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Professor John Cotter BComm MEconSc PhD
Contact Details
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Biography:
| John Cotter is Professor
in Finance and the Chair in Quantitative Finance at University College
Dublin. He is a Research Fellow at the UCLA
Ziman Research Center for Real Estate. John
has previously had visiting positions at UCLA, London School of Economics and ESSEC
Business School.
John¿s research,
teaching and consultancy interests are in the areas of Volatility modelling and
measuring, risk management and investment analysis with applications in equity,
currency, derivative, fixed income and real estate markets. He has taught extensively on undergraduate,
graduate and executive programmes. John
was awarded a UCD Faculty of Commerce
Outstanding Educator Teaching Award in 2003.
John is the
founding and current Director of the Centre for Financial Markets at University
College Dublin. He is the Director of the Financial Mathematics Computation
Research Cluster (FMC2) a multi-university cross-discipline
research body in Finance. John is Associate Editor of the Journal of
International Financial Markets, Institutions & Money and the European
Journal of Finance.
John has
published many professional papers including in the Journal of Banking and
Finance, the Journal of International Money and Finance, and the Journal of
Futures Markets. He has received many
research grants including being a Principal Investigator in the Financial
Mathematics Computation Research Cluster (FMC2) funded by
Science Foundation Ireland. John was awarded the 2010 Outstanding Research Contribution Award at
the UCD School of Business, University College Dublin.
John has
consulted for many organizations both in and outside Ireland. He has also served as
an expert witness in several financial cases. |
Research Interests
| Research and consultancy interests are in the areas of Asset Pricing and Investment Performance, Volatility Modelling and Measuring, Risk Management and Investment Analysis with applications in equity, currency, derivative, fixed income, and real estate markets. He welcomes interest in these areas from researchers, collaborators and PhD students. Asset Pricing |
Research Projects
| Sponsor : Science Foundation Ireland (SFI) Title : Financial mathematics and computation cluster (FMC2) - WP10 Start Date / End Date : 01-SEP-09 / 01-SEP-12 |
| Sponsor : Science Foundation Ireland (SFI) Title : Financial mathematics and computation cluster (FMC2) - WP9 Start Date / End Date : 01-SEP-09 / 01-SEP-12 |
| Sponsor : Science Foundation Ireland (SFI) Title : Financial mathematics and computation cluster (FMC2) - WP8 Start Date / End Date : 01-SEP-09 / 01-SEP-12 |
| Sponsor : Science Foundation Ireland (SFI) Title : Financial mathematics and computation cluster (FMC2) - WP7 Start Date / End Date : 01-SEP-09 / 01-SEP-12 |
| Sponsor : Science Foundation Ireland (SFI) Title : Financial mathematics and computation cluster (FMC2) - WP6 Start Date / End Date : 01-SEP-09 / 01-SEP-12 |
| Sponsor : Science Foundation Ireland (SFI) Title : Financial mathematics and computation cluster (FMC2) - WP5 Start Date / End Date : 01-SEP-09 / 01-SEP-12 |
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| Sponsor : Science Foundation Ireland (SFI) Title : Financial mathematics and computation cluster (FMC2) - Outreach account Start Date / End Date : 01-SEP-09 / 01-SEP-12 |
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| Sponsor : Science Foundation Ireland (SFI) Title : Financial mathematics and computation cluster (FMC2) - Management account Start Date / End Date : 01-SEP-09 / 01-SEP-12 |
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| Sponsor : Science Foundation Ireland (SFI) Title : Financial mathematics and computation cluster (FMC2) - Transfer to NUI Maynooth Start Date / End Date : 01-SEP-09 / 01-SEP-12 |
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| Sponsor : Science Foundation Ireland (SFI) Title : Financial mathematics and computation cluster (FMC2) - Transfer to DCU Start Date / End Date : 01-SEP-09 / 01-SEP-12 |
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| Sponsor : University College Dublin (UCD) Title : Financial Risk Management Start Date / End Date : 01-JUL-08 / 31-AUG-14 |
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| Sponsor : UCD School of Business Title : Pension Risk Start Date / End Date : 30-SEP-06 / 30-JUN-12 |
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| Sponsor : University College Dublin (UCD) Title : Volatility Measurement in Currency and Equity Markets: Applying the Extreme Value Theory Start Date / End Date : 01-AUG-01 / 28-FEB-02 |
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| Sponsor : UCD Faculty of Commerce Title : Theoretical and practical modelling of volatility in financial in financial markets Start Date / End Date : 01-JUN-02 / 31-MAY-05 |
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| Sponsor : UCD School of Business Title : International Risk Management Start Date / End Date : 01-OCT-05 / 30-JUN-12 |
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Recent Postgraduates
| Tom Conlon Jim Hanly Yan Zhong Francesco Rossi |
Current Postgraduate Students
| Colm Doyle, Doctor of Philosophy (PhD) - Thesis Supervisor |
| Aik Hong Tan, Doctor of Philosophy (PhD) - Thesis Supervisor |
| Niall Mc Geever, Doctor of Philosophy (PhD) - Thesis Supervisor |
Peer Reviewed Journals
| Cotter, J. & J. Hanly; (2006) 'Re-evaluating Hedging Performance'. JOURNAL OF FUTURES MARKETS, 26 :12-31. [Details] |
