Browse by Authors

2000

Cotter, John (2000): Margin Exceedences for European Stock Index Futures using Extreme Value Theory. Published in: Journal of Banking and Finance , Vol. 25, No. 8 (2001): pp. 1475-1502.

Cotter, John (2000): Volatility and the Euro: an Irish perspective. Published in: Journal of Statistical and Social Inquiry Society of Ireland , Vol. 29, (2000): pp. 83-116.

2004

Cotter, John (2004): Absolute Return Volatility. Published in: Risk (June 2006): pp. 84-88.

Cotter, John (2004): Absolute Return Volatility. Published in: Risk (June 2006): pp. 84-88.

Cotter, John (2004): Downside Risk for European Equity Markets. Published in: Applied Financial Economics , Vol. 14, (2004): pp. 707-716.

Cotter, John (2004): International Equity Market Integration in a Small Open Economy: Ireland January 1990 – December 2000. Published in: International Review of Financial Analysis , Vol. 13, (2004): pp. 669-685.

Cotter, John and Longin, Francois (2004): Margin setting with high-frequency data.

Cotter, John (2004): Minimum Capital Requirement Calculations for UK Futures. Published in: Journal of Futures Markets , Vol. 24, (2004): pp. 193-220.

Cotter, John (2004): Modelling extreme financial returns of global equity markets. Published in: Greek Economic Review

Cotter, John (2004): Tail Behaviour of the Euro. Published in: Applied Economics , Vol. 37, (2005): pp. 1-14.

Cotter, John (2004): Uncovering Long Memory in High Frequency UK Futures. Published in: European Journal of Finance , Vol. 11, (2005): pp. 325-337.

Cotter, John and Stevenson, Simon (2004): Uncovering Volatility Dynamics in Daily REIT Returns. Published in: Journal of Real Estate Portfolio Management , Vol. 13, : pp. 119-128.

Cotter, John (2004): Varying the VaR for Unconditional and Conditional Environments,.

2005

Cotter, John and Stevenson, Simon (2005): Multivariate Modeling of Daily REIT Volatility. Published in: Journal of Real Estate Finance and Economics (2006)

Cotter, John and Hanly, James (2005): Re-evaluating Hedging Performance.

Cotter, John and Bredin, Don (2005): Volatility and Irish Exports.

2006

Cotter, John and Blake, David and Dowd, Kevin (2006): Financial Risks and the Pension Protection Fund: Can it Survive Them?

Cotter, John and Longin, Francois (2006): Implied correlation from VaR.

Cotter, John (2006): Modelling catastrophic risk in international equity markets: An extreme value approach. Published in: Applied Financial Economic Letters , Vol. 2, (2006)

Cotter, John (2006): Real & Nominal Foreign Exchange Volatility Effects on Exports – The Importance of Timing.

Cotter, John and Dowd, Kevin (2006): Spectral Risk Measures with an Application to Futures Clearinghouse Variation Margin Requirements.

Cotter, John and Dowd, Kevin (2006): U.S. Core Inflation: A Wavelet Analysis.

2007

Cotter, John and Dowd, Kevin (2007): Estimating financial risk measures for futures positions: a non-parametric approach.

Cotter, John and Dowd, Kevin (2007): Evaluating the Precision of Estimators of Quantile-Based Risk Measures.

Cotter, John and Dowd, Kevin (2007): Exponential Spectral Risk Measures.

Cotter, John (2007): Extreme risk in Asian equity markets.

Cotter, John and Hanly, James (2007): Hedging Effectiveness under Conditions of Asymmetry.

Cotter, John and Dowd, Kevin (2007): Intra-Day Seasonality in Foreign Exchange Market Transactions.

Cotter, John and Stevenson, Simon (2007): Modeling Long Memory in REITs.

Cotter, John and Dowd, Kevin (2007): The tail risks of FX return distributions: a comparison of the returns associated with limit orders and market orders.

2011

Cotter, John and Gabriel, Stuart and Roll, Richard (2011): Integration and contagion in US housing markets.

June 2013

Avino, Davide and Cotter, John (2013): Sovereign and bank CDS spreads: two sides of the same coin for European bank default predictability?

2014

Avino, Davide and Cotter, John (2014): Sovereign and bank CDS spreads: two sides of the same coin?