Date of Award
4-2024
Degree Type
Doctoral Dissertation
Degree Name
Doctor of Business Administration (DBA)
Department
Jack Welch College of Business & Technology
Dissertation Supervisor
Dr. Lucjan T. Orlowski
Committee Member
Dr. Ali M. Kutan
Committee Member
Dr. Lorán Chollete
Abstract
This research will examine how the Jump Diffusion Model 1 (JDM) accurately outperforms Geometric Brownian Motion2 (GBM) when forecasting the Japanese Yen carry trade daily returns for the BRICs' and three bellwether currency pairs GBP/JPY, EUR/JPY, and PLN/JPY from January 2, 2012, to September 30, 2023. An added innovation within this research is the inclusion of the interest rate return in arriving at the daily cumulative carry trade returns. This is a distinctive and unique feature that offers a different perspective, since many journal articles do not discuss or address the interest earned (long position) component of the FX Carry trade. The focus of this paper will be on the uncovered interest rate parity. This research will comprehensively evaluate multiple regression modeling for the (JDM) and (GBM) in isolation, mean reversion, volatility, plus back-testing forecasted versus actual total dollar returns within in and out ofsample time series for both models.
JEL Classification
C32, C53, C58, E44, F31, F37, G11, G12, G15
Recommended Citation
Kwait, M. (2024). Jump diffusion and brownian motion approaches for forecasting BRIC's carry. Jack Welch College of Business & Technology dissertation, Sacred Heart University, Fairfield CT. Retrieved from https://digitalcommons.sacredheart.edu/wcob_theses/37/
Creative Commons License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.
Included in
Business Administration, Management, and Operations Commons, Corporate Finance Commons, Finance and Financial Management Commons
Comments
Submitted as partial fulfillment of the requirements for the degree of Doctor of Business Administration in Finance Sacred Heart University, Jack Welch College of Business and Technology, Sacred Heart University.
Dissertation Number DBA 01/2024