Predictability of Currency Carry Trades and Asset Pricing Implications

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Risk and Return Spillovers Among the G10 Currencies (2016, background): “Changes in global FX volatility have also been shown to be predictive of carry trade returns in the time series dimension by Bakshi and Panayotov (2013). Skewness, meanwhile, measures crash risk, the risk associated with large jumps or crashes in the exchange rate, whether depreciations or appreciat”