Daily exchange rate behaviour and hedging of currency risk
نویسندگان
چکیده
منابع مشابه
Daily Exchange Rate Behaviour and Hedging of Currency Risk
Exchange rates typically exhibit time-varying patterns in both means and variances. The histograms of such series indicate heavy tails. In this paper we construct models which enable a decision-maker to analyze the implications of such time series patterns for currency risk management. Our approach is Bayesian where extensive use is made of Markov chain Monte Carlo methods. The e ects of severa...
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ژورنال
عنوان ژورنال: Journal of Applied Econometrics
سال: 2000
ISSN: 0883-7252,1099-1255
DOI: 10.1002/jae.577