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John Cotter · Study
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Author
John Cotter
32 works
· latest 2021
· 1 institutions
cluster: provisional
ORCID 0000-0001-7290-8606
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32
Citations
1,756
Works here
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Most cited in this library
Multivariate Modeling of Daily REIT Volatility
2006 · 185 citations
Green bonds and other assets: Evidence from extreme risk transmission
2021 · 177 citations
Extreme spectral risk measures: An application to futures clearinghouse margin requirements
2006 · 113 citations
Anatomy of a bail-in
2014 · 97 citations
Margin exceedences for European stock index futures using extreme value theory
2001 · 95 citations
Works
32 shown
Green bonds and other assets: Evidence from extreme risk transmission
Journal of Environmental Management
·
2021
·
3 authors
177
citations
Beyond common equity: The influence of secondary capital on bank insolvency risk
Journal of Financial Stability
·
2020
·
3 authors
26
citations
Macro-Financial Spillovers
Journal of International Money and Finance
·
2020
·
3 authors
·
Open access
36
citations
Credit default swaps as indicators of bank financial distress
Journal of International Money and Finance
·
2019
·
3 authors
·
Open access
27
citations
Long-Run Wavelet-Based Correlation for Financial Time Series
European Journal of Operational Research
·
2018
·
3 authors
·
Open access
39
citations
Asset allocation with correlation: A composite trade-off
European Journal of Operational Research
·
2017
·
4 authors
38
citations
Commodity futures hedging, risk aversion and the hedging horizon
European Journal of Finance
·
2015
·
3 authors
59
citations
Performance of Utility Based Hedges
·
2015
·
1 author
·
Open access
28
citations
Can Housing Risk Be Diversified? A Cautionary Tale from the Housing Boom and Bust
Review of Financial Studies
·
2014
·
3 authors
·
Open access
63
citations
Sovereign and bank CDS spreads: Two sides of the same coin?
Journal of International Financial Markets Institutions and Money
·
2014
·
2 authors
·
Open access
44
citations
A Comparative Anatomy of Residential REITs and Private Real Estate Markets: Returns, Risks and Distributional Characteristics
Real Estate Economics
·
2014
·
2 authors
40
citations
Anatomy of a bail-in
Journal of Financial Stability
·
2014
·
2 authors
·
Open access
97
citations
Downside risk and the energy hedger's horizon
Energy Economics
·
2012
·
2 authors
44
citations
Extreme Measures of Agricultural Financial Risk
Journal of Agricultural Economics
·
2011
·
3 authors
·
Open access
30
citations
A utility based approach to energy hedging
Energy Economics
·
2011
·
2 authors
·
Open access
33
citations
Hedging effectiveness under conditions of asymmetry
European Journal of Finance
·
2011
·
2 authors
·
Open access
35
citations
An empirical analysis of dynamic multiscale hedging using wavelet decomposition
Journal of Futures Markets
·
2011
·
2 authors
·
Open access
57
citations
Time-varying risk aversion: An application to energy hedging
Energy Economics
·
2009
·
2 authors
·
Open access
40
citations
How Unlucky Is 25-Sigma?
The Journal of Portfolio Management
·
2008
·
4 authors
·
Open access
28
citations
Modeling Long Memory in REITs
Real Estate Economics
·
2008
·
2 authors
·
Open access
61
citations
Spectral Risk Measures: Properties and Limitations
Journal of Financial Services Research
·
2008
·
3 authors
·
Open access
88
citations
Varying the VaR for unconditional and conditional environments
Journal of International Money and Finance
·
2007
·
1 author
·
Open access
38
citations
Uncovering Volatility Dynamics in Daily REIT Returns
Journal of Real Estate Portfolio Management
·
2007
·
2 authors
·
Open access
36
citations
Extreme Spectral Risk Measures: An Application to Futures Clearinghouse Margin Requirements
SSRN Electronic Journal
·
2007
·
2 authors
·
preprint
·
Open access
27
citations
Extreme spectral risk measures: An application to futures clearinghouse margin requirements
Journal of Banking & Finance
·
2006
·
2 authors
·
Open access
113
citations
Reevaluating hedging performance
Journal of Futures Markets
·
2006
·
2 authors
·
Open access
73
citations
Multivariate Modeling of Daily REIT Volatility
The Journal of Real Estate Finance and Economics
·
2006
·
2 authors
185
citations
U.S. CORE INFLATION: A WAVELET ANALYSIS
Macroeconomic Dynamics
·
2006
·
3 authors
·
Open access
18
citations
Uncovering long memory in high frequency UK futures
European Journal of Finance
·
2005
·
1 author
·
Open access
31
citations
Downside risk for European equity markets
Applied Financial Economics
·
2004
·
1 author
·
Open access
25
citations
International equity market integration in a small open economy: Ireland January 1990–December 2000
International Review of Financial Analysis
·
2004
·
1 author
·
Open access
25
citations
Margin exceedences for European stock index futures using extreme value theory
Journal of Banking & Finance
·
2001
·
1 author
·
Open access
95
citations