Volatility, Momentum, and Time-Varying Skewness in Foreign Exchange Returns
检验了一个汇率随机波动模型，该模型将波动率水平及其与收益的瞬时协方差与货币的路径特性联系起来，解释了有限期收益分布的偏度时变特征，并用贝叶斯方法拟合和评估模型，发现预测的偏度动态与历史期权价格一致。
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 sign, leading to time-varying implied volatility "smiles" in options prices. The model is fit and assessed using Bayesian techniques. Some previously reported volatility results are accounted for by the fitted models. The predicted pattern of skewness dynamics accords well with that found in historical options prices.