英文文献：Intertemporal Risk-Return Trade-off in Foreign Exchange Rates-外汇汇率的跨期风险回报权衡
英文文献作者：Charlotte Christiansen
英文文献摘要：
We investigate the intertemporal risk-return trade-off of foreign ex- change (FX) rates for ten currencies quoted against the USD. For each currency, we use three risk measures simultaneously that pertain to that currency; its realized volatility, its realized skewness, and its value-at-risk. We apply monthly FX excess returns and monthly FX risk measures calculated from daily observations. We find that there is a positive and signi?cant contemporaneous risk-return trade-off for most currencies. There is no evidence of noncontemporaneous risk-return trade-off. The risk-return trade-off changes during the recent financial crisis in that it becomes nonexistent for several currencies and negative for others.

我们调查了10种货币对美元的外汇汇率的跨时期风险回报权衡。对于每种货币，我们同时使用与该货币相关的三个风险度量;即已实现的波动率、已实现的偏度和风险价值。我们采用每月的外汇超额收益和每月的外汇风险度量，这些度量是根据每日观察所得。我们发现有一个积极的和显著的?对大多数货币而言，当代的风险回报权衡是不可能的。没有证据表明非同期风险回报权衡。在最近的金融危机中，风险回报平衡发生了变化，对一些货币来说，这种平衡不存在，而对其他货币则是负面的。