Andrea Eross

Heriot-Watt University

Assistant Professor in Finance

Mary Burton Building

School of Social Sciences

Edinburgh, Midlothian EH14 4AS

United Kingdom

SCHOLARLY PAPERS

6

DOWNLOADS

643

SSRN CITATIONS

4

CROSSREF CITATIONS

2

Scholarly Papers (6)

1.

The Intraday Dynamics of Bitcoin

Number of pages: 24 Posted: 07 Aug 2017
Heriot-Watt University, University of Southampton - Southampton Business School, ICMA Centre, Henley Business School and University of Southampton - School of Management
Downloads 195 (158,976)
Citation 5

Abstract:

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Bitcoin; Cryptocurrency; Intraday Patterns; Granger causality; Lead-Lag; High-Frequency

2.

An Early Warning Indicator for Liquidity Shortages in the Interbank Market

Number of pages: 30 Posted: 12 Sep 2015 Last Revised: 29 Oct 2016
Andrea Eross, Andrew Urquhart and Simon Wolfe
Heriot-Watt University, ICMA Centre, Henley Business School and University of Southampton - School of Management
Downloads 151 (198,602)
Citation 1

Abstract:

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interbank market, liquidity, financial crisis, regime switching, Bayesian

3.

Liquidity Risk Contagion in the Interbank Market

Number of pages: 33 Posted: 03 Feb 2016 Last Revised: 26 Aug 2016
Andrea Eross, Andrew Urquhart and Simon Wolfe
Heriot-Watt University, ICMA Centre, Henley Business School and University of Southampton - School of Management
Downloads 145 (205,433)
Citation 1

Abstract:

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Interbank market, Liquidity shocks, Structural breaks, Financial crisis, Contagion

4.

Investigating Risk Contagion Initiated by Endogenous Liquidity Shocks: Evidence from the US and Eurozone Interbank Market

Number of pages: 35 Posted: 19 Mar 2016 Last Revised: 05 Feb 2018
Andrea Eross, Andrew Urquhart and Simon Wolfe
Heriot-Watt University, ICMA Centre, Henley Business School and University of Southampton - School of Management
Downloads 70 (336,479)

Abstract:

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Contagion, Endogenous risk, Financial crisis, Interbank market, Liquidity shocks, Regime switching

5.

Financial Integration in a Changing World

Number of pages: 37 Posted: 15 Aug 2017 Last Revised: 14 Oct 2017
Joseph Byrne, Andrea Eross and Rong Fu
Heriot-Watt University - Department of Accountancy, Economics and Finance, Heriot-Watt University and Heriot-Watt University - Department of Accountancy, Economics and Finance
Downloads 47 (407,181)

Abstract:

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Financial Integration, Prediction, Factor Analysis, Bayesian Econometrics

6.

Probing the Mystery of Cryptocurrency Theft: An Investigation into Methods for Taint Analysis

Number of pages: 13 Posted: 20 Jun 2019 Last Revised: 06 Dec 2019
Heriot-Watt University, affiliation not provided to SSRN, Heriot-Watt University and affiliation not provided to SSRN
Downloads 35 (454,568)
Citation 1

Abstract:

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Address Profiling, Cryptocurrency, Taint Analysis, Transaction Tracking