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~isPartOf:"IZA Discussion Paper"
~isPartOf:"Tinbergen Institute Discussion Papers"
~person:"Dijk, Herman K. van"
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GARCH
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econometric modelling
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exchange rates
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risk management
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Dijk, Herman K. van
Bos, Charles S.
8
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Daily Exchange Rate Behaviour and Hedging of Currency Risk
Bos, Charles S.
;
Mahieu, Ronald J.
;
Dijk, Herman K. van
-
Tinbergen Institute
-
2001
methods. The effects of several model characteristics (unit roots,
GARCH
, stochastic volatility, heavy tailed disturbance …
Persistent link: https://www.econbiz.de/10005137067
Saved in:
2
Daily Exchange Rate Behaviour and Hedging of Currency Risk
Bos, Charles S.
;
Mahieu, Ronald J.
;
Dijk, Herman K. van
-
Tinbergen Institute
-
1999
Carlo methods. The effects of several model characteristics (unit roots,
GARCH
, stochastic volatility, heavy tailed …
Persistent link: https://www.econbiz.de/10005137117
Saved in:
3
Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk
Bauwens, Luc
;
Bos, Charles S.
;
Dijk, Herman K. van
-
Tinbergen 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/10005137171
Saved in:
4
Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk
Bauwens, Luc
;
Bos, Charles S.
;
Dijk, Herman K. van
-
Tinbergen Instituut
-
1999
applied within a Bayesian analysisof a
GARCH
-mixture model which is used for the evaluation of theValue-at-Risk of the return …
Persistent link: https://www.econbiz.de/10011256462
Saved in:
5
Daily Exchange Rate Behaviour and Hedging of Currency Risk
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 …
Persistent link: https://www.econbiz.de/10011256653
Saved in:
6
Daily Exchange Rate Behaviour and Hedging of Currency Risk
Bos, Charles S.
;
Mahieu, Ronald J.
;
Dijk, Herman K. van
-
Tinbergen Instituut
-
1999
. The effects of several model characteristics(unit roots,
GARCH
, stochastic volatility, heavy tailed disturbancedensities …
Persistent link: https://www.econbiz.de/10011257188
Saved in:
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