Volatility, Momentum, and Time-Varying Skewness in Foreign Exchange Returns
外汇收益中的波动率、动量与时变偏度
This article tests a stochastic volatility model of exchange rates that links both the level of volatility and its instantaneous covariance with returns to pathwise properties of the currency. In particular, the model implies that the return-volatility covariance behaves like a weighted average of recent returns and hence switches signs according to the direction of trends in the data. This implies that the skewness of the finite-horizon return distribution likewise switches…