| Cotter, J,Dowd, K; (2006) 'Extreme spectral risk measures: An application to futures clearinghouse margin requirements'. JOURNAL OF BANKING & FINANCE, 30 :3469-3485. [DOI] [Details] |
| Bredin, D. and Cotter, J. ; (2007) ''Real & Nominal Foreign Exchange Volatility Effects on Exports - The Importance of Timing''. Finance Research Letters, . [Details] |
| John Cotter, Kevin Dowd and Ghulam Sorwar; (2008) 'Spectral Risk Measures: Properties and Limitations'. Journal of Financial Services Research, 34 :16-30. [Details] |
| Cotter, John, (Co-Author Jim Hanly); (2012) 'Futures Hedging Effectiveness under Conditions of Asymmetry'. European Journal of Finance, 18 :135-148. [DOI] [Details] |
| Cotter, John, (Co-Author Tom Conlon); (2012) 'An Empirical Analysis of Dynamic Multiscale Hedging using Wavelet Decomposition'. Journal of Futures Markets, 32 :272-299. [DOI] [Details] | |||||||||
| Cotter, John, and Jim Hanly , ; (2012) 'A Utility Based Approach to Energy Hedging'. Energy Economics, 34 :817-827. [DOI] [Details] | |||||||||
| Cotter, John, Kevin Dowd and Wyn Morgan; (2012) 'Extreme Measures of Agricultural Financial Risk'. Journal of Agricultural Economics, 63 :65-82. [Details] | |||||||||
| Cotter, John, (Co-Author Kevin Dowd); (2011) 'Extreme Global Equity Market Risk'. Journal of Derivatives and Hedge Funds, . [DOI] [Details] | |||||||||
| Karl Case, Cotter, John, and Stuart Gabriel; (2011) 'Risk Housing Investment, Risk and Return: New Evidence from a housing asset-pricing model'. Journal of Portfolio Management, 35 :89-109. [Details] | |||||||||
| Cotter, J,Dowd, K; (2010) 'ESTIMATING FINANCIAL RISK MEASURES FOR FUTURES POSITIONS: A NONPARAMETRIC APPROACH'. JOURNAL OF FUTURES MARKETS, 30 :689-703. [DOI] [Details] | |||||||||
| Cotter, J,Dowd, K; (2010) 'Intra-day seasonality in foreign exchange market transactions'. International Review of Economics and Finance, 19 :287-294. [DOI] [Details] | |||||||||
| Cotter, J,Hanly, J; (2010) 'Time-varying risk aversion: An application to energy hedging'. Energy Economics, 32 :432-441. [DOI] [Details] | |||||||||
| Cotter, John, Kevin Dowd, and Lixia Loh; (2011) 'U.S. Core Inflation: A Wavelet Analysis'. Macroeconomic Dynamics, 15 :513-536. [Details] | |||||||||
| John Cotter; (2009) 'Scaling conditional tail probability and quantile estimators'. Risk, :102-106. [Details] | |||||||||
| John Cotter and Jim Hanly; (2009) 'Hedging: Scaling and the Investor Horizon'. The Journal of Risk, 12 (2). [Details] | |||||||||
| Cotter, J., Stevenson, S., ; (2008) 'Modeling long memory in REITs'. Real Estate Economics, 36 (3):533-554. [Details] | |||||||||
| Dowd, K., Cotter, J., Humphrey, C., Woods, M., ; (2008) 'How unlucky is 25-sigma?'. Journal of Portfolio Management, 34 (4). [Details] | |||||||||
| Cotter, J., , ; (2007) 'Varying the VaR for unconditional and conditional environments'. Journal of International Money and Finance, 26 (8):1338-1354. [Details] | |||||||||
| John Cotter and Don Bredin; (2007) 'Real & Nominal Foreign Exchange Volatility Effects on Exports – The Importance of Timing'. Finance Letters, . [Details] | |||||||||
| Cotter, J, Dowd, K, ; (2006) 'Extreme spectral risk measures: An application to futures clearinghouse margin requirements'. JOURNAL OF BANKING & FINANCE, 30 (12):3469-3485. [Details] | |||||||||
| Cotter, J, Stevenson, S, ; (2006) 'Multivariate modeling of daily REIT volatility'. JOURNAL OF REAL ESTATE FINANCE AND ECONOMICS, 32 (3):305-325. [Details] | |||||||||
| Cotter, J. (Co-Authors D. Blake and K. Dowd); (2007) 'Financial risks and the Pension Protection Fund: Can it survive them?'. Pensions, 12 :109-130. [Details] | |||||||||
| Cotter, J. (Co-Author K. Dowd); (2007) 'Exponential Spectral Risk Measures'. icfai Journal of Financial Economics, . [Details] | |||||||||
| Cotter, J., (Co-Author D. Bredin), ; (2008) 'Volatility and Irish Exports'. Economic Inquiry, 46 (540-560). [Details] | |||||||||
| Cotter, J., (Co-Author S. Stevenson),; (2007) 'Uncovering Volatility Dynamics in Daily REIT Returns'. Journal of Real Estate Portfolio Management, 13 (2):119-128. [Details] | |||||||||
| Cotter, J.; (2006) 'Absolute Return Volatility'. RISK, :84-88. [Details] | |||||||||
| Cotter, J.; (2006) 'Extreme Value Estimation of Boom and Crash Statistics'. EUROPEAN JOURNAL OF FINANCE, 12 :1-14. [Details] | |||||||||
| Cotter, J.; (2006) 'Modeling catastrophic risk in international equity markets: An extreme value approach'. APPLIED FINANCIAL ECONOMIC LETTERS, 2 :13-17. [Details] | |||||||||
| Cotter, J. & J. Hanly; (2006) 'How Effective are Hedging Strategies?'. FUTURES AND OPTIONS WORLD, :60-63. [Details] | |||||||||
| Cotter, J.; (2005) 'Uncovering Long Memory in High Frequency UK Futures'. European Journal of Finance, 11 :325-337. [Details] | |||||||||
| Cotter, J.; (2005) 'Tail Behaviour of the Euro'. APPLIED ECONOMICS, 37 :1-14. [Details] | |||||||||
| Cotter, J.; (2005) 'Extreme Risk in Futures Contracts'. APPLIED ECONOMIC LETTERS, 12 :489-492. [Details] | |||||||||
| Cotter, J.; (2004) 'Minimum Capital Requirement Calculations For UK Futures'. Journal of Futures Markets, 24 :193-220. [Details] | |||||||||
| Cotter, J.; (2004) 'Viability Of The Irish Equity Market'. Irish Banking Review, Summer :42-54. [Details] | |||||||||
| Cotter, J.,; (2004) 'Fat-Tailed Problems In Risk Management'. Derivatives Use, Trading & Regulation, 10 (2):101-104. [Details] | |||||||||
| Cotter, J.; (2004) 'Downside Risk For European Equity Markets'. Applied Financial Economics, 14 :707-716. [Details] | |||||||||
| Cotter, J.; (2004) 'International Equity Market Integration In A Small Open Economy: Ireland January 1990December 2000'. International Review of Financial Analysis, 13 :669-685. [Details] | |||||||||
