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,
Publications
- Cotter, John (Co-Authors Thomas Conlon, and Chenglu Jin), 2022, Co-skewness across Return Horizons, Journal of Financial Econometrics.
- Cotter, John (Co-Author Enrique Salvador), 2022, The non-linear trade-off between return and risk and its determinants, Journal of Empirical Finance.
- Cotter, John, (Co-Authors Emmanuel Eyiah-Donkor and Valerio Poti), 2022, Commodity Futures Return Predictability and Intertemporal Asset Pricing, Journal of Commodity Markets.
- Cotter, John, (Co-Authors Tom Conlon and Emmanuel Eyiah-Donkor), 2021, The illusion of oil return predictability: The choice of data matters!, Journal of Banking and Finance, 134, 106331.
- Cotter, John, (Co-Authors Tom Conlon and Muhammad Abubakr Naeem), 2021Green bonds and other assets: Evidence from extreme risk transmission, Journal of Environmental Management, 305, 114358
- Cotter, John, (Co-Authors Tom Conlon and Phil Molyneux), 2020, Beyond Common Equity: The Influence of Secondary Capital on Bank Risk, Journal of Financial Stability.
- Cotter, John (Co-Author Anita Suurlaht), 2019, Spillovers in Risk of Financial Institutions, European Journal of Finance, DOI: 10.1080/1351847X.2019.1635897.
- Cotter, John, (Co-Author Davide Avino and Tom Conlon), 2019, Credit Default Swaps as Indicators of Bank Financial Distress, Journal of International Money and Finance, 94, 132-139.
- Cotter, John, (Co-Authors Tom Conlon), 2019, Subordinate Resolution – An Empirical Analysis of European Union Subsidiary Banks, Journal of Common Market Studies, Forthcoming.
- Cotter, John (Co-Authors Thomas Conlon and Ramazan Gencay), 2018, Long-Run International Diversification, European Journal of Operational Research, 271, 676-696.
- 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 Thomas Conlon and Ramazan Gencay), 2016, Commodity Futures Hedging, Risk Aversion and the Hedging Horizon, European Journal of Finance, 22, 1534-1560.
- 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, and James Hanly, 2015, Performance of Utility Based Hedges, Energy Economics, 49, 718-726.
- 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.
- Cotter, John, Niall O’ Sullivan, Francesco Rossi, 2015, The conditional pricing of systematic and idiosyncratic risk in the UK equity market, International Review of Financial Analysis, 37, 184-193.
- Cotter, John (Co-Authors Thomas Conlon and Ramazan Gencay), 2014, Commodity Futures Hedging, Risk Aversion and the Hedging Horizon, European Journal of Finance, 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), 2013, Downside Risk and the Energy Hedger’s Horizon, Energy Economics, 36, 371-379.
- 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-Author Jim Hanly), 2012, Futures Hedging Effectiveness under Conditions of Asymmetry, European Journal of Finance, 18, 135-148.
- Cotter, John, (Co-Authors Kevin Dowd and Wyn Morgan), 2011, Extreme Measures of Agricultural Financial Risk, Journal of Agricultural Economics, 63, 65 -82.
- Cotter, John, (Co-Author Kevin Dowd), 2011 Extreme Global Equity Market Risk, Journal of Derivatives and Hedge Funds, 17, 313 – 325.
- 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 Kevin Dowd), 2010, Estimating financial risk measures for futures positions: a non-parametric approach, Journal of Futures Markets, 30, 689-703.
- Cotter, John, (Co-Author Jim Hanly), 2010, Time Varying Risk Aversion: An Application to Energy Hedging, Energy Economics, 32, 432-441.
- Cotter, John, (Co-Author Kevin Dowd), 2010, Intra-Day Seasonality in Foreign Exchange Market Transactions, International Review of Economics and Finance, 19, 287-294.
- Cotter, John, (Co-Author Jim Hanly), 2009, Hedging: Scaling and the Investor Horizon, Journal of Risk, 12, 49-77.
- Cotter, John, 2009, Scaling conditional tail probability and quantile estimators, Journal of Risk, April, 102-106.
- Cotter, John, (Co-Author Don Bredin), 2009, Real & Nominal Foreign Exchange Volatility Effects on Exports – The Importance of Timing, Finance Letters.
- 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, (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.
- 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, (Co-Author Simon Stevenson), 2007, Uncovering Volatility Dynamics in Daily REIT Returns, Journal of Real Estate Portfolio Management, 13, 2, 119-128.
- 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 Jim Hanly), 2006, How Effective are Hedging Strategies?, Futures and Options World, June, 60-63.
- Cotter, John, (Co-Author Jim Hanly), 2006, Re-evaluating Hedging Performance, Journal of Futures Markets, 26, 12-3
- Cotter, John, 2006, Extreme Value Estimation of Boom and Crash Statistics, European Journal of Finance 12, 553-556.
- 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, 2006, Modelling catastrophic risk in international equity markets: An extreme value approach, Applied Financial Economic Letters, 2, 13-17.
- Cotter, John, 2005, Extreme Risk in Futures Contracts, Applied Economic Letters, 12, 489–492.
- Cotter, John, 2005, Tail Behaviour Of The Euro, Applied Economics, 37, 1 –14.
- Cotter, John, 2005, Uncovering Long Memory in High Frequency UK Futures, European Journal of Finance, 11, 325-337.
