Time-varying coefficient DAR model and stability measures for stablecoin prices : an application to Tether
Antoine Djogbenou, Emre Inan, Joann Jasiak
| Year of publication: |
2023
|
|---|---|
| Authors: | Djogbenou, Antoine ; Inan, Emre ; Jasiak, Joann |
| Published in: |
Journal of international money and finance. - Amsterdam [u.a.] : Elsevier, ISSN 0261-5606, ZDB-ID 872014-9. - Vol. 139.2023, p. 1-28
|
| Subject: | Conditional heteroskedasticity | DAR model | Local stationarity | Lyapunov exponent | Stablecoins | Tether | Time-varying parameters | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis | Heteroskedastizität | Heteroscedasticity |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jimonfin.2023.102946 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014478223