EMS Exchange Rates
AbstractIn this article we study different time-series processes that may describe EMS exchange rate patterns. We conclude that conditional heteroskedasticity and discontinuous time paths are prominent features of EMS exchange rates. A combined jump- diffusion-ARCH model can capture these features simultaneously.
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Bibliographic InfoPaper provided by European Science Foundation Network in Financial Markets, c/o C.E.P.R, 77 Bastwick Street, London EC1V 3PZ in its series CEPR Financial Markets Paper with number 0002.
Date of creation: Sep 1990
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