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Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk
Bauwens, L.; Bos, C.S.; Dijk, H.K. van - Erasmus University Rotterdam, Econometric Institute - 1999
parsimony and robustness. APS is applied within a Bayesian analysis of a GARCH-mixture model which is used for the evaluation of …
Persistent link: https://www.econbiz.de/10005051715
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Daily exchange rate behaviour and hedging of currency risk
Bos, C.S.; Mahieu, R.J.; Dijk, H.K. van - Erasmus University Rotterdam, Econometric Institute - 2000
methods. The effects of several model characteristics (unit roots, GARCH, stochastic volatility, heavy tailed disturbance …
Persistent link: https://www.econbiz.de/10008570624
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Daily exchange rate behaviour and hedging of currency risk
Bos, C.S.; Mahieu, R.J.; Dijk, H.K. van - Erasmus University Rotterdam, Econometric Institute - 1999
Carlo methods. The effects of several model characteristics (unit roots, GARCH, stochastic volatility, heavy tailed …
Persistent link: https://www.econbiz.de/10008584714
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How Volatile is ENSO?
Chu, L.F.; McAleer, M.J.; Chen, C-C. - Erasmus University Rotterdam, Econometric Institute - 2009
both the ARMA(1,1)-GARCH(1,1) and ARMA(3,2)-GJR(1,1) models are suitable for modelling ENSO volatility. Moreover, 1998 is a …
Persistent link: https://www.econbiz.de/10005034225
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On the variation of hedging decisions in daily currency risk management
Bos, C.S.; Mahieu, R.J.; Dijk, H.K. van - Erasmus University Rotterdam, Econometric Institute - 2000
Internationally operating firms naturally face the decision whether or not to hedge the currency risk implied by foreign investments. In a recent paper, Bos, Mahieu and van Dijk evaluate the returns from optimal and alternative currency hedging strategies, for a series of 7 models, using...
Persistent link: https://www.econbiz.de/10008584648