| Cotter, J.; (2002) 'Lessons To Be Learned From The AIB Case'. Financial Engineering News, . [Details] | |||||||||
| Cotter, J.; (2001) 'Extreme Value Calculations Of European Futures Margin Requirements'. Journal of Banking and Finance, 25 (8):1475-1502. [Details] | |||||||||
| Cotter, J. & Mckillop, D.G.; (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. [Details] | |||||||||
| Cotter, J.; (2000) 'Volatility And The Euro: An Irish Perspective'. Journal Of Statistical And Social Inquiry Society Of Ireland, 29 :83-116. [Details] | |||||||||
| Cotter, J. Hutchinson, R.W.; (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. [Details] | |||||||||
| Cotter, J.; (1998) 'Irish Event Studies: Earnings Announcements, Turn Of The Year And Size Effects'. Irish Business & Administrative Research, 18 (1):34-51. [Details] | |||||||||
| Cotter, J.; (1998) 'An Assessment Of The Market Reaction Of UK Firms To A Private Placement Announcement'. Irish Accounting Review, 5 (1):1-22. [Details] | |||||||||
| Cotter, J.; (1998) 'Testing Distributional Models For The Irish Equity Market'. Economic and Social Review, 29 :369-383. [Details] | |||||||||
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Book Chapters
| Cotter, John and Jim Hanly; (2011) 'Re-evaluating Hedging Performance for Asymmetry: The Case of Oil' In: Derivative Securities Pricing and Modelling. US: Emerald. [Details] |
| John Cotter; (2009) 'Sun Shine ltd' In: Cases in Management Accounting and Business Finance. Ireland: Institute of Chartered Accountants of Ireland. [Details] |
| John Cotter; (2009) 'Solution to Good Food Company plc' In: Solutions to Cases in Management Accounting and Business Finance. Ireland: ), Institute of Chartered Accountants of Ireland. [Details] |
| John Cotter; (2009) 'Solution to Sun Shine ltd' In: Solutions to Cases in Management Accounting and Business Finance. Ireland: Institute of Chartered Accountants of Ireland. [Details] |
| John Cotter; (2009) 'Good Food Company plc' In: , Cases in Management Accounting and Business Finance. Ireland: Institute of Chartered Accountants of Ireland. [Details] |
| John Cotter and Kevin Dowd; (2009) 'Quantile-based tail risk estimation for equity portfolios' In: Gregoriou, Greg (eds). The VaR Modelling Handbook: Practical Applications in Alternative Investing, Banking, Insurance and Portfolio Management. USA: McGraw-HIll. [Details] | |||||||||
| Cotter, J.; (2006) 'Homemade Pies plc - Employee pension decisions' In: Hyndman, N. & McKillop, D (eds). Cases in Management Accounting and Business Finance. *: Institute of Chartered Accountants of Ireland. [Details] | |||||||||
| Cotter, J.; (2006) 'Solution to Homemade Pies plc' In: Hyndman, N. & McKillop, D (eds). Solutions to Cases in Management Accounting and Business Finance. *: Institute of Chartered Accountants of Ireland. [Details] | |||||||||
| Cotter, J.; (2006) 'Solution to Xia ltd' In: Solutions to Cases in Management Accounting and Business Finance. *: Institute of Chartered Accountants of Ireland. [Details] | |||||||||
| Cotter, J.; (2006) 'Xia ltd - Trading decisions and exchange rate exposure' In: Hyndman, N. & McKillop, D (eds). Cases in Management Accounting and Business Finance. *: Institute of Chartered Accountants of Ireland. [Details] | |||||||||
| Cotter, J, 2006,; (2006) 'Trading decisions and exchange rate exposure' In: N. Hyndman and D. McKillop (eds). Cases in Management Accounting and Business Finance. *: Institute of Chartered Accountants of Ireland. [Details] | |||||||||
| Cotter, J. & Longin, F.; (2005) 'Margin Requirements With Intraday Dynamics' In: Becchetti, L., Hasan, I. & Bagella, M (eds). Governance, Transparency and Markets. *: Elsevier. [Details] | |||||||||
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Other Journals
| Bredin, D. and Cotter, J.; (2005) 'Volatility and Irish Exports' Centre for Financial Markets: Working Paper: 05-01 . [Details] |
| Cotter, J. & Bredin, D.; (2006) 'Irish exports and currency exposure' Business and Finance :52-53. [Details] |
| John Cotter; (2007) 'Credit risk and the pricing of mortgage products' Finance . [Details] |
| Cotter, J.; (2007) 'Beyond the Hedge' Business Connections Spring/Summer :30-32. [Details] |
| Cotter, J. & Hanly, J.; (2007) 'Hedging in an uncertain world' Finance magazine . [Details] |
| Cotter, J.; (2006) 'A day in the Life' Finance :16-16. [Details] | |||||||||
| Bredin, D. and Cotter, J.; (2006) 'Irish Exports: A Poor Performance?' Business and Finance . [Details] | |||||||||
| Cotter, J. & Bredin, D. ; (2006) 'Managing foreign exchange exposure for Irish exports' About Banking 3 :6-9. [Details] | |||||||||
| Bredin, D. and Cotter, J.; (2006) 'About Banking' Managing Foreign Exchange Exposure for Irish Exports . [Details] | |||||||||
| Cotter, J.; (2006) 'The growth of financial risk management' Banking Ireland 12 :2-4. [Details] | |||||||||
| Bredin, D. and Cotter, J.; (2005) 'Volatility and Irish Exports' Centre for Financial Markets: Working Paper: 05-01 . [Details] | |||||||||
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Conference Publications
| Cotter, J. & Longin, F.; Margin Requirements With Intraday Dynamics XIII International Tor Vergata Conference On Banking And Finance *, [Details] |
| Cotter, J. & Stevenson, S.; Volatility Relationships In Daily REIT Returns American Real Estate Society Annual Conference *, [Details] |
| Cotter, J. & Stevenson, S.; Volatility Relationships In Daily REIT Returns 2nd Annual Research Symposium *, [Details] |
| Cotter, J.; Crash And Boom Statistics For Global Equity Markets XII International Tor Vergata Conference On Banking And Finance *, [Details] |
