1993•Journal of Business and Economic StatisticsRequires access

The Message in Weekly Exchange Rates in the European Monetary System: Mean Reversion, Conditional Heteroscedasticity, and Jumps

Peter Vlaar, Franz C. Palm

Abstract

Peter J. G. Vlaar, Franz C. Palm, The Message in Weekly Exchange Rates in the European Monetary System: Mean Reversion, Conditional Heteroscedasticity, and Jumps, Journal of Business & Economic Statistics, Vol. 11, No. 3 (Jul., 1993), pp. 351-360

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Key concepts: Mean reversion, Heteroscedasticity, Econometrics, Economics, Reversion, Exchange rate, Statistics, Mathematics