Reinvestigating the Uncovered Interest Rate Parity Puzzle via Analysis of Multivariate Tail Dependence in Currency Carry Trades
The carry trade in currencies, studied by Ames, Bagnarosa and Peters in 2014. The abstract mentions excess returns and profits but not a benchmark, an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“This is a well known financial puzzle to explain, since assuming foreign exchange risk is uninhibited and the markets have rational risk-neutral investors, then one would not expect profits from such strategies.”
AssetCurrenciescurrency pairs
StrategyCarry trade
ClaimExcess returnprofit
InputsMacrooptions-implied
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
Institutional-grade audit of this strategy.
£5 — Request the audit- Audit of the paper claims accounting for costs, luck, crises, originality, geography, etc.
- Reproduction code integratable into Bloomberg, IBKR, etc.
- Bias-free datasets for backtesting included
- Delivered in 2 working days
The paper's neighbourhoodCarry trade by year
FamilyCarry trade17Momentum and trend following289Factor investing240Machine learning return prediction15318 more · 985
AssetCurrencies13
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
| Similar papers | citation | same method | same asset | same authors | |
|---|---|---|---|---|---|
| Upside and Downside Risk Exposures of Currency Carry Trades via Tail Dependence by Ames et al. | 2014 | ||||
| Information-Geometric Phase Transitions in Currency Markets: Curvature-Driven Detection and Early Warning of Carry Trade Crashes in USD/JPY by Shah and Solanki | 2026 | ||||
| Two-Time-Scale Transfer Learning for Market-by-Order Micro-Return Forecasting by Becerra et al. | 2026 | ||||
| Timing Currency Factors with Machine Learning by Török | 2026 | ||||
| The Impact of Currency Carry Trade Activity on the Transmission of Monetary Policy by Böck et al. | 2023 |