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Original Articles

Exchange rate volatility in the EMS before and after the fall

Pages 717-722 | Published online: 06 Oct 2010

References

  • Bajo-Rubio , O. , Fernández-Rodríguez , F. and Sosvilla-Rivero , S. 1992 . Chaotic behaviour in exchange rate series: first results for the peseta-US dollar case . Economics Letters , 39 : 207 – 211 .
  • Bollerslev , T. 1986 . Generalized autoregressive conditional heteroskedasticity . Journal of Econometrics , 31 : 307 – 327 .
  • Branson , W. 1994 . Comments on European exchange rate credibility before the fall, by A. Rose and L. Svensson . European Economic Review , 38 : 1217 – 1220 .
  • Casdagli , M. 1991 . Nonlinear forecasting, chaos and statistics , Working Paper 91-05-022 Santa Fe Institute .
  • Eichengreen , B. and Wyplosz , C. 1993 . The unstable EMS . Brookings Papers on Economic Activity , 1 : 51 – 143 .
  • Engle , R. 1982 . Autoregressive conditional heteroscedasticity with estimates of the variance of UK inflation . Econometrica , 50 : 987 – 1007 .
  • Rose , A. and Svensson , L. 1994 . European exchange rate credibility before the fall . European Economic Review , 38 : 1185 – 1216 .
  • Takens , F. 1981 . “ Detecting strange attractors in turbulence ” . In Dynamical Systems and Turbulence , Edited by: Rand , D. and Young , L. 366 – 381 . Berlin : Springer-Verlag .

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