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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
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