99-078/4 - Daily Exchange Rate Behaviour and Hedging of Currency Risk

  • Authors
    Charles S. Bos, Erasmus University Rotterdam; Ronald J. Mahieu, Rotterdam School of Management; Herman K. van Dijk, Econometric Institute, Erasmus University Rotterdam
  • Publication date
    October 8, 1999
  • Keywords
    Bayesian decision making; econometric modelling; exchange rates; risk management; forward contracts; stochastic volatility; GARCH
  • JEL
    C11; C15; C44; E47; G15