Essays about: "Newey-West estimator"

Found 1 essay containing the words Newey-West estimator.

  1. 1. Too Good to be True: Arbitrage in Bitcoin Markets

    University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomi; Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Herman Rogefors; Ellinor Myrman; [2021]
    Keywords : Bitcoin; Arbitrage; Investor attention; Newey-West estimator; Random walk theory;

    Abstract : This paper examines arbitrage opportunities between cross-regional bitcoin exchanges from tick-level data from September 1, 2020, to January 31, 2021. We continue with a regression analysis to provide explanations for the cross-regional price differences. READ MORE