An EMS target zone model in discrete time
构建了离散时间版本的Krugman目标区模型，以捕捉汇率波动的聚集性和厚尾特征，发现S形关系仍然存在但更平缓，并基于曲率特征识别出两组不同的EMS货币，同时用一步向前调整概率作为替代评估方法。
The discrete time analogue of the continuous time Krugman target zone model is developed in order to capture the typical volatility clusters and fat-tailed distributed innovations of exchange rates. It is shown that under these more general stochastic conditions the S-shaped relation between exchange rate and fundamentals is preserved, but is less pronounced. The model is tested for its S-shape and stochastic properties. Two clearly distinct sets of EMS currencies are detected on the basis of the curvature features. One-step-ahead realignment probabilities are used as an alternative evaluation method.