The conditional capital asset pricing model is applied to foreign currency futures prices, covariance risk being measured relative to excess returns from a broadly diversified portfolio of equities. Positive time-varing risk premia are found in all five currencies tested when the difference...

We investigate covariation of payoffs from spot and futures positions in foreign currency markets. The weights in a hedged position are determined by the prices of futures and spot contracts and by foreign and domestic interest rates. Evaluating this hedged position using an intertemporal...