Research Output 2016 2017

2017

Financial Integration in a Changing World

Byrne, J. P., Eross, A. & Fu, R. 15 Nov 2017

Research output: Working paper

File
Financial integration
Estimation risk
Extreme events
Volatility index
Vulnerability

The Intraday Dynamics of Bitcoin

Eross, A., Urquhart, A., McGroarty, F. & Wolfe, S. 7 Aug 2017 (Unpublished)

Research output: Working paper

File
Bid/ask spread
Market makers
Granger causality
Traders
Ticks
2016

An early warning indicator for liquidity shortages in the interbank market: a regime switching approach

Eross, A., Urquhart, A. & Wolfe, S. 8 Jul 2016 (Submitted)

Research output: Contribution to conferencePaper

Shortage
Liquidity
Regime switching
Interbank market
Early warning

Investigating risk contagion initiated by endogenous liquidity shocks: evidence from the US and eurozone interbank market

Eross, A., Urquhart, A. & Wolfe, S. 29 Mar 2016 (Accepted/In press) In : European Journal of Finance.

Research output: Contribution to journalArticle

Interbank market
Liquidity shocks
Euro zone
Liquidity
Banking risk

Liquidity risk contagion in the Interbank Market

Eross, A., Urquhart, A. & Wolfe, S. Nov 2016 In : Journal of International Financial Markets, Institutions and Money. 45, p. 142–155 14 p.

Research output: Contribution to journalArticle

Open Access
File
Liquidity risk
Interbank market
Contagion
Long-run relationship
Liquidity shocks