Alpha Search in Carry Trade Investing

Student: Akhmedov Ramil

Educational Programme: Economics (Bachelor)

Year of Graduation: 2019

Carry trade is one of the most famous strategies and at the same time a financial anomaly. In this paper, we are going to demonstrate the non-fulfillment of the conditions of interest rate parities based on the analysis of carry trade portfolios profitability data. Subsequently, it is also expected to investigate the factors affecting the profitability of the Carry trade strategy. To do this, we will use regression adjusted for autocorrelation and heteroskedasticity.

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