Multivariate Modeling of Daily REIT Volatility
- J. Cotter, S. Stevenson
- Economics, Business
- 29 March 2006
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-sectors and also…
Spectral Risk Measures: Properties and Limitations
Spectral risk measures (SRMs) are risk measures that take account of user risk-aversion, but to date there has been little guidance on the choice of utility function underlying them. This paper…
Extreme Spectral Risk Measures: An Application to Futures Clearinghouse Margin Requirements
This paper applies the Extreme-Value (EV) Generalised Pareto distribution to the extreme tails of the return distributions for the S&P500, FT100, DAX, Hang Seng, and Nikkei225 futures contracts. It…
Distribution, diversity and abundance of epibenthic fauna in the North Sea
- S. Jennings, J. Lancaster, A. Woolmer, J. Cotter
- Environmental ScienceJournal of the Marine Biological Association of…
- 1 June 1999
The assemblages of attached and freeliving epibenthic species in the North Sea are described, based on analysis of samples collected with a small beam trawl. Clustering of survey sites based on the…
Diversity and community structure of epibenthic invertebrates and fish in the North Sea
- R. Callaway, J. Alsvag, S. Ehrich
- Environmental Science
- 2002
The study shows that effective large-scale sampling of benthic communities can be conducted during existing fisheries surveys, and indicates that concurrent bentho-fauna surveys should be conducted to monitor the environmental impacts of trawling disturbance, climate change, pollution and other natural and anthropogenic factors.
Margin Exceedences for European Stock Index Futures Using Extreme Value Theory
- J. Cotter
- Economics
- 1 August 2001
Futures exchanges require a margin requirement that ensures their competitiveness and protects against default risk. This paper applies extreme value theory in computing unconditional optimal margin…
Housing Risk and Return: Evidence from a Housing Asset-Pricing Model
- K. Case, J. Cotter, S. Gabriel
- EconomicsJournal of Portfolio Management
- 1 November 2009
Case, Cotter, and Gabriel investigate the risk–return relationship in the determination of housing asset pricing. In so doing, they evaluate the behavioral hypotheses advanced by Case and Shiller in…
Sovereign and Bank CDS Spreads: Two Sides of the Same Coin?
- Davide E. Avino, J. Cotter
- Economics
- 1 June 2013
This paper investigates the relationship between sovereign and bank CDS spreads with reference to their ability to convey timely signals on the default risk of European sovereign countries and their…
Modeling Long Memory in REITs
- J. Cotter, S. Stevenson
- Economics
- 1 May 2007
One stylized feature of financial volatility impacting the modeling process is long memory. This article examines long memory for alternative risk measures, observed absolute and squared returns for…
Anatomy of a Bail-In
To mitigate potential contagion from future banking crises, the European Commission recently proposed a framework which would provide for the bail-in of bank creditors in the event of failure. In…
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