EMS Exchange Rates
Willem F. C. Verschoor, Frederick G. M. C. Nieuwland, Christian Wolff · Journal of International Financial Markets Institutions and Money · 1991
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-diffucion-ARCH model can capture these features simultaneously.