The European exchange rates before and after the establishment of the European Monetary System

Journal of International Financial Markets, Institutions and Money

Volumn 7, Issue 3, 1997, Pages 235-253

  Hu, Michael Y ^a   Jiang, Christine X ^a   Tsoukalas, Christos ^a  

^a KENT STATE UNIVERSITY   (United States)

Author keywords

Conditional volatility; EGARCH model; EMS exchange rates

Indexed keywords

EID: 0031256554     PISSN: 10424431     EISSN: None     Source Type: Journal    
DOI: 10.1016/S1042-4431(97)00021-8     Document Type: Article

References (27)

1. Artis, M.J., 1990. The European Monetary System: a review of the research record. In: Bird, G. (Ed.), The International Financial Regime. Surrey University Press, UK.
2. Bera, A.K., Jarque, C.M., 1982. Model specification tests: a simultaneous approach. J. Econ. 20, 59-82.
3. Black, F., 1976. Studies of stock price volatility changes. Proceedings from the American Statistical Association, Business and Economics Statistics Section, pp. 177-181.
4. Bollerslev, T., 1986. Generalized autoregressive conditional heteroscedasticity. J. Econ. 31, 307-327.
5. Bollerslev, T., 1987. A conditionally heteroscedastic time series model for speculative prices and rates of return. Rev. Econ. Stat. 9, 542-547.
6. Bollerslev, T., 1990. Modeling the coherence in short-run nominal exchange rates: a multivariate generalized ARCH model. Rev. Econ. Stat. 72. 498-505.
7. Bollerslev, T., Chou, R.Y., Kroner, K.F., 1992. ARCH modeling in finance: a review of the theory and empirical evidence. J. Econ. 52, 5-59.
8. Burt, J., Kaen, F.R., Boothe. G.G., 1977. Foreign market efficiency under flexible exchange rates. J. Finance 32, 1325-1330.
9. Diebold, F.X., Pauly, P., 1988. Has the EMS reduced member-country exchange rate volatility? Empirical Econ. 13, 81-102.
10. Diebold, F.X., Nerlove, M., 1989. The dynamics of exchange rate volatility: a multivariate latent factor ARCH model. J. Appl. Econ. 4, 1-21.
11. Engle, R.F., 1982. Autoregressive conditional heteroscedasticity with estimates of the variance of UK inflation. Econometrica 50, 987-1008.
12. Engle, R.F., Bollerslev, T., 1986. Modeling the persistence of conditional variances. Econ. Rev. 5, 1-50.
13. Engle, R.F., Ng, V., 1993. Measuring and testing the impact of news on volatility. J. Finance 48. 1749-1801.
14. Friedman, D., Vandersteel, S., 1982. Short-run fluctuations in foreign exchange rates. J. Int. Econ. 13, 171-186.
15. Hsieh, D.A., 1989. Modeling heteroscedasticity in daily foreign-exchange rates. J. Bus. Econ. Stat. 7, 307-317.
16. Lastrapes, W.D., 1989. Exchange rate volatility and U.S. monetary policy: an ARCH application. J. Money, Credit. Banking 21. 66-77.
17. Lieberman, S., 1992. The Long Road to a European Monetary Union. University Press of America, MD.
18. Ljung, G., Box. G., 1978. On a measure of lack of fit in time-series models. Biometrika 65, 297-303.
19. Kahya, E., Koutmos, G., Nuven, D., 1994. Modeling volatility of foreign exchange rate changes. Manage. Fin. 20, 52-66.
20. Koutmos. G., 1993. Exchange rate volatility during appreciations and depreciations. J. Midwest Finance Assoc. 22, 15-23.
21. Koutmos. G., 1994. Time dependent autocorrelations in EMS exchange rates. J. Int. Financial Markets Inst. Money 3, 65-84.
22. McCurty, T., Morgan, I., 1987. Testing the Martingale hypothesis in deutsche mark futures with models specifying the form of the heteroscedasticity. J. Appl. Econ. 3, 187-202.
23. Nelson, D.B., 1991. Conditional heteroseedasticity in asset returns: a new approach. Econometrica 59, 347-370.
24. Nelson, D.B., Cao, C.Q., 1992. Inequality constraints in the univariate GARCH model. J. Bus. Econ. Stat. 10, 229-235.
25. Nieuwland, F.G.M.C., Vershoor, W.F.C., Wolff, C.C.P., 1994. Stochastic trends and jumps in EMS exchange rates. J. Int. Money Finance 13, 699-727.
26. Williamson, J., 1983. The Exchange Rate System. Institute for International Economics, Washington. DC.
27. Williamson. J., 1985, The Exchange Rate System (Revised Edition). Institute for International Economics. Washington, DC.