- Cotter, John, 2004, Minimum Capital Requirement Calculations for UK Futures, Journal of Futures Markets, 24, 193-220.
- Cotter, John, 2004, Fat-Tailed Problems In Risk Management, Derivative Use, Trading And Regulation. 10, 2, 101-104.
- Cotter, John, 2004, Downside Risk For European Equity Markets, Applied Financial Economics, 14, 707-716.
- 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.
- Cotter, John, 2000, Volatility And The Euro: An Irish Perspective, Journal Of Statistical And Social Inquiry Society Of Ireland, 29, 83-116.
- 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.
- Cotter, John, 1998, Testing Distributional Models For The Irish Equity Market, The Economic And Social Review, 29, 369-383.
- 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.
- Cotter, John, 1998, An Assessment Of The Market Reaction Of UK Firms To A Private Placement Announcement, Irish Accounting Review, 5:1, 1-22.
Book Chapters:
- Cotter, John, (Co-Author Kevin Dowd), 2016, Margin Setting and Extreme Value Theory, Extreme value theory and applications in finance, Editor Francois Longin, Handbook Series in Financial Engineering and Econometrics, Wiley, 427-440.
- Cotter, J, 2013, Foreign Exchange Exposure and Sun Shine ltd, Cases and Solutions in Management Accounting and Business Finance, 3rd Edition, Eds (Noel Hyndman and Donal McKillop), Institute of Chartered Accountants of Ireland, 142-147.
- Cotter, J, 2013, Pension Risk and Good Food Company plc, Cases and Solutions in Management Accounting and Business Finance, 3rd Edition, Eds (Noel Hyndman and Donal McKillop), Institute of Chartered Accountants of Ireland, 178-183.
- Cotter, J, 2013, Solution to Foreign Exchange Exposure and Sun Shine ltd, Cases and Solutions in Management Accounting and Business Finance, 3rd Edition, Eds (Noel Hyndman and Donal McKillop), Institute of Chartered Accountants of Ireland, 384-391.
- Cotter, J, 2013, Solution to Pension Risk and Good Food Company plc, Cases and Solutions in Management Accounting and Business Finance, 3rd Edition, Eds (Noel Hyndman and Donal McKillop), Institute of Chartered Accountants of Ireland, 427-433.
- Cotter, John, (Co-Author Jim Hanly), 2012, Re-evaluating Hedging Performance for Asymmetry: The Case of Oil, Derivative Securities Pricing and Modelling, Contemporary Studies in Economics and Financial Analysis Series, Jonathan Batten and Niklas Wagner (Eds), Emerald, 259-280.
- Cotter, John, (Co-Author Kevin Dowd), 2009, Quantile-based tail risk estimation for equity portfolios, The VaR Modelling Handbook: Practical Applications in Alternative Investing, Banking, Insurance and Portfolio Management, Ed (Gregoriou, Greg), Mcgraw-Hill, 297-313.
- Cotter, John, 2005, (Co-Author Francois Longin), Margin Requirements With Intraday Dynamics, Book on ‘Governance, Transparency and Markets’, Eds ( Becchetti, I. Hasan and M. Bagella), Elsevier Press, 291-316.
Working Papers and Work in Progress:
- Cotter, John (Co-Authors Thomas Conlon, and Iason Kynigakis), Machine Learning and Factor-Based Portfolio Optimization.
- 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), Macro-Financial Spillovers.
- Cotter, John (Co-Author Abhinav Anand), Integration Among US Banks.
- 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-Author Stuart Gabriel, and Richard Roll), Same as it ever was? Long run asset market linkages.
- Cotter, John, (Co-Authors Tom Conlon and Emmanuel Eyiah-Donkor), Forecasting the real price of oil: A cautionary note.
- Cotter, John (Co-Authors Thomas Conlon, and Chenglu Jin), Horizon-Dependent Profitability and Investment Factors: International Evidence
- Cotter, John (Co-Authors Thomas Conlon and Bardia Khorsand, Does Dividend Smoothing Affect Firm Value?
- John Cotter (Co-Author Mohamad Faour, and Cal Muckley), Dividend cuts and omissions and financial distress risk.
- John Cotter (Co-Authors Henk von Eije, Mohamad Faour, and Cal Muckley), Reconsidering dividend announcement returns: The role of investor expectations.
- Cotter, John, (Co-Authors Tom Conlon, Illia Kovalenko and Thierry Post), A Financial Modelling Approach to Industry Exchange-Traded Funds Rotation
- Cotter, John, (Co-Authors Tom Conlon and Illia Kovalenko) Active portfolio management using robust optimization
- Cotter, John, (Co-Authors Tom Conlon and Illia Kovalenko) Copula-based Portfolio Optimization in High Dimensions
- Cotter, John, (Co-Authors Mohamad Faour and Cal Muckley), Is no news good news? The case of no-change dividend announcements
- Cotter, John, (Co-Authors Emmanuel Eyiah-Donkor and Valerio Poti), Cross-market Return Predictability, Commodity and Capital Market Integration
- Cotter, John and Niall McGeever, Are equity market anomalies disappearing? Evidence from the UK
- Cotter, John, (Co-Authors David Blake and Kevin Dowd), What Should Be Done About The Underfunding Of Defined Benefit Pension Schemes?.
John Cotter 