{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,2,23]],"date-time":"2026-02-23T19:48:12Z","timestamp":1771876092909,"version":"3.50.1"},"reference-count":24,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2006,11,7]],"date-time":"2006-11-07T00:00:00Z","timestamp":1162857600000},"content-version":"vor","delay-in-days":4693,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J of Applied Econometrics"],"published-print":{"date-parts":[[1994,1]]},"abstract":"<jats:title>Abstract<\/jats:title><jats:p>The models in the literature on exchange\u2010rate target zones imply a non\u2010linear time series model for the exchange rate. We show how the parameters of such models can be estimated and develop Maximum Likelihood and Method of Simulated Moments estimators for the target zone model of Krugman (1991). The Maximum Likelihood estimator is based on a computationally attractive approximation to the exact predictive density of the continuous time model. Monte Carlo experiments are used to assess the properties of this estimator. In the empirical part we estimate the model with data on recent EMS exchange rates. We find that the Krugman (1991) target zone model is not able to explain the full observed kurtosis and conditional heteroscedasticity of the exchange\u2010rate returns.<\/jats:p>","DOI":"10.1002\/jae.3950090104","type":"journal-article","created":{"date-parts":[[2007,7,12]],"date-time":"2007-07-12T17:20:23Z","timestamp":1184260823000},"page":"31-45","source":"Crossref","is-referenced-by-count":33,"title":["A univariate analysis of EMS exchange rates using a target zone model"],"prefix":"10.1002","volume":"9","author":[{"given":"F.","family":"De Jong","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"311","published-online":{"date-parts":[[2006,11,7]]},"reference":[{"key":"e_1_2_1_2_1","unstructured":"Beetsma R.(1991) \u2018Bands and statistical properties of EMS exchange rates\u2019 CentER discussion paper 9105 Tilburg University."},{"key":"e_1_2_1_3_1","first-page":"520","article-title":"Target zones and realignments","volume":"82","author":"Bertola G.","year":"1992","journal-title":"American Economic Review"},{"key":"e_1_2_1_4_1","doi-asserted-by":"crossref","unstructured":"Bertola G.andL.Svensson(1993) \u2018Stochastic devaluation risk and the empirical fit of target zone models\u2019 Review of Economic Studies (forthcoming).","DOI":"10.2307\/2298131"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1214\/aoms\/1177728725"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/0022-1996(90)90006-8"},{"key":"e_1_2_1_7_1","unstructured":"Duffie D.andK.Singleton(1988) \u2018Simulated moments estimation of diffusion models of asset prices\u2019 Working paper Graduate School of Business Stanford University."},{"key":"e_1_2_1_8_1","doi-asserted-by":"crossref","unstructured":"Flood R. 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