| Cotter, J.; Stability in the Euro: A Tail View Perspective, Proceedings of Conference on The Euro: Valuation, Hedging and Capital Market Issues Stern School of Business, New York University, [Details] |
| Cotter, J. & Stevenson, S.; Volatility Relationships In Daily REIT Returns Pacific-Rim Real Estate Society Annual Conference *, [Details] | |||||||||
| Cotter, J. & Stevenson, S.; A Multivariate Analysis Of REIT Volatility Hong Kong-Singapore International Real Estate Research Symposium *, [Details] | |||||||||
| Cotter, J.; Realized Volatility And Minimum Capital Requirements Money, Macro And Finance Annual Conference *, [Details] | |||||||||
| Cotter, J.; Trading Relationships For The Irish Equity Market Symposium On International Equity Market Integration *, [Details] | |||||||||
| Cotter, J.; Extreme Value Estimation Of Boom And Crash Statistics Forecasting Financial Markets Conference *, [Details] | |||||||||
| Cotter, J.; Uncovering Long Memory In Volatility Processes International Symposium On Forecasting Annual Conference *, [Details] | |||||||||
| Cotter, J.; Long Memory In Financial Futures Forecasting Financial Markets Conference *, [Details] | |||||||||
| Cotter, J.; Stability In The Euro: A Tail View Perspective Symposium On The Euro: Valuation, Hedging And Capital Market Issues *, [Details] | |||||||||
| Cotter, J.; Extreme Value Calculations Of European Futures Margin Requirements Forecasting Financial Markets Conference *, [Details] | |||||||||
| Cotter, J.; Varying The Var For Unconditional And Conditional Environments Scottish Institute For Research In Investment And Finance Conference On The State Of The Art On Value At Risk *, [Details] | |||||||||
| Cotter, J.; Conditional And Unconditional Risk Management Estimates For European Stock Index Futures 1st International Research Conference In Financial Risk Management *, [Details] | |||||||||
| Cotter, J.; Inherent Volatility In Exchange Rates Using Extreme Value Theory The European Financial Management Associationss Annual Meeting *, [Details] | |||||||||
| Cotter, J., Doherty, A. M. & Mccaffrey, K.; An Examination Of The Stock Markets Reaction To Performance Indicators Of UK Based International Retail Firms International Conference On Research In The Distributive Trades *, [Details] | |||||||||
| Cotter, J. & Mckillop, D.G.; Distributional Characteristics Of LIFFE Contracts Annual Conference Of French Finance Association *, [Details] | |||||||||
| Cotter, J. & Gallagher, L.; Testing Event Studies Annual Conference Of The Royal Economic Society *, [Details] | |||||||||
| Cotter, J. & Longin, F.; Margin Requirements With Intraday Dynamics XII International Tor Vergata Conference On Banking And Finance *, [Details] | |||||||||
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Reports
| Cotter, J. & Bredin, D.; (2006) Foreign exchange exposure and risk management: the case of Irish exports. Dublin: Reports [Details] |
| John Cotter; (2006) Recent Developments in the Irish Property Market. Reports [Details] |
| Cotter, J.; (2005) Export Ireland Survey 2005 ' International Trade Finance and Credit Management. Dublin: Reports [Details] |
Seminar
| Cotter, J. & Stevenson, S.; (2004) A Multivariate Analysis of REIT Volatitity. Seminar [Details] |
| Cotter, J. & Stevenson, S.; (2004) Uncovering Volatility Dynamics in Daily REIT Returns. Seminar [Details] |
| Cotter, J. & Longin, F.; (2004) Margin Requirements With Intraday Dynamics. Seminar [Details] |
| Breedon, D. & Cotter, J.; (2004) Volatility and Irish Trade. Seminar [Details] |
| Cotter, J.; (1999) Extremal Behaviour And Fat Tails. Seminar [Details] |
| Cotter, J.; (1999) Value At Risk Analysis For UK Futures. Seminar [Details] | |||||||||
| Cotter, J.; (1997) Positive Market Reaction To Private Placement Announcements. Seminar [Details] | |||||||||
| Cotter, J.; (1997) Distributional Aspects Of LIFFE Contracts. Seminar [Details] | |||||||||
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Presentation
| Bedin , D. & Cotter, J.; (2004) The Impact Of Volatility On Irish Trade. Presentation [Details] |
| Cotter, J. & Stevenson, S.; (2004) A Multivariate Analysis Of REIT Volatility. Presentation [Details] |
| Cotter, J. & Stevenson, S.; (2004) Volatility Relationships In Daily REIT Returns. Presentation [Details] |
| Cotter, J. & Longin, F.; (2004) Margin Requirements With Intraday Dynamics. Presentation [Details] |
| Cotter, J. & Stevenson, S.; (2004) Volatility Relationships In Daily REIT Returns. Presentation [Details] |
| Cotter, J. & Stevenson, S.; (2004) A Multivariate Analysis Of REIT Volatility. Presentation [Details] | |||||||||
| Cotter, J. & Stevenson, S.; (2004) Volatility Relationships In Daily REIT Returns. Presentation [Details] | |||||||||
| Cotter, J.; (2003) Realized Volatility And Minimum Capital Requirements. Presentation [Details] | |||||||||
| Cotter, J.; (2003) Equity Market Relationships For The ISEQ. Presentation [Details] | |||||||||
| Cotter, J.; (2003) Extreme Risk For Global Equity Markets. Presentation [Details] | |||||||||
| Cotter, J.; (2003) Crash And Boom Statistics For Global Equity Markets. Presentation [Details] | |||||||||
| Cotter, J.; (2002) Uncovering Long Memory In Volatility Processes. Presentation [Details] | |||||||||
| Cotter, J.; (2002) Long Memory In The Volatility Of High Frequency UK Futures. Presentation [Details] | |||||||||
| Cotter, J.; (2002) Stability In The Euro: A Tail View Perspective. Presentation [Details] | |||||||||
| Cotter, J.; (2002) Downside Risk In European Equity Markets. Presentation [Details] | |||||||||
| Cotter, J.; (2001) Extreme Value Calculations Of European Futures Margin Requirements. Presentation [Details] | |||||||||
