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@book{cochrane2005asset,
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@article{wolfers2006prediction,
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@article{manski2006interpreting,
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@article{snowberg2013prediction,
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@article{arrow2008promise,
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@book{ohara1995market,
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@article{mackinlay1997event,
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@article{andersen2001distribution,
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@article{andersen2003modeling,
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@article{barndorff2002econometric,
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@article{corsi2009simple,
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@article{bollerslev1986generalized,
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@article{engle1982autoregressive,
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@article{nelson1991conditional,
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@article{glosten1993relation,
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@article{fama1970efficient,
  author  = {Fama, Eugene F.},
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@article{grossman1980impossibility,
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@article{hayek1945use,
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@article{roll1984simple,
  author  = {Roll, Richard},
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@article{amihud2002illiquidity,
  author  = {Amihud, Yakov},
  title   = {Illiquidity and Stock Returns: Cross-Section and Time-Series Effects},
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@article{harvey2021defi,
  author  = {Harvey, Campbell R. and Ramachandran, Ashwin and Santoro, Joey},
  title   = {{DeFi} and the Future of Finance},
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  year    = {2021}
}

@article{makarov2020trading,
  author  = {Makarov, Igor and Schoar, Antoinette},
  title   = {Trading and Arbitrage in Cryptocurrency Markets},
  journal = {Journal of Financial Economics},
  volume  = {135},
  number  = {2},
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  year    = {2020}
}

@article{cong2021tokenomics,
  author  = {Cong, Lin William and Li, Ye and Wang, Neng},
  title   = {Tokenomics: Dynamic Adoption and Valuation},
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  number  = {3},
  pages   = {1105--1155},
  year    = {2021}
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@article{patell1976corporate,
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@article{boehmer1991event,
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@article{hansen1982generalized,
  author  = {Hansen, Lars Peter},
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@article{granger1969investigating,
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@article{sims1980macroeconomics,
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@article{johansen1991estimation,
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@article{schwarz1978estimating,
  author  = {Schwarz, Gideon},
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@article{akaike1974new,
  author  = {Akaike, Hirotugu},
  title   = {A New Look at the Statistical Model Identification},
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@article{newey1987simple,
  author  = {Newey, Whitney K. and West, Kenneth D.},
  title   = {A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix},
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@article{white1980heteroskedasticity,
  author  = {White, Halbert},
  title   = {A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity},
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@article{petersen2009estimating,
  author  = {Petersen, Mitchell A.},
  title   = {Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches},
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@article{fama1993common,
  author  = {Fama, Eugene F. and French, Kenneth R.},
  title   = {Common Risk Factors in the Returns on Stocks and Bonds},
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@article{diebold2012better,
  author  = {Diebold, Francis X. and Yilmaz, Kamil},
  title   = {Better to Give than to Receive: Predictive Directional Measurement of Volatility Spillovers},
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  year    = {2012}
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@article{engle2002dynamic,
  author  = {Engle, Robert F.},
  title   = {Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models},
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@article{hansen1997inference,
  author  = {Hansen, Bruce E.},
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