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