| Cotter, J.; (2001) Extreme Value Calculations Of European Futures Margin Requirements Forecasting. Presentation [Details] | |||||||||
| Cotter, J.; (2001) New Volatility Measures With An Application To Minimum Capital Requirement Calculations. Presentation [Details] | |||||||||
| Cotter, J.; (2001) Varying The Var For Unconditional And Conditional Environments. Presentation [Details] | |||||||||
| Cotter, J.; (2000) Volatility And The Euro: An Irish Perspective, Statistical And Social Inquiry Society Of Ireland. Presentation [Details] | |||||||||
| Cotter, J.; (2000) Varying The Var For Unconditional And Conditional Environments. Presentation [Details] | |||||||||
| Cotter, J.; (2000) A Non-Parametric Examination Of Stability In The Euro. Presentation [Details] | |||||||||
| Cotter, J.; (2000) Conditional And Unconditional Risk Management Estimates For European Stock Index Futures. Presentation [Details] | |||||||||
| Cotter, J. & Mckillop, D.G.; (1999) Extremal Behaviour And Fat Tails: An Application To LIFFE Futures. Presentation [Details] | |||||||||
| Cotter, J.; (1999) Extremal Behaviour And Value At Risk Measures For The Irish Equity Market. Presentation [Details] | |||||||||
| Cotter, J.; (1999) Futures Volatility Measures Within An Extreme Value Framework European Finance. Presentation [Details] | |||||||||
| Cotter, J., Doherty, A.M. & Mccaffrey, K.; (1999) An Examination Of The Stock Markets Reaction To Performance Indicators Of UK Based International Retail Firms. Presentation [Details] | |||||||||
| Cotter, J. & Gallagher, L.; (1998) Testing Event Studies. Presentation [Details] | |||||||||
| Cotter, J.; (1998) Futures Markets: Time Series Properties And Market Efficiency. Presentation [Details] | |||||||||
| Cotter, J. & Mckillop, D.G.; (1998) Distributional Characteristics Of LIFFE Contracts. Presentation [Details] | |||||||||
| Cotter, J. & Mckillop, D.G.; (1998) Distributional Characteristics Of LIFFE Contracts. Presentation [Details] | |||||||||
| Cotter, J.; (1998) Testing Distributional Models For The Irish Equity Market. Presentation [Details] | |||||||||
| Cotter, J.; (1997) UK Issue Announcement Effects: The Special Case Of Private Placements. Presentation [Details] | |||||||||
| Cotter, J.; (1997) Positive Market Reaction To Private Placement Announcements. Presentation [Details] | |||||||||
| Cotter, J. & Gallagher, L.; (1994) Event Studies: Earnings Announcements, Seasonality And Size. Presentation [Details] | |||||||||
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Working Paper
| Bredin, D. & Cotter, J.; (2004) The Impact of Volatility on Irish Exports. Working Paper [Details] |
| Breedon, D & Cotter, J.; (2004) The Impact Of Volatility On Irish Trade. Working Paper [Details] |
| Cotter, J. Dowd, K.; (2004) Extreme Quantile-based Risk Measures: An Application to Futures Clearinghouse Margin Requirements. Working Paper [Details] |
| Cotter, J.& Longin, F.; (2004) Implied Correlations For Portfolio Vars. Working Paper [Details] |
| Cotter, J. & Lucey, B.; (2004) Linkages In Asian Emerging Markets. Working Paper [Details] |
| Cotter, J.; (2003) Time Varying Hedging Performance Of GARCH Models. Working Paper [Details] | |||||||||
| Cotter, J. & Hanly, J.; (2003) Futures Hedging And The Determination Of The Optimal Hedging Ratio. Working Paper [Details] | |||||||||
| Cotter, J. & Moore, M.; (2002) Volatility In The Euro. Working Paper [Details] | |||||||||
| Cotter, J.; (2000) Volatility And Irish Exchange Rates: Looking Forward And Back. Working Paper [Details] | |||||||||
| Cotter, J. Gallagher, L.; (1994) Event Studies Of Irish Equities: Earnings Announcements, Seasonality And Size. Working Paper [Details] | |||||||||
| Cotter, J. & Koedijk, K.; (0) Return And Volatility Outcomes With Limit Versus Market Orders: An Empirical Analysis. Working Paper [Details] | |||||||||
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Review Articles
| Cotter, J. & Stevenson, S.; (2004) A Multivariate Analysis Of REIT Volatility. Review Articles [Details] |
| Cotter, J.; (2004) Varying The Var For Unconditional And Conditional Environments. Review Articles [Details] |
| Cotter, J.; (2004) Absolute Return Volatility. Review Articles [Details] |
| Cotter, J.; (2004) Uncovering Booms And Crashes In Global Equity Markets. Review Articles [Details] |
| Cotter, J. & Longin, F.; (2004) Margin Setting With High-Frequency Data. Review Articles [Details] |
Honours and Awards
| Year: 2011. Title: Outstanding Editorial Board Member for 2010 by American Real Estate and Urban Economics Association (AREUEA) for services to Real Estate Economics journal. |
| Year: 2008. Title: Research Fellow for UCLA Ziman Center for Real Esatate |
| Year: 2008. Title: UCLA Ziman Research Center for Real Estate grant |
| Year: 2008. Title: Real Estate Research Institute grant |
| Year: 2009. Title: Financial Mathematics and Computation Cluster |
| Year: 2008. Title: UCLA Ziman Research Center for Real Estate grant |
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| Year: 2009. Title: UCLA Ziman Research Center for Real Estate grant |
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| Year: 2009. Title: Research Fellow at UCD Geary |
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| Year: 2005. Title: University College Dublin School of Business research grant |
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| Year: 2002. Title: Research Travel Award New York University |
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| Year: 2003. Title: Faculty of Commerce Research Grant |
