characteristics, Real Estate Economics, Forthcoming. Article

Draft

  • Cotter, John, Niall O’ Sullivan, Francesco Rossi, 2014, The conditional pricing of systematic and idiosyncratic risk in the UK equity market, International Review of Financial Analysis, Forthcoming. Article

Draft

  • Cotter, John (Co-Authors Thomas Conlon and Ramazan Gencay), 2014, Commodity Futures Hedging, Risk Aversion and the Hedging Horizon, European Journal of Finance, Forthcoming. Draft
  • John Cotter (Co-author Davide Avino), 2014, Sovereign and bank CDS spreads: two sides of the same coin?, Journal of International Financial Markets, Institutions & Money, 32, 72-85. Article

Draft

  • Cotter, John (Co-Author Tom Conlon), 2014, Anatomy of a Bail-In, Journal of Financial Stability, 15, 257-263. Article

Draft

  • Cotter, John (Co-Author Tom Conlon), 2013, Downside Risk and the Energy Hedger’s Horizon, Energy Economics, 36, 371-379. Article

Draft

  • Cotter, John, (Co-Author Tom Conlon), 2012, An Empirical Analysis of Dynamic Multiscale Hedging using Wavelet Decomposition, Journal of Futures Markets, 32, no. 3, 272 – 299. Article

Draft

  • Cotter, John, (Co-Author Jim Hanly), 2012, A Utility Based Approach to Energy Hedging, Energy Economics, 34, 817-827. Article

Draft

  • Cotter, John, (Co-Author Jim Hanly), 2012, Futures Hedging Effectiveness under Conditions of Asymmetry, European Journal of Finance, 18, 135-148. Article

Draft

  • Cotter, John, (Co-Authors Kevin Dowd and Wyn Morgan), 2011, Extreme Measures of Agricultural Financial Risk, Journal of Agricultural Economics, 63, 65 -82. Article

Draft

  • Cotter, John, (Co-Author Kevin Dowd), 2011 Extreme Global Equity Market Risk, Journal of Derivatives and Hedge Funds, 17, 313 – 325. Draft
  • Cotter, John, (Co-Authors Kevin Dowd, Lixia Loh), 2011, U.S. Core Inflation: A Wavelet Analysis, Macroeconomic Dynamics, 15, 513-536. Article

Draft

  • Cotter, John, (Co-Authors Karl Case and Stuart Gabriel), 2011, Housing risk and return: Evidence from a housing asset-pricing model, Special Real Estate Issue of the Journal of Portfolio Management, 35, 89-109. Article

Draft

  • Cotter, John, (Co-Author Kevin Dowd), 2010, Estimating financial risk measures for futures positions: a non-parametric approach, Journal of Futures Markets, 30, 689-703. Article

Draft

  • Cotter, John, (Co-Author Jim Hanly), 2010, Time Varying Risk Aversion: An Application to Energy Hedging, Energy Economics, 32, 432-441. Article

Draft

  • Cotter, John, (Co-Author Kevin Dowd), 2010, Intra-Day Seasonality in Foreign Exchange Market Transactions, International Review of Economics and Finance, 19, 287-294. Article

Draft

  • Cotter, John, (Co-Author Jim Hanly), 2009, Hedging: Scaling and the Investor Horizon, Journal of Risk, 12, 49-77. Article

Draft

  • Cotter, John, 2009, Scaling conditional tail probability and quantile estimators, Journal of Risk, April, 102-106. Article

Draft

  • Cotter, John, (Co-Author Don Bredin), 2009, Real & Nominal Foreign Exchange Volatility Effects on Exports – The Importance of Timing, Finance Letters, Forthcoming. Draft
  • Cotter, John, (Co-Authors Kevin Dowd, Chris Humphrey and Margaret Woods), 2008, How Unlucky is 25-Sigma?, Journal of Portfolio Management, Summer, 34, 76-80. Article

Draft

  • Cotter, John, (Co-Author Don Bredin), 2008, Volatility and Irish Exports, Economic Enquiry, 46, 540-560. Article

Draft

  • Cotter, John, (Co-Authors Kevin Dowd and Ghulam Sorwar), 2008, Spectral Risk Measures: Properties and Limitations, Journal of Financial Services Research, 34, 16-30. Article

Draft

  • Cotter, John, (Co-Author Simon Stevenson), 2008, Modelling Long Memory in REITs, Real Estate Economics, 36, 533-554. Article

