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- W3114710989 abstract "Carry trade refers to a risky arbitrage in interest rate differentials between two currencies. Persistent excess carry trade returns pose a challenge to foreign exchange market efficiency. Using a data set of ten currencies between 1990 and 2017, we find: (i) a machine learning model, long short-term memory (LSTM) networks, forecast carry trade returns better than linear and threshold regressions based on economic fundamentals; and (ii) excess carry trade returns deteriorate after the 2007--2008 global financial crisis in LSTM networks and other model forecasts, indicating that the uncovered interest rate parity may still hold in the long run." @default.
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- W3114710989 date "2020-01-01" @default.
- W3114710989 modified "2023-10-16" @default.
- W3114710989 title "A Machine Learning Approach to Forecasting Carry Trade Returns" @default.
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- W3114710989 doi "https://doi.org/10.2139/ssrn.3693780" @default.
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