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| Year: 2001. Title: Faculty of Commerce Research Grant |
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| Year: 2001. Title: Royal Economic Society Grant |
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| Year: 2001. Title: University College Dublin Presidents Research Award |
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| Year: 2001. Title: Euro Conference Grant |
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| Year: 1999. Title: CPA Grant |
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| Year: 2000. Title: University College Dublin Presidents Research Fund. |
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| Year: 2000. Title: University College Dublin Conference Travel Grant |
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| Year: 2006. Title: School of Business Seed Funding award |
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| Year: 2006. Title: Senior Research Associate to Centre for Risk and Insurance, University of Nottingham |
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| Year: 2007. Title: School of Business Seed Funding award |
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Associations
| Association: American Economic Association, Function/Role: Member |
| Association: American Real Estate and Urban Economics Association, Function/Role: Member |
| Association: American Finance Association, Function/Role: Member |
| Association: Western Finance Association, Function/Role: programme committee for annual conference |
| Association: European Finance Association, Function/Role: programme committee for annual conference |
| Association: Financial Management Association, Function/Role: programme committee for annual conference | |||||||||
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Conference Contributions
| Cotter, J. & Stevenson, S.; (2004) A Multivariate Analysis of REIT Volatility. [International Refereed Conference], Second Annual Hong Kong-Singapore Research Symposium, Hong Kong , 16-AUG-04 - 17-AUG-04. |
| Cotter, J. & Stevenson, S.; (2004) Uncovering Volatility Dynamics in Daily REIT Returns. [International Refereed Conference], American Real Estate Society Annual Conference, Capitva Island, Florida, USA , 21-APR-04 - 24-APR-04. |
| Cotter, John, (Co-Authors Karl Case and Stuart Gabriel); (2010) Housing Risk and Return: New Evidence from a housing asset-pricing model. [International Refereed Conference], 2010 American Real Estate and Urban Economics Society Annual Conference, Atlanta, Georgia , 03-JAN-10 - 05-JAN-10. |
| Cotter, J, Co-author Jim Hanly; (2009) Time Varying Risk Aversion in the Hedging Framework: An Application to Energy Hedging. [International Refereed Conference], 2009 Annual Meeting of the Financial Management Association International, Reno, USA , 27-OCT-09 - 29-OCT-09. |
| Cotter, John, (Co-Author Yan Ping Zhong); (2009) Testing Model Specification for the Short-Term Interest Rate within a Value-at-Risk Framework. [International Refereed Conference], Forecasting Financial Markets Annual Conference, Luxembourg , 27-MAY-09 - 29-MAY-09. |
| Cotter, John, (Co-Authors Karl Case and Stuart Gabriel) ; (2009) Risk and house price returns. [International Refereed Conference], Asian Real Estate Society-American Real Estate and Urban Economics Society Joint International Conference, Los Angelus , 11-JUL-09 - 14-JUL-09. | |||||||||
| Cotter, John, (Co-Author Yan Ping Zhong); (2009) Conditional Extreme Risk Measure Validation. [International Refereed Conference], Annual Meeting of the Financial Management Association International,, Reno, USA , 27-OCT-09 - 29-OCT-09. | |||||||||
| Cotter, John, (Co-Author Kevin Dowd); (2009) Wavelet Based Measures of Core Inflation. [Invited Lecture], ESRC Seminar Series: Nonlinear Models in Macroeconomics,, Brunel University, UK , 07-JUL-09 - 08-JUL-09. | |||||||||
| Cotter, John, (Co-Authors Karl Case and Stuart Gabriel), ; (2009) Housing Risk and Return: New Evidence from a housing asset-pricing model. [International Refereed Conference], Urban Economics Association (UEA) 56th Annual North American Meetings of the Regional Science Association International (RSAI), San Francisco , 25-NOV-09 - 27-NOV-09. | |||||||||
| Cotter, John, (Co-Author Yan Ping Zhong), ; (2008) A Unifying Framework for Validating Risk Measures,. [International Refereed Conference], Annual Global Finance Association Annual Conference, China , 06-MAY-08 - 10-MAY-08. | |||||||||
| Cotter, John, (Co-Author Yan Ping Zhong), ; (2008) A Unifying Framework for Validating Risk Measures,. [National Refereed Conference Paper], 6th INFINITI Conference on International Finance, Trinity College Dublin , 11-JUN-08 - 13-JUN-08. | |||||||||
| Cotter, J., (Co-Author Y. Zhong); (2007) Validating Backtests of Risk Measures. [National Refereed Conference Paper], INFINITI Conference on International Finance, Trinity College Dublin , 11-JUN-07. | |||||||||
| Cotter, J., 2006, (Co-Author K. Dowd); (2006) Spectral Risk Measures: An Application to Futures Clearinghouse Variation Margin Requirements. [National Refereed Conference Paper], *, CASS Business School, City University , 01-JAN-06. | |||||||||
| Cotter, J., (Co-Author Y. Zhong); (2006) Validating Risk Measures. [National Refereed Conference Paper], Centre For Financial Markets Research Seminar Series, University College Dublin , 01-JAN-06. | |||||||||
| Cotter, J.; (2006) Re-evaluating hedging effectiveness: the case of equity index and commodity oil hedging for symmetric and asymmetric distributions. [National Refereed Conference Paper], Irish Accounting and Finance Annual Conference, Dublin City University , 01-JAN-06. | |||||||||
