01-017/4 - Daily Exchange Rate Behaviour and Hedging of Currency Risk

• Authors
  Charles S. Bos, Erasmus University Rotterdam; Ronald J. Mahieu, Erasmus University Rotterdam; Herman K. van Dijk, Erasmus University Rotterdam
• Publication date
  February 8, 2001

• Keywords
  Bayesian decision making; econometric modelling; exchange rates; risk management; stochastic volatility; GARCH
• JEL
  C11; C44; E47; G15