Bayesian Comparison of Hedging Strategies for EUR/PLN Data

Jacek Kwiatkowski ()
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Jacek Kwiatkowski: Nicolaus Copernicus University in Toruń, Poland

Chapter 3 in FindEcon Monograph Series: Advances in Financial Market Analysis, 2010, vol. 8, pp 43-56 from University of Lodz

Abstract: In Chapter 3, Kwiatkowski made a Bayesian comparison of hedging strategies for EUR/PLN data. Within the tested models the simple AR-GARCH model delivered the best decisions in hedging strategies. This model based scheme reached higher utility levels than simple full-hedge strategies for different values of risk tolerance parameter.

Keywords: Bayesian analysis; EUR/PLN exchange rate; Hedging strategies; AR-GARCH model (search for similar items in EconPapers)
JEL-codes: C01 E02 F00 G00 (search for similar items in EconPapers)
Date: 2010
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