Exchange rates typically exhibit time-varying patterns in both means andvariances. The histograms of such series indicate heavy tails. In thispaper we construct models which enable a decision-maker to analyze theimplications of such time series patterns for currency risk management.Our approach...

Internationally operating firrns naturally face the decision whether or not to hedge the currencyrisk implied by foreign investments. In a recent paper, Bos, Mahieu and van Dijk (2000) evaluatethe returns from optimal and alternative currency hedging strategies, for a series of 7 models,using...