4 citations · 8 across the 18 of their papers we have counts for
8 papers · 1 filter
The non-linear trade-off between return and risk: a regime-switching multi-factor framework
John Cotter, Enrique Salvador
This study develops a multi-factor framework where not only market risk is considered but also potential changes in the investment opportunity set. Although previous studies find n…
Absolute Return Volatility
John Cotter
The use of absolute return volatility has many modelling benefits says John Cotter. An illustration is given for the market risk measure, minimum capital requirements.
The tail risks of FX return distributions: a comparison of the returns associated with limit orders and market orders
john cotter, kevin dowd
This paper measures and compares the tail risks of limit and market orders using Extreme Value Theory. The analysis examines realised tail outcomes using the Dealing 2000-2 electro…
Multivariate Modeling of Daily REIT Volatility
John Cotter, Simon Stevenson
This paper examines volatility in REITs using a multivariate GARCH based model. The Multivariate VAR-GARCH technique documents the return and volatility linkages between REIT sub-s…
U.S. Core Inflation: A Wavelet Analysis
kevin dowd, john cotter
This paper proposes the use of wavelet methods to estimate U.S. core inflation. It explains wavelet methods and suggests they are ideally suited to this task. Comparisons are made…
Uncovering Long Memory in High Frequency UK Futures
John Cotter
Accurate volatility modelling is paramount for optimal risk management practices. One stylized feature of financial volatility that impacts the modelling process is long memory exp…