Carry trade strategies in FX market by use of FX implied volatility as an indicator - Application of Markov switching model
碩士 === 國立政治大學 === 金融研究所 === 102 === The purpose of this paper is to build carry trade strategies and try to maximize the Sharpe ratio. This paper uses FX implied volatility as an indicator to build carry trade strategies and tries to outperform performance benchmark. Main findings in our paper are a...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Online Access: | http://ndltd.ncl.edu.tw/handle/h5davt |