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econ.EM2025
Unlocking the Regression Space
Liudas Giraitis, George Kapetanios, Yufei Li +1
This paper introduces and analyzes a framework that accommodates general heterogeneity in regression modeling. It demonstrates that regression models with fixed or time-varying par…
econ.EM2025
Heterogeneous Exposures to Systematic and Idiosyncratic Risk across Crypto Assets: A Divide-and-Conquer Approach
Nektarios Aslanidis, Aurelio Bariviera, George Kapetanios +1
This paper analyzes realized return behavior across a broad set of crypto assets by estimating heterogeneous exposures to idiosyncratic and systematic risk. A key challenge arises…