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EMS Exchange Rates

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Author Info

  • Fred G M C Nieuwland
  • Willem F C Verschoor
  • Christian C P Wolff

Abstract

In 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 Info

Paper 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.

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Date of creation: Sep 1990
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Availability: in print
Handle: RePEc:cpr:ceprfm:0002

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Related research

Keywords: Exchange Rates; ARCH Models; Jump Diffusion Models;

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Citations

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Cited by:
  1. Lundgren, Jens & Hellström, Jörgen & Rudholm, Niklas, 2008. "Multinational Electricity Market Integration and Electricity Price Dynamics," HUI Working Papers 16, HUI Research.
  2. Mali J. Edison & Linda S. Kole, 1995. "European monetary arrangements: Implications for the dollar, exchange rate variability and credibility," European Financial Management, European Financial Management Association, vol. 1(1), pages 61-86.
  3. Antoine Magnier & Benoît Cœuré, 1996. "Crédibilité et fondamentaux macro-économiques au sein du SME : un examen empirique," Économie et Prévision, Programme National Persée, vol. 123(2), pages 113-146.
  4. Cho-Hoi Hui & Chi-Fai Lo, 2008. "A Note on Estimating Realignment Probabilities -- A First-Passage-Time Approach," Working Papers 0809, Hong Kong Monetary Authority.
  5. Alper Ozun & Erman Erbaykal, 2009. "Detecting risk transmission from futures to spot markets without data stationarity: Evidence from Turkey's markets," Journal of Risk Finance, Emerald Group Publishing, vol. 10(4), pages 365-376, August.
  6. Michael Dueker, 1995. "Compound volatility processes in EMS exchange rates," Working Papers 1994-016, Federal Reserve Bank of St. Louis.
  7. Jiang, George J., 1998. "Jump-diffusion model of exchange rate dynamics : estimation via indirect inference," Research Report 98A40, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
  8. Nijman, T.E. & Palm, F.C., 1991. "Recent developments in modeling volatility in financial data," Discussion Paper 1991-68, Tilburg University, Center for Economic Research.
  9. Drost, F.C. & Nijman, T.E. & Werker, B.J.M., 1994. "Estimation and testing in models containing both jumps and conditional heteroskedasticity," Discussion Paper 1994-105, Tilburg University, Center for Economic Research.
  10. Neely, Christopher J., 1999. "Target zones and conditional volatility: The role of realignments," Journal of Empirical Finance, Elsevier, vol. 6(2), pages 177-192, April.
  11. Mariam Camarero & Josep Lluis Carrion-i-Silvestre & Cecilio Tamarit, 2006. "New evidence of the real interest rate parity for OECD countries using panel unit root tests with breaks," Working Papers CREAP2006-14, Xarxa de Referència en Economia Aplicada (XREAP), revised Dec 2006.
  12. Koedijk, Kees G. & Verschoor, Willem F. C., 1994. "Asian interest expectations and exchange rate dynamics," Pacific-Basin Finance Journal, Elsevier, vol. 2(4), pages 439-452, December.
  13. António Portugal Duarte & João Sousa Andrade & Adelaide Duarte, 2009. "Exchange Rate Mean Reversion within a Target Zone: Evidence from a Country on the Periphery of the ERM," GEMF Working Papers 2009-15, GEMF - Faculdade de Economia, Universidade de Coimbra.
  14. N. T. Laopodis, 2003. "Stochastic behaviour of Deutsche mark exchange rates within EMS," Applied Financial Economics, Taylor & Francis Journals, vol. 13(9), pages 665-676.
  15. S. Zhou, 2003. "Evidence on the stationarity of ERM exchange rates," Applied Economics Letters, Taylor & Francis Journals, vol. 10(4), pages 231-233.
  16. Josh Stillwagon, 2013. "Rethinking What Survey Data has to Say about the Role of Risk and Irrationality in Currency Markets," Working Papers 1314, Trinity College, Department of Economics.

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