Stability between cryptocurrency prices and the term structure

DOI10.1016/J.JEDC.2024.104890MaRDI QIDQ6974216zbMATH OpenFDO

Authors Jennifer L. Castle, Takamitsu Kurita

Publication date 10 June 2025

Published in Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.JEDC.2024.104890

zbMATH Keywords

cointegrationcryptocurrenciespolicy simulationstructural breaksterm structureweak exogeneity

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30) Actuarial science and mathematical finance (91G99)

Cites work

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• Tests of the co-integration rank in VAR models in the presence of a possible break in trend at an unknown point
• The cointegrated VAR model: Methodology and applications.
• Volatility estimation for Bitcoin: a comparison of GARCH models

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