Research

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.

Draft

 

  • Cotter, John, (Co-Authors Mahmoud Botshekan and Mathijs van Dijk), Cross Sectional Asset Pricing Tests: Ex Ante versus Ex Post Approaches.

Draft

 

  • Cotter, John (Co-Authors Mark Hallam and Kamil Yilmaz), Mixed-Frequency Macro-Financial Spillovers.

Draft

 

  • Cotter, John, (Co-Authors Tom Conlon and Phil Molyneux), Beyond Common Equity: The Influence of Secondary Capital on Bank Risk

Draft

 

 

  • Cotter, John (Co-Author Abhinav Anand), Integration Among US Banks.

Draft

 

  • Cotter, John and Enrique Salvador, The non-linear trade-off between return and risk: a regime-switching multi-factor framework.

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

 

  • 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-Authors Emmanuel Eyiah-Donkor and Valerio Poti), Commodity Return Predictability: Economic Value and Links to the Real Economy

 

  • Cotter, John, (Co-Authors Tom Conlon and Eyiah-Donkor and Valerio Poti), Crude oil return predictability revisited

 

  • Cotter, John, (Co-Authors Tom Conlon and Illia Kovalenko), Portfolio optimization based on stochastic dominance: A forward looking approach

 

  • Cotter, John (Co-Author Anita Suurlaht), Spillovers in Risk of Financial Institutions

Draft

 

  • Cotter, John and Niall McGeever, Are equity market anomalies disappearing? Evidence from the UK,

Draft

 

  • Cotter, John (Co-Authors Thomas Conlon, and Chenglu Jin), Co-skewness across Return Horizons.

Draft

 

  • Cotter, John, (Co-Authors David Blake and Kevin Dowd), What Should Be Done About The Underfunding Of Defined Benefit Pension Schemes?.

Draft

 

Publications

 

  • 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.

Paper

 

 

  • Cotter, John, (Co-Authors Tom Conlon), 2019, Subordinate Resolution – An Empirical Analysis of European Union Subsidiary Banks, Journal of Common Market Studies, Forthcoming.

Paper

 

  • Cotter, John (Co-Authors Thomas Conlon and Ramazan Gencay), 2018, Long-Run International Diversification, European Journal of Operational Research, 271, 676-696.

Draft

Paper

 

  • 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.

Paper

 

  • 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.

paper

 

  • 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.

Draft

 

  • 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.

Article

Draft

 

  • Cotter, John, and James Hanly, 2015, Performance of Utility Based Hedges, Energy Economics, 49, 718-726.

Article

 

 

  • 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.

Article

Draft

 

  • 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.

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.

Article

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, 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.

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.

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, Journal of Risk, June, 84-88.

Article

Draft

 

  • 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

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.

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

 

 

 

Book Chapters:

  • Cotter, John, (Co-Author Kevin Dowd), Margin Setting and Extreme Value Theory, Extreme value theory and applications in finance, Editor Francois Longin, Handbook Series in Financial Engineering and Econometrics, Wiley, Forthcoming.
  • 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 (L. Becchetti, I. Hasan and M. Bagella), Elsevier Press, 291-316.

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