| Cotter, J. (Co-Author D. Bredin); (2006) The impact of foreign exchange exposure on Irish Exports. [National Refereed Conference Paper], Centre for Financial Markets, University College Dublin , 01-JAN-06. | |||||||||
| Cotter, J. (Co-Author K. Dowd); (2006) Extreme spectral risk measures: an application to futures clearinghouse margin requirements. [International Refereed Conference], *, University of St. Andrews , 01-JAN-06. | |||||||||
| Cotter, J., 2006, (Co-Author K. Dowd); (2006) Spectral Risk Measures: An Application to Futures Clearinghouse Variation Margin Requirements. [National Refereed Conference Paper], Centre for Financial Markets Research Seminar Series, University College Dublin , 01-JAN-06. | |||||||||
| Cotter, J. (Co-Author D. Bredin); (2005) Foreign exchange exposure and risk management: the case of Irish Exports. [National Refereed Conference Paper], Irish Bankers Federation, * , 01-JAN-05. | |||||||||
| Cotter, J. (Co-Author K. Dowd); (2005) Spectral Risk Measures: Properties, Measurement and Applications. [National Refereed Conference Paper], Centre For Financial Markets Research Seminar Series, University College Dublin , 01-JAN-05. | |||||||||
| Cotter, J. (Co-Author K. Dowd); (2005) Extreme spectral risk measures: an application to futures clearing house margin requirements, Heavy tails and stable Paretian distributions in finance and macroeconomics. [International Refereed Conference], Deutsche Bundesbank Conference, Germany, Germany , 01-JAN-05. | |||||||||
| Cotter, J., (Co-Author J. Hanly); (2005) Re-evaluating Hedging Performance. [International Refereed Conference], Global Finance Association Annual Conference Proceedings, * , 01-JAN-05. | |||||||||
| Cotter, J., (Co-Author J. Hanly); (2005) Evaluating Hedging Performance using Downside Risk Approaches. [International Refereed Conference], Midwest Finance Association Annual Conference Proceedings, * , 01-JAN-05. | |||||||||
| Cotter, J., (Co-Author F. Longin), ; (2005) Margin Setting With High-Frequency Data. [National Refereed Conference Paper], Irish Accounting and Finance Annual Conference Proceedings, * , 01-JAN-05. | |||||||||
| Cotter, J., (Co-author L. Gallagher); (2005) Volatility forecasting for the Irish Equity Market. [National Refereed Conference Paper], Irish Economic Association Annual Conference, Kilkenny , 06-MAY-05. | |||||||||
| Cotter, J. (Co-Author D. Bredin); (2005) Foreign exchange volatility and risk management: the case of Irish Exports. [National Refereed Conference Paper], Institute of International Trade in Ireland/Irish Exporters Association, * , 01-JAN-05. | |||||||||
| Cotter, J., (Co-Author J. Hanly); (2005) Re-evaluating Hedging Performance. [National Refereed Conference Paper], Centre For Financial Markets Research Seminar Series, University College Dublin , 01-JAN-05. | |||||||||
| Cotter, J., (Co-Author Y.. Zhong); (2005) Risk measurement and modelling. [National Refereed Conference Paper], Centre For Financial Markets Research Seminar Series, University College Dublin , 01-JAN-05. | |||||||||
| Cotter, J., (Co-Author J. Hanly); (2005) Hedging and risk aversion constraints. [National Refereed Conference Paper], Centre For Financial Markets Research Seminar Series, University College Dublin , 01-JAN-05. | |||||||||
| Cotter, J., (Co-Author D. Bredin); (2004) Volatility and Irish Trade. [National Refereed Conference Paper], Centre For Financial Markets Research Seminar Series, University College Dublin , 01-JAN-04. | |||||||||
| Cotter, J. (Co-Author F. Longin); (2004) Margin Requirements With Intraday Dynamics. [International Refereed Conference], XIII International Tor Vergata Conference On Banking And Finance, University of Rome Tor Vergata , 01-JAN-04. | |||||||||
| Cotter, J. (Co-Author F. Longin); (2004) Margin Requirements With Intraday Dynamics. [National Refereed Conference Paper], Centre For Financial Markets Research Seminar Series, University College Dublin , 01-JAN-04. | |||||||||
| Cotter, J., (Co-Author D. Bredin); (2004) The Impact of Volatility on Irish Trade. [National Refereed Conference Paper], Irish Economic Association Annual Conference, Belfast , 01-JAN-04. | |||||||||
| Cotter, J., (Co-Author S. Stevenson); (2004) A Multivariate Analysis Of REIT Volatility. [International Refereed Conference], Hong Kong-Singapore International Real Estate Research Symposium, Hong Kong , 16-AUG-04. | |||||||||
| Cotter, J., (Co-Author S. Stevenson); (2004) A Multivariate Analysis Of REIT Volatility. [International Refereed Conference], *, University of Frankfurt , 01-JAN-04. | |||||||||
| Cotter, J., (Co-Author S. Stevenson); (2004) Volatility Relationships In Daily REIT Returns. [International Refereed Conference], Pacific-Rim Real Estate Society Annual Conference, Bangkok, Thailand , 25-JAN-04. | |||||||||
| Cotter, J., (Co-Author S. Stevenson); (2004) Volatility Relationships In Daily REIT Returns. [National Refereed Conference Paper], Second Annual Research Symposium, Centre For Real Estate Research, Smurfit School Of Business, UCD, UCD , 05-MAR-04. | |||||||||
| Cotter, J., (Co-Author S. Stevenson); (2004) Volatility Relationships In Daily REIT Returns. [International Refereed Conference], American Real Estate Society Annual Conference, Capitva Island, Florida , 21-APR-04. | |||||||||
| Cotter, J.; (2003) Realized Volatility And Minimum Capital Requirements. [International Refereed Conference], Money, Macro And Finance Annual Conference, * , 01-JAN-03. | |||||||||
| Cotter, J.; (2003) Extreme Risk For Global Equity Markets. [National Refereed Conference Paper], Irish Economic Association Annual Conference, * , 01-JAN-03. | |||||||||
