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Cutting the hedge: Exporters' dynamic currency hedging behaviour

✍ Scribed by Richard Fabling; Arthur Grimes

Book ID: 116816906
Publisher: Elsevier Science
Year: 2010
Tongue: English
Weight: 381 KB
Volume: 18
Category: Article
ISSN: 0927-538X
DOI: 10.1016/j.pacfin.2010.01.001

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## Abstract We construct models which enable a decision maker to analyse the implications of typical time series patterns of daily exchange rates for currency risk management. Our approach is Bayesian where extensive use is made of Markov chain Monte Carlo methods. The effects of several model char