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Research Output 2016 2018

2018
Interbank market
Banking risk
Liquidity shocks
Money market
Euro zone
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Eross, A., Urquhart, A., McGroarty, F. & Wolfe, S., 7 Aug 2017, (Unpublished)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

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