| Cotter, J.; (2003) Trading Relationships For The Irish Equity Market. [National Refereed Conference Paper], Symposium On International Equity Market Integration,, TCD , 01-JAN-03. | |||||||||
| Cotter, J.; (2003) Equity Market Relationships For The ISEQ. [National Refereed Conference Paper], *, Dublin City University , 01-JAN-03. | |||||||||
| Cotter, J.; (2003) Crash And Boom Statistics For Global Equity Markets. [International Refereed Conference], XII International Tor Vergata Conference On Banking And Finance, University Of Rome Tor Vergata , 01-JAN-03. | |||||||||
| Cotter, J.; (2002) Downside Risk In European Equity Markets. [National Refereed Conference Paper], *, Economics Department, University College Cork , 01-JAN-02. | |||||||||
| Cotter, J.; (2002) Long Memory In The Volatility Of High Frequency UK Futures. [International Refereed Conference], Forecasting Financial Markets Annual Conference, * , 01-JAN-02. | |||||||||
| Cotter, J.; (2002) Uncovering Long Memory In Volatility Processes,. [International Refereed Conference], International Symposium On Forecasting Annual Conference, * , 01-JAN-02. | |||||||||
| Cotter, J.; (2002) Stability In The Euro: A Tail View Perspective. [International Refereed Conference], Symposium On The Euro: Valuation, Hedging And Capital Market Issues, Stern School, New York University , 01-JAN-02. | |||||||||
| Cotter, J. and Dowd, K.; (2006) Extreme spectral risk measures: an application to futures clearinghouse margin requirements, Issues related to central counterparty clearing. [International Refereed Conference], A joint conference of the European Central Bank and the Federal Reserve Bank of Chicago, Germany , 04-APR-06. | |||||||||
| Cotter, J. and Zhong, Y.; (2006) Validating the Backtests of Risk Measures. [International Refereed Conference], Forecasting Financial Markets Annual Conference Proceedings, Aix en Provence , 31-MAY-06 - 01-JUN-06. | |||||||||
| Cotter, J. and Dowd, K.; (2005) Clearinghouses and margin setting with different risk measures. [International Refereed Conference], XIV International Tor Vergata Conference On Banking And Finance, * , 07-DEC-05 - 10-DEC-05. | |||||||||
| Cotter, J. and Dowd, K.; (2005) Spectral Risk Measures with An Application to Futures Clearinghouse Margin Requirements. [International Refereed Conference], Deutsche Bundesbank Conference on: Stable Paretian distributions and its application in finance and macroeconomics, * , 08-NOV-05 - 10-NOV-05. | |||||||||
| Cotter, J., (Co-Author Y. Zhong), ; (2007) Validating Backtests of Risk Measures. [International Refereed Conference], Financial Management Association Annual Meeting, Caribe Royale Hotel in Orlando, Florida , 17-OCT-07. | |||||||||
| Cotter, J., (Co-Author S. Stevenson); (2007) Modelling Long Memory in REITs. [International Refereed Conference], 23rd Annual Meeting of the American Real Estate Society (ARES), San Francisco, California , 11-APR-07. | |||||||||
| Cotter, J, (Co-author Jim Hanly); (2007) Time Varying Risk Aversion in the Hedging Framework. [Oral Presentation], An Application to Energy Hedging,, University of Otago , 01-MAR-07. | |||||||||
| Cotter, J., ; (2007) Roundtable discussion on 'Risk Assessment'. [Other], Fat Tails from Finance to Fluids Conference, University College Dublin , 23-MAY-07 - 25-MAR-07. | |||||||||
| Cotter, J.; (2006) Optimal Hedging under market representative risk aversion. [Oral Presentation], *, University of Melbourne , 01-NOV-06. | |||||||||
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Committees
| Committee : European Finance Association (2010-present) |
| Committee : Financial Management Association annual conference 2010 |
| Committee : Banking and Finance subject area PhD committee |
| Committee : Forecasting Financial Markets 2003-present |
| Committee : Joint Committee for Research and Doctoral Studies in College Business and Law |
| Committee : Western Finance Association annual conference 2007-present | |||||||||
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Employment
| Employer: University of Nottingham Position: Visiting Scholar, Nottingham University Business School |
| Employer: Anderson School of Management, UCLA Position: Visiting Scholar, Department of Finance |
| Employer: Smurfit School of Business, University College Dublin Position: Associate Professor in Finance |
| Employer: Centre for Risk and Insurance, University of Nottingham Position: Research Associate |
| Employer: Financial Markets Group, London School of Economics Position: Visiting Scholar |
| Employer: ESSEC Graduate Business School, France Position: Visiting Scholar |
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| Employer: Smurfit School of Business, University College Dublin Position: Director of Centre for Financial Markets |
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| Employer: Smurfit School of Business, University College Dublin Position: Senior Lecturer in Finance |
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Education
| Year 2001 Institution: Queen's University of Belfast, UK Qualification: PhD Subject: Financial Economics |
| Year 1994 Institution: University College Cork Qualification: MEconSc Subject: |
| Year 1992 Institution: University College Cork Qualification: BComm Subject: |
Other Activities
| Research Association membership: American Finance Association, Western Finance Association, European Finance Association, American Economic Association, Financial Management Association, American Real Estate and Urban Economics Association, Forecasting Financial Markets Group, |
Internal Collaborators
| Don Bredin |
External Collaborators
| Karl Case (Wellesley College) |
