Time-varying coefficient DAR model and stability measures for stablecoin prices: An application to Tether
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DOI: 10.1016/j.jimonfin.2023.102946
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- Antoine Djobenou & Emre Inan & Joann Jasiak, 2023. "Time-Varying Coefficient DAR Model and Stability Measures for Stablecoin Prices: An Application to Tether," Papers 2301.00509, arXiv.org.
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More about this item
Keywords
Stablecoins; Tether; DAR model; Lyapunov exponent; Time-varying parameters; Conditional heteroskedasticity; Local stationarity;All these keywords.
JEL classification:
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
Statistics
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