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Dissecting Tether’s Nonlinear Dynamics during Covid-19 by Maiti, Moinak; Grubisic, Zoran; Vukovic, Darko B. is a Business, Management and Accounting article available to read on EtoBox.

What is Dissecting Tether’s Nonlinear Dynamics during Covid-19 about?

The present study is on the five cryptocurrency daily mean return time series linearity dynamics during the Covid-19 period. These cryptocurrencies were chosen based on their influence on the market, primarily driven by its market capitalisation. Tether is included as the most important stable coin on the market, nominally pegged to the U.S. dollar (USD). The reason to investigate it is that there are some inconsistencies in its behaviour as opposed to the other four cryptocurrencies. This study found that the behaviour of Tether cryptocurrency daily average return time series pattern is highly nonlinear and chaotic in nature, whereas the other four cryptocurrencies (namely Bitcoin, Ethereum, XRP and Bitcoin Cash) daily average return time series were found to be linear in nature. To further study Tether’s nonlinear time series rich dynamics, this study deployed one category of the regime switching models popularly known as the threshold regressions. The study estimates fairly suggest that both the threshold autoregression (TAR) and smooth transition autoregressive (STAR) models with lag 1 are adequate to capture the rich nonlinear and chaotic dynamics of Tether’s daily average ret

Who reads Dissecting Tether’s Nonlinear Dynamics during Covid-19?

Author

Maiti, Moinak; Grubisic, Zoran; Vukovic, Darko B.

Publisher

MDPI AG; Multidisciplinary Digital Publishing Institute; [Heidelberg]: SpringerOpen, 2015-April 2018; Basel: May 2018- (ISSN 2199-8531)

Published

2020

Language

EN

Field

Business, Management and Accounting (Social Sciences)