Pricing Implications of Covariances and Spreads in Currency Markets
本文提出了一个经协方差和远期贴水调整的利差因子，该因子能有效解释外汇市场截面收益，而许多其他单因子和多因子模型则无法做到。
Abstract We introduce a covariance and spread (i.e., exchange rate forward discount) adjusted carry factor that prices the cross-section of FX market returns, where many other single- and multifactor models fail. Both the covariance matrix of exchange rate growths and forward discounts contain important information for pricing that is not captured by well-known factors. The time-varying conditional covariance matrix and forward discounts forecast future realized currency returns.