Sökning: "currency carry trade"

Visar resultat 1 - 5 av 11 uppsatser innehållade orden currency carry trade.

  1. 1. The developed market currency tango: Carry trade and hedging during 2014 – 2019. VECM and DCC approach

    Master-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Sekou Soumaoro; [2019]
    Nyckelord :Carry trade; hedging; currency market; GARCH DCC; VECM; Business and Economics;

    Sammanfattning : In this study carry trade activity in AUD, CAD, EUR and YEN vis the USD between 2014 – 2019 was analysed. The first approach employs a VECM, analyse evidence of carry trade recorded in the exchange rate pairs Futures, Forwards and Spot. LÄS MER

  3. 2. Is the Carry Trade strategy an explanation of the Uncovered Interest Parity puzzle?

    Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Benjamin Albertsson; [2018]
    Nyckelord :Uncovered interest rate parity; UIP puzzle; Carry trade.; Business and Economics;

    Sammanfattning : This paper examines the uncovered interest rate parity (UIP) and extends the analysis in Spronk, Verschoor and Zwinkels (2013) by looking at the UIP between Sweden and the United Kingdom. The flaws of the UIP and the reasons for why it does not seem to hold, has been called the UIP puzzle. LÄS MER

  4. 3. Carry trade optimization

    Kandidat-uppsats, Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Författare :Peter Mannerbjörk; [2015-02-06]
    Nyckelord :carry trade; intrinsic currency value; portfolio optimization;

    Sammanfattning : This thesis investigates various possible improvements of implementing the carry trade. For this purpose a number of benchmark carry trade strategies are formed to which the results of the modified strategies are compared. LÄS MER

  5. 4. Relationship between currency carry trade and DAX & DJIA

    Master-uppsats, Umeå universitet/Företagsekonomi

    Författare :Ioanna Nikoli; Md Mosharof Hossain; [2015]
    Nyckelord :Business Administration; Currency carry; DAX; DJIA; EGARCH [1; 1]; Finance; Granger; Ioanna; Mosharof; VAR; Umeå;

    Sammanfattning : Abstract:   The last decade currency carry trade has gained a lot of popularity because of their apparent profitability. It is a strategy that has been developed to exploit violations of the Uncovered Interest Rate Parity. LÄS MER

  7. 5. Optimising Emerging Market Currency Carry Trades using Risk Indicators

    Master-uppsats, KTH/Industriell ekonomi och organisation (Inst.)

    Författare :Wiktor Mlynarczyk; Mattias Berggren; [2015]
    Nyckelord :currency carry trade; emerging markets; risk indicator; valutahandel; tillväxtmarknader; riskindikator;

    Sammanfattning : The currency carry trade – whereby one simultaneously borrows in a currency with low interest rate and invests in a currency with high interest rate – is estimated to be at least USD 2.0 trillion in emerging markets alone. LÄS MER