- Much of my research is available in draft and published formats detailed below. My SSRN page is here, my IDEAS/Repec page is here and my ResearchGate Page is here,
Working Papers and Work in Progress:
- Cotter, John, (Co-Authors Stuart Gabriel and Richard Roll), Nowhere to Run, Nowhere to Hide: Asset Diversification in a Flat World.
- Cotter, John, (Co-Authors Mahmoud Botshekan and Mathijs van Dijk), Cross Sectional Asset Pricing Tests: Ex Ante versus Ex Post Approaches.
- Cotter, John (Co-Authors Mark Hallam and Kamil Yilmaz), Mixed-Frequency Macro-Financial Spillovers.
- Cotter, John, (Co-Authors Tom Conlon and Phil Molyneux), Beyond Common Equity: The Influence of Secondary Capital on Bank Risk
- Cotter, John, (Co-Author Davide Avino and Tom Conlon), Credit Default Swaps as Indicators of Bank Financial Distress
- Cotter, John, (Co-Author Francois Longin), Implied Correlation from VaR.
- Cotter, John, (Co-Author Francois Longin), Margin Setting With High-Frequency Data.
- Cotter, John, (Co-Authors Valerio Poti, Thierry Post and Enrique Salvador), Long-Run Risks and Higher Moments in Consumption Growth for Asset Pricing Tests: An Empirical Investigation.
- Cotter, John (Co-Author Anita Suurlaht), Spillovers in Risk of Financial Institutions
- Cotter, John, (Co-Authors David Blake and Kevin Dowd), What Should Be Done About The Underfunding Of Defined Benefit Pension Schemes?.
Selected Journal Articles
- Cotter, John (Co-Authors Thomas Conlon and Ramazan Gencay), 2018, Long-Run International Diversification, European Journal of Operational Research, Forthcoming.
- Cotter, John (Co-Authors Carroll, Rachael, Thomas Conlon, and Enrique Salvador) 2017, Asset Allocation with Correlation: A Composite Trade-Off, European Journal of Operational Research, 262. 1164-1180.
- Cotter, John, (Co-Authors Emmanuel Eyiah-Donkor and Valerio Poti), 2017, Diversification Benefits of Investing in Commodity and Currency Futures: is it still there? International Review of Financial Analysis, 50, pages 52-66.
- Cotter, John (Co-Authors Stuart Gabriel and Richard Roll), 2015, Can Metropolitan Housing Risk Be Diversified? A Cautionary Tale from the Recent Boom and Bust, Review of Financial Studies, Forthcoming.
- Cotter, John (Co-Author Richard Roll), 2015, A Comparative Anatomy of Residential REITs and Private Real Estate markets: Returns, Risks and Distributional Characteristics, Real Estate Economics, Forthcoming.
- 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.
- Cotter, John (Co-Author Tom Conlon), 2014, Anatomy of a Bail-In, Journal of Financial Stability, 15, 257-263.
- 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.
- Cotter, John, (Co-Author Jim Hanly), 2012, A Utility Based Approach to Energy Hedging, Energy Economics, 34, 817-827.
- Cotter, John, (Co-Authors Kevin Dowd, Lixia Loh), 2011, U.S. Core Inflation: A Wavelet Analysis, Macroeconomic Dynamics, 15, 513-536.
- Cotter, John, (Co-Authors Karl Case and Stuart Gabriel), 2011, Risk Housing Investment, Risk and Return: New Evidence from a housing asset-pricing model, Special Real Estate Issue of the Journal of Portfolio Management, 35, 89-109.
- Cotter, John, (Co-Author Jim Hanly), 2010, Time Varying Risk Aversion: An Application to Energy Hedging, Energy Economics, 32, 432-441.
- Cotter, John, 2009, Scaling conditional tail probability and quantile estimators, Journal of Risk, April, 102-106.
- 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.
- Cotter, John, (Co-Author Don Bredin), 2008, Volatility and Irish Exports, Economic Enquiry, 46, 540-560.
- Cotter, John, (Co-Authors Kevin Dowd and Ghulam Sorwar), 2008, Spectral Risk Measures: Properties and Limitations, Journal of Financial Services Research, 34, 16-30.
- Cotter, John, (Co-Author Simon Stevenson), 2008, Modelling Long Memory in REITs, Real Estate Economics, 36, 533-554.
- Cotter, John, 2007, Varying the VaR for Unconditional and Conditional Environments, Journal of International Money and Finance, 26, 1338-1354.
- 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.
- Cotter, John, 2007, (Co-Author Kevin Dowd), Exponential Spectral Risk Measures, Icfai Journal of Financial Economics, 5, 28-42.
- 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.
- Cotter, John, 2006, Absolute Return Volatility, Journal of Risk, June, 84-88.
- Cotter, John, (Co-Author Simon Stevenson), 2006, A Multivariate Analysis of REIT Volatility, Journal of Real Estate Finance and Economics, 32, 305-325.
- 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.
- Cotter, John, 2001, Extreme Value Calculations Of European Futures Margin Requirements, Journal Of Banking And Finance, 25:8, 1475-1502.
- 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.