Bos, Charles S.; Mahieu, Ronald J.; Dijk, Herman K. van - Tinbergen Instituut - 2001
ofseveral modelcharacteristics (unit roots, GARCH, stochastic volatility, heavy taileddisturbance densities) areinvestigated in … hedgestrategies. The results indicate that modelling time varying features ofexchange rate returns maylead to improved hedge behaviour …