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John Cotter

Identifiers

  • name variant John Cotter 0.60 · backfill

Papers (37)

  1. Machine Learning Forecasts of Asymmetric Betas Using Firm-Specific Information q-fin.PR · 2026 · author #2
  2. The non-linear trade-off between return and risk: a regime-switching multi-factor framework q-fin.ST · 2014 · author #1
  3. Anatomy of a Bail-In q-fin.GN · 2014 · author #2
  4. Can Metropolitan Housing Risk be Diversified? A Cautionary Tale from the Recent Boom and Bust q-fin.PM · 2012 · author #1
  5. Integration and Contagion in US Housing Markets q-fin.GN · 2011 · author #1
  6. Financial Risks and the Pension Protection Fund: Can it Survive Them? q-fin.RM · 2011 · author #2
  7. Absolute Return Volatility q-fin.ST · 2011 · author #1
  8. A Utility Based Approach to Energy Hedging q-fin.RM · 2011 · author #1
  9. A Comparative Anatomy of REITs and Residential Real Estate Indexes: Returns, Risks and Distributional Characteristics q-fin.PM · 2011 · author #1
  10. Housing risk and return: Evidence from a housing asset-pricing model q-fin.PM · 2011 · author #2
  11. Time Varying Risk Aversion: An Application to Energy Hedging q-fin.RM · 2011 · author #1
  12. Hedging: Scaling and the Investor Horizon q-fin.RM · 2011 · author #1
  13. Scaling conditional tail probability and quantile estimators q-fin.RM · 2011 · author #1
  14. Extreme Measures of Agricultural Financial Risk q-fin.RM · 2011 · author #1
  15. Spectral Risk Measures: Properties and Limitations q-fin.RM · 2011 · author #2
  16. How Unlucky is 25-Sigma? q-fin.GN · 2011 · author #2
  17. Spectral Risk Measures and the Choice of Risk Aversion Function q-fin.RM · 2011 · author #2
  18. Estimating financial risk measures for futures positions: a non-parametric approach q-fin.RM · 2011 · author #1
  19. Evaluating the Precision of Estimators of Quantile-Based Risk Measures q-fin.RM · 2011 · author #2
  20. Intra-Day Seasonality in Foreign Exchange Market Transactions q-fin.TR · 2011 · author #1
  21. The tail risks of FX return distributions: a comparison of the returns associated with limit orders and market orders q-fin.ST · 2011 · author #1
  22. Multivariate Modeling of Daily REIT Volatility q-fin.ST · 2011 · author #1
  23. U.S. Core Inflation: A Wavelet Analysis q-fin.ST · 2011 · author #2
  24. Modelling catastrophic risk in international equity markets: An extreme value approach q-fin.RM · 2011 · author #1
  25. Implied correlation from VaR q-fin.RM · 2011 · author #1
  26. Extreme Spectral Risk Measures: An Application to Futures Clearinghouse Margin Requirements q-fin.RM · 2011 · author #1
  27. Uncovering Long Memory in High Frequency UK Futures q-fin.ST · 2011 · author #1
  28. Varying the VaR for Unconditional and Conditional Environments q-fin.RM · 2011 · author #1
  29. Tail Behaviour of the Euro q-fin.RM · 2011 · author #1
  30. Uncovering Volatility Dynamics in Daily REIT Returns q-fin.ST · 2011 · author #1
  31. Minimum Capital Requirement Calculations for UK Futures q-fin.RM · 2011 · author #1
  32. Modeling Long Memory in REITs q-fin.ST · 2011 · author #1
  33. Margin setting with high-frequency data1 q-fin.RM · 2011 · author #1
  34. Hedging Effectiveness under Conditions of Asymmetry q-fin.CP · 2011 · author #1
  35. Exponential Spectral Risk Measures q-fin.RM · 2011 · author #2
  36. Spectral Risk Measures with an Application to Futures Clearinghouse Variation Margin Requirements q-fin.RM · 2011 · author #1
  37. An Empirical Analysis of Dynamic Multiscale Hedging using Wavelet Decomposition q-fin.RM · 2011 · author #2

Mentions

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Frequent Coauthors