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Geostatistics (Variograms and Kriging)
Homework - Week 13
Assignment 5
Informe del proyecto
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Proyecto Final
Econometric Modeling: Limits to Arbitrage as an Explanation of Cryptocurrency Returns
By using Amihud’s illiquidity framework and idiosyncratic volatility to proxy for these limits to arbitrage, this paper finds that assets with higher arbitrage risk outperform those with lower arbitrage risk in a statistically significant manner. As such, this paper contributes to the literature by offering an explanation to part of the stochastic disturbance (error term) witnessed in earlier cryptocurrency multi-linear factor regression models.
Caso 19 Variables Aleatorias Continuas
Caso 19 Variables Aleatorias Continuas