This article examines the regime changes in the European Exchange Rate Mechanism (ERM), by applying the duration model approach to quarterly data of eight currencies participating in the ERM, covering the complete European Monetary System history. We first make use of the nonparametric...

This article assesses the economic significance of the non-linear predictability of EMS exchange rates. To that end, and using daily data for nine EMS currencies covering the 1 January 1978-31 December 1994 period, it considers nearest- neighbour non-linear predictors, transforming their...

This article explores the evolving relationship in the volatility of sovereign yields in the European Economic and Monetary Union (EMU). To that end, we examine the behaviour of daily yields for 11 EMU countries (EMU-11), during the period 2001--2010. In a first step, we decompose volatility in...