03310ntm a22005057a 4500 000220088 CZ-PrVSE 20120608071122.0 m d cr n|||||||||| 120608s2012 xr fsbm 000 0 eng d NEZPRACOVANÝ IMPORT ABA006 cze ABA006 ABA006 Varga, Lukáš ISIS:50977 dis Dopad Implikované Volatility na FX Carry Trade eng Effect of Implied Volatility on FX Carry Trade [elektronický zdroj] / Lukáš Varga 2012 ?? s. : digital, PDF soubor Vedoucí práce: Jiří Witzany Diplomová práce (Ing.)—Vysoká škola ekonomická v Praze. Fakulta financí a účetnictví, 2012 Obsahuje bibliografii Textový (vysokoškolská kvalifikační práce) Rok obhajoby 2012 This thesis aims to back-test the ability of implied volatility carry trade strategies to outperform the carry trade strategies in the FX markets. Recent research has shown that the profitability of the strategies is partly attributable to the market mispricings of the forward volatility agreements and a tendency of the forward implied volatility to overestimate the future spot implied volatility. This thesis uses a similar approach to construct portfolios containing 10 developed as well as 9 emerging market currencies. Our approach is based on the assumption that Uncovered Interest rate Parity (UIP), Forward Unbiasedness Hypothesis (FUH) and Forward Volatility Unbiasedness Hypothesis (FVUH) do not hold and therefore providing investors with several opportunities to construct trading strategies taking advantage of these market mispricings. In this thesis, we show that the foreign exchange carry trade strategy composed of the specific developed and emerging country's currencies can be outperformed by portfolio consisting of the implied volatility carry trade strategies in the FX market over the analysed period. The portfolios are adjusted to the riskiness which is accounted for by the VIX and VXY-G7 index for developed and VIX and VXY-EM index for emerging economies. The strong performance of the strategies outlined in this thesis can be of significant value to FX traders and portfolio managers. Způsob přístupu: Internet finance [obor dipl. práce] diplomové práce fd132022 czenas master's theses eczenas Carry Trade FX Implied volatility Effect Witzany, Jiří, 1966- vse2007429830 ths Baran, Jaroslav ISIS:83663 opn Vysoká škola ekonomická v Praze. Fakulta financí a účetnictví kn20010709398 https://isis.vse.cz/zp/33026/podrobnosti VŠKP v InSIS https://isis.vse.cz/zp/33026 Hlavní práce https://isis.vse.cz/zp/33026/posudek/vedouci Hodnocení vedoucího https://isis.vse.cz/zp/33026/posudek/oponent/27026 Oponentura http://isis.vse.cz/zp/104701/podrobnosti dc:identifier NEPOSILAT VSKP 104701 vse33026 120608