EMS Exchange Rates

Fred G M C Nieuwland, Willem Verschoor and Christian Wolff

CEPR Financial Market Papers from Centre for Economic Policy Research

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.

Keywords: Exchange Rates; ARCH Models; Jump Diffusion Models (search for similar items in EconPapers)
Date: 1990-09
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Citations: View citations in EconPapers (16)

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Persistent link: https://EconPapers.repec.org/RePEc:cpr:ceprfm:0002

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