Exchange rate volatility in the EMS before and after the fall

Simon Sosvilla-Rivero (), Fernando Fernandez-Rodriguez and Oscar Bajo-Rubio ()

Applied Economics Letters, 1999, vol. 6, issue 11, pages 717-722

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.

Date: 1999
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