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Exchange rate volatility in the EMS before and after the fall

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  • Simon Sosvilla-Rivero
  • Fernando Fernandez-Rodriguez
  • Oscar Bajo-Rubio

Abstract

The paper presents the results of applying an indicator of local (daily) volatility, based on the literature on forecasting in nonlinear systems to six EMS currencies, using data for the period January 1974-April 1995.

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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Applied Economics Letters.

Volume (Year): 6 (1999)
Issue (Month): 11 ()
Pages: 717-722

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Handle: RePEc:taf:apeclt:v:6:y:1999:i:11:p:717-722

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Cited by:
  1. Simón Sosvilla-Rivero & Reyes Maroto Illera, 2002. "Regimen changes and duration in the European Monetary System," Working Papers, Asociación Española de Economía y Finanzas Internacionales 02-05, Asociación Española de Economía y Finanzas Internacionales.
  2. Oscar Bajo-Rubio & Simón Sosvilla-Rivero & Fernando Fernández-Rodríguez, . "Non-Linear Forecasting Methods: Some Applications to the Analysis of Financial Series," Working Papers 2002-01, FEDEA.
  3. Simón Sosvilla-Rivero & Francisco Pérez-Bermejo, . "Credibility and Duration in Target Zones: Evidence from the EMS," Working Papers 2003-19, FEDEA.
  4. Fernando Fernández-Rodríguez & Simón Sosvilla-Rivero & Julián Andrada-Félix, . "Nearest-Neighbour Predictions in Foreign Exchange Markets," Working Papers 2002-05, FEDEA.
  5. Fernando Fernández-Rodríguez & Simón Sosvilla-Rivero & Julián Andrada-Félix, 2000. "Technical Analysis In Foreign Exchange Markets: Linear Versus Nonlinear Trading Rules," Working Papers, Asociación Española de Economía y Finanzas Internacionales 00-02, Asociación Española de Economía y Finanzas Internacionales.
  6. Viktors Ajevskis & Armands Pogulis, 2005. "Repegging of the Lats to the Euro: Implications for the Financial Sector," Working Papers 2005/01, Latvijas Banka.
  7. A. Morales-Zumaquero & Simon Sosvilla-Rivero, 2008. "Macroeconomic instability in the European monetary system?," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 18(12), pages 965-983.
  8. F. FernAndez-RodrIguez & S. Sosvilla-Rivero & J. Andrada-FElix, 2003. "Technical analysis in foreign exchange markets: evidence from the EMS," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 13(2), pages 113-122.
  9. Simón Sosvilla-Rivero & Salvador Gil-Pareja, . "Price Convergence in the European Union," Working Papers 2002-12, FEDEA.
  10. Reyes Maroto Illera & Francisco Pérez Bermejo & Simón Sosvilla-Rivero, . "An Eclectic Approach to Currency Crises: Drawing Lessons from the EMS Experience," Working Papers 2002-22, FEDEA.
  11. Francisco Ledesma-Rodriguez & Manuel Navarro-Ibanez & Jorge Perez-Rodriguez & Simon Sosvilla-Rivero, 2000. "On the Credibility of the Irish Pound in the EMS," The Economic and Social Review, Economic and Social Studies, Economic and Social Studies, vol. 31(2), pages 151-172.
  12. Francisco Ledesma-Rodriguez & Manuel Navarro-Ibanez & Jorge Perez-Rodriguez & Simon Sosvilla-Rivero, 2005. "Assessing the credibility of a target zone: evidence from the EMS," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 37(19), pages 2265-2287.
  13. Salvador Gil-Pareja & Simón Sosvilla-Rivero, . "Export Market Integration in the European Union," Working Papers 2002-07, FEDEA.
  14. Salvador Gil-Pareja & Simón Sosvilla-Rivero, 2004. "Export market integration in the European Union," Journal of Applied Economics, Universidad del CEMA, vol. 0, pages 271-301, November.
  15. Simon Sosvilla-Rivero & Salvador Gil-Pareja, 2004. "Price convergence in the European Union," Applied Economics Letters, Taylor & Francis Journals, Taylor & Francis Journals, vol. 11(1), pages 39-47.

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