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.
Download InfoTo our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
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
Date of revision:
Availability: in print
Contact details of provider:
Phone: 44 - 20 - 7183 8801
Fax: 44 - 20 - 7183 8820
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- 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.
- 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.
- 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.
- 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.
- Drost, Feike C & Nijman, Theo E & Werker, Bas J M, 1998.
"Estimation and Testing in Models Containing Both Jump and Conditional Heteroscedasticity,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 16(2), pages 237-43, April.
- 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.
- 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.
- Christopher J. Neely, 1998. "Target zones and conditional volatility: the role of realignments," Working Papers 1994-008, Federal Reserve Bank of St. Louis.
- 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).
- Hali J. Edison & Linda S. Kole, 1994.
"European monetary arrangements: implications for the dollar, exchange rate variability and credibility,"
International Finance Discussion Papers
468, Board of Governors of the Federal Reserve System (U.S.).
- 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.
- Lundgren, Jens & Hellström, Jörgen & Rudholm, Niklas, 2008. "Multinational Electricity Market Integration and Electricity Price Dynamics," HUI Working Papers 16, HUI Research.
- S. Zhou, 2003. "Evidence on the stationarity of ERM exchange rates," Applied Economics Letters, Taylor & Francis Journals, vol. 10(4), pages 231-233.
- 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.
- 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.
- Michael Dueker, 1995. "Compound volatility processes in EMS exchange rates," Working Papers 1994-016, Federal Reserve Bank of St. Louis.
- Nijman, T.E. & Palm, F.C., 1991.
"Recent Developments in Modeling Volatility in Financial Data,"
9168, Tilburg - Center for Economic Research.
- 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.
- 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,"
CREAP2006-14, Xarxa de Referència en Economia Aplicada (XREAP), revised Dec 2006.
- Mariam Camarero & Josep Lluis Carrion Silvestre & Cecilio Tamarit, 2006. "New evidence of the real interest rate parity for OECD countries using panel unit root tests with breaks," Working Papers in Economics 159, Universitat de Barcelona. Espai de Recerca en Economia.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ().
If references are entirely missing, you can add them using this form.