Draft

  • Cotter, John, 2007, Varying the VaR for Unconditional and Conditional Environments, Journal of International Money and Finance, 26, 1338-1354. Article

Draft

  • Cotter, John, (Co-Author Kevin Dowd), 2007, The tail risks of FX return distributions: a comparison of the returns associated with limit orders and market orders, Finance Research Letters, 4, 146-154. Article

Draft

  • Cotter, John, 2007, (Co-Authors David Blake and Kevin Dowd), Financial risks and the Pension Protection Fund: Can it survive them?, Pensions: An International Journal, 12, 109-130. Article

Draft

  • Cotter, John, (Co-Author Simon Stevenson), 2007, Uncovering Volatility Dynamics in Daily REIT Returns, Journal of Real Estate Portfolio Management, 13, 2, 119-128. Article  Draft
  • Cotter, John, 2007, (Co-Author Kevin Dowd), Exponential Spectral Risk Measures, Icfai Journal of Financial Economics, 5, 28-42. Article

Draft

  • Cotter, John, (Co-Author Kevin Dowd), 2006, Extreme Spectral Risk Measures: An Application to Futures Clearinghouse Margin Requirements, Journal of Banking and Finance, 30, 3469-3485. Article

Draft

  • Cotter, John, 2006, Absolute Return Volatility, Risk, June, 84-88.  Draft
  • Cotter, John, (Co-Author Jim Hanly), 2006, Re-evaluating Hedging Performance, Journal of Futures Markets, 26, 12-31. Article

Draft

  • Cotter, John, 2006, Extreme Value Estimation of Boom and Crash Statistics, European Journal of Finance 12, 553-556. Article

Draft

  • Cotter, John, (Co-Author Simon Stevenson), 2006, A Multivariate Analysis of REIT Volatility, Journal of Real Estate Finance and Economics, 32, 305-325. Article

Draft

  • Cotter, John, 2006, Modelling catastrophic risk in international equity markets: An extreme value approach, Applied Financial Economic Letters, 2, 13-17. Article

Draft

  • Cotter, John, 2005, Extreme Risk in Futures Contracts, Applied Economic Letters, 12, 489–492. Article

Draft

  • Cotter, John, 2005, Tail Behaviour Of The Euro, Applied Economics, 37, 1 –14. Article

Draft

  • Cotter, John, 2005, Uncovering Long Memory in High Frequency UK Futures, European Journal of Finance, 11, 325-337. Article

Draft

  • Cotter, John, 2004, Minimum Capital Requirement Calculations for UK Futures, Journal of Futures Markets, 24, 193-220. Article

Draft

  • Cotter, John, 2004, Fat-Tailed Problems In Risk Management, Derivative Use, Trading And Regulation. 10, 2, 101-104. Article
  • Cotter, John, 2004, Downside Risk For European Equity Markets, Applied Financial Economics, 14, 707-716. Article

Draft

  • Cotter, John, 2004, International Equity Market Integration in A Small Open Economy: Ireland January 1990–December 2000, International Review Of Financial Analysis, 13, 669-685. Article

Draft

  • Cotter, John, 2001, Extreme Value Calculations Of European Futures Margin Requirements, Journal Of Banking And Finance, 25:8, 1475-1502. Article

Draft

  • Cotter, John, (Co-Author – Donal G. Mckillop), 2000, The Distributional Characteristics Of A Selection Of Contracts Traded On The London International Financial Futures Exchange, Journal Of Business Finance And Accounting, 27:3/4, 487-510. Article

Draft

  • Cotter, John, 2000, Volatility And The Euro: An Irish Perspective, Journal Of Statistical And Social Inquiry Society Of Ireland, 29, 83-116. Article

Draft

  • Cotter, John, (Co-Author Robert W. Hutchinson), 1999, The Impact Of Accounting Reporting Techniques On Earnings Enhancement In The UK Retailing Sector, The International Review Of Retail, Distribution And Consumer Research, 9, 147-163. Article
  • Cotter, John, 1998, Testing Distributional Models For The Irish Equity Market, The Economic And Social Review, 29, 369-383. Article
  • Cotter, John, 1998, Irish Event Studies: Earnings Announcements, Turn Of The Year And Size Effects, IBAR – Irish Business And Administrative Research, 18:1, 34-51. Article
  • Cotter, John, 1998, An Assessment Of The Market Reaction Of UK Firms To A Private Placement Announcement, Irish Accounting Review,  5:1, 1-22. Article

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