Author
Larisa Yarovaya
Other affiliations: Northumbria University, Anglia Ruskin University
Bio: Larisa Yarovaya is an academic researcher from University of Southampton. The author has contributed to research in topics: Cryptocurrency & Volatility (finance). The author has an hindex of 23, co-authored 68 publications receiving 2946 citations. Previous affiliations of Larisa Yarovaya include Northumbria University & Anglia Ruskin University.
Papers
More filters
TL;DR: In this article, the authors analyse the relationship between three popular cryptocurrencies and a variety of other financial assets and find evidence of the relative isolation of these assets from the financial and economic assets.
813 citations
TL;DR: In this article, the authors analyzed the connectedness between the recent spread of COVID-19, oil price volatility shock, the stock market, geopolitical risk and economic policy uncertainty in the US within a time-frequency framework.
792 citations
TL;DR: A systematic review of the empirical literature based on the major topics that have been associated with the market for cryptocurrencies since their development as a financial asset in 2009 is presented in this article, where the authors provide a systematic analysis of the main topics that influence the perception of cryptocurrencies as a credible investment asset class and legitimate of value.
623 citations
TL;DR: In this article, the authors analyzed the connectedness between the recent spread of COVID-19, oil price volatility shock, the stock market, geopolitical risk and economic policy uncertainty in the US within a time-frequency framework.
Abstract: In this paper, we analyze the connectedness between the recent spread of COVID-19, oil price volatility shock, the stock market, geopolitical risk and economic policy uncertainty in the US within a time-frequency framework. The coherence wavelet method and the wavelet-based Granger causality tests applied to US recent daily data unveil the unprecedented impact of COVID-19 and oil price shocks on the geopolitical risk levels, economic policy uncertainty and stock market volatility over the low frequency bands. The effect of the COVID-19 on the geopolitical risk substantially higher than on the US economic uncertainty. The COVID-19 risk is perceived differently over the short and the long-run and may be firstly viewed as an economic crisis. Our study offers several urgent prominent implications and endorsements for policymakers and asset managers
398 citations
TL;DR: This paper examined the existence and dates of pricing bubbles in Bitcoin and Ethereum, two popular cryptocurrencies using the (Phillips et al., 2011) methodology and concluded that Bitcoin is almost certainly in a bubble phase.
386 citations
Cited by
More filters
Journal Article•
3,713 citations
01 Jan 2012
TL;DR: In this paper, a simple equilibrium model with liquidity risk is proposed, where a security's required return depends on its expected liquidity as well as on the covariances of its own return and liquidity with the market return.
Abstract: This paper solves explicitly a simple equilibrium model with liquidity risk. In our liquidityadjusted capital asset pricing model, a security s required return depends on its expected liquidity as well as on the covariances of its own return and liquidity with the market return and liquidity. In addition, a persistent negative shock to a security s liquidity results in low contemporaneous returns and high predicted future returns. The model provides a unified framework for understanding the various channels through which liquidity risk may affect asset prices. Our empirical results shed light on the total and relative economic significance of these channels and provide evidence of flight to liquidity. r 2005 Elsevier B.V. All rights reserved.
1,156 citations
TL;DR: In this article, the authors analyse the relationship between three popular cryptocurrencies and a variety of other financial assets and find evidence of the relative isolation of these assets from the financial and economic assets.
813 citations
TL;DR: In this article, the authors analyzed the connectedness between the recent spread of COVID-19, oil price volatility shock, the stock market, geopolitical risk and economic policy uncertainty in the US within a time-frequency framework.
792 citations
01 Jan 2016
TL;DR: Perhaps you have knowledge that, people have look hundreds of times for their chosen books like this likelihood based inference in cointegrated vector autoregressive models, but end up in harmful downloads.
Abstract: Thank you very much for downloading likelihood based inference in cointegrated vector autoregressive models. Maybe you have knowledge that, people have look hundreds times for their chosen books like this likelihood based inference in cointegrated vector autoregressive models, but end up in harmful downloads. Rather than reading a good book with a cup of coffee in the afternoon, instead they cope with some malicious bugs inside their desktop computer.
735 citations