{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,6,17]],"date-time":"2026-06-17T14:10:15Z","timestamp":1781705415598,"version":"3.54.5"},"reference-count":46,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2001,2,5]],"date-time":"2001-02-05T00:00:00Z","timestamp":981331200000},"content-version":"vor","delay-in-days":96,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J of Applied Econometrics"],"published-print":{"date-parts":[[2000,11]]},"abstract":"<jats:title>Abstract<\/jats:title><jats:p>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 characteristics (unit roots, GARCH, stochastic volatility, heavy\u2010tailed disturbance densities) are investigated in relation to the hedging strategies. Consequently, we can make a distinction between statistical relevance of model specifications and the economic consequences from a risk management point of view. We compute payoffs and utilities from several alternative hedge strategies. The results indicate that modelling time\u2010varying features of exchange rate returns may lead to improved hedge behaviour within currency overlay management. Copyright \u00a9 2000 John Wiley &amp; Sons, Ltd.<\/jats:p>","DOI":"10.1002\/jae.577","type":"journal-article","created":{"date-parts":[[2002,8,25]],"date-time":"2002-08-25T21:28:49Z","timestamp":1030310929000},"page":"671-696","source":"Crossref","is-referenced-by-count":29,"title":["Daily exchange rate behaviour and hedging of currency risk"],"prefix":"10.1002","volume":"15","author":[{"given":"Charles S.","family":"Bos","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Ronald J.","family":"Mahieu","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Herman K.","family":"Van Dijk","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2001,2,5]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/10.2.369"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0022-1996(99)00039-2"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00205"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/1368-423X.11003"},{"key":"e_1_2_1_6_1","series-title":"Advanced Texts in Econometrics","volume-title":"Bayesian Inference in Dynamic Econometric Models","author":"Bauwens L.","year":"1999"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(86)90063-1"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/81.3.541"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/83.3.589"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1080\/01621459.1995.10476635"},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.2307\/2684568"},{"key":"e_1_2_1_12_1","series-title":"Nuffield College working paper","volume-title":"Markov chain Monte Carlo methods for generalized stochastic volatility models","author":"Chib S.","year":"1998"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.2307\/2527341"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/82.2.339"},{"key":"e_1_2_1_15_1","volume-title":"Object\u2010Oriented Matrix Programming using Ox","author":"Doornik J. A.","year":"1999"},{"key":"e_1_2_1_16_1","first-page":"689","article-title":"Long swings in the dollar: Are they in the data and do markets know it?","volume":"4","author":"Engel C.","year":"1990","journal-title":"American Economic Review"},{"key":"e_1_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912773"},{"key":"e_1_2_1_18_1","series-title":"Advanced Texts in Econometrics","doi-asserted-by":"crossref","DOI":"10.1093\/oso\/9780198774310.001.0001","volume-title":"ARCH: Selected Readings","author":"Engle R. F.","year":"1995"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/8.3.709"},{"key":"e_1_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.1080\/01621459.1990.10476213"},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(89)90030-4"},{"key":"e_1_2_1_22_1","doi-asserted-by":"crossref","first-page":"169","DOI":"10.1093\/oso\/9780198522669.003.0010","volume-title":"Bayesian Statistics 4: Proceedings of the Fourth Valencia International Meeting","author":"Geweke J.","year":"1992"},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/9.2.557"},{"key":"e_1_2_1_24_1","volume-title":"Forecasting, Structural Time Series Models and the Kalman Filter","author":"Harvey A. C.","year":"1989"},{"key":"e_1_2_1_25_1","doi-asserted-by":"publisher","DOI":"10.2307\/1392199"},{"key":"e_1_2_1_26_1","doi-asserted-by":"publisher","DOI":"10.1086\/296296"},{"key":"e_1_2_1_27_1","doi-asserted-by":"publisher","DOI":"10.2307\/2331042"},{"key":"e_1_2_1_28_1","volume-title":"Value at Risk: The New Benchmark for Controlling Market Risk","author":"Jorion P.","year":"1997"},{"key":"e_1_2_1_29_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/8.1.1"},{"key":"e_1_2_1_30_1","doi-asserted-by":"publisher","DOI":"10.1080\/01621459.1995.10476572"},{"key":"e_1_2_1_31_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-937X.00050"},{"key":"e_1_2_1_32_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.3950080505"},{"key":"e_1_2_1_33_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(99)00071-8"},{"key":"e_1_2_1_34_1","doi-asserted-by":"publisher","DOI":"10.1111\/1368-423X.00023"},{"key":"e_1_2_1_35_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0022-1996(98)00061-0"},{"issue":"1","key":"e_1_2_1_36_1","first-page":"201","article-title":"Exchange rates and fundamental: Evidence on long\u2010horizon predictability","volume":"85","author":"Mark N. C.","year":"1995","journal-title":"American Economic Review"},{"key":"e_1_2_1_37_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(90)90046-3"},{"key":"e_1_2_1_38_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(91)90012-3"},{"key":"e_1_2_1_39_1","unstructured":"Morgan J. P.(1997) \u2018RiskMetrics Technical document http:\/\/www.riskmetrics.com"},{"key":"e_1_2_1_40_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466600005296"},{"key":"e_1_2_1_41_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913610"},{"key":"e_1_2_1_42_1","volume-title":"Intermediate Statistics and Econometrics: A Comparative Approach","author":"Poirier D. J.","year":"1995"},{"issue":"1","key":"e_1_2_1_43_1","doi-asserted-by":"crossref","first-page":"3","DOI":"10.1111\/j.2517-6161.1993.tb01466.x","article-title":"Bayesian computation via the Gibbs sampler and related Markov Chain Monte Carlo methods","volume":"55","author":"Smith A. F. M.","year":"1993","journal-title":"Journal of the Royal Statistical Society B"},{"key":"e_1_2_1_44_1","series-title":"The Addison\u2010Wesley Series in Finance","volume-title":"International Investments","author":"Solnik B. H.","year":"2000"},{"key":"e_1_2_1_45_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9965.1994.tb00057.x"},{"key":"e_1_2_1_46_1","doi-asserted-by":"publisher","DOI":"10.1080\/01621459.1985.10477131"},{"key":"e_1_2_1_47_1","doi-asserted-by":"crossref","first-page":"9","DOI":"10.1080\/01621459.1991.10475006","article-title":"Generalized linear models with random eeffects: A Gibbs sampling approach","volume":"86","author":"Zeger S. L.","year":"1991","journal-title":"Journal of the American Statistical Association"}],"container-title":["Journal of Applied Econometrics"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Fjae.577","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/jae.577","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,12,2]],"date-time":"2024-12-02T18:21:45Z","timestamp":1733163705000},"score":1,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/jae.577"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2000,11]]},"references-count":46,"journal-issue":{"issue":"6","published-print":{"date-parts":[[2000,11]]}},"alternative-id":["10.1002\/jae.577"],"URL":"https:\/\/doi.org\/10.1002\/jae.577","archive":["Portico"],"relation":{},"ISSN":["0883-7252","1099-1255"],"issn-type":[{"value":"0883-7252","type":"print"},{"value":"1099-1255","type":"electronic"}],"subject":[],"published":{"date-parts":[[2000,11]]}}}