Time series volatility of commodity futures prices
This article examines the pattern of volatility over time of a series of commodity futures prices, and focuses in particular on the futures price variability as the maturity date of the futures contract approaches. In a rational expectations model of asymmetric information, the article provides conditions under which the Samuelson hypothesis—that the variability of futures prices increases as maturity approaches—will be true. © 2000 John Wiley & Sons, Inc. Jrl Fut Mark 20: 127–144, 2000
Year of publication: |
2000
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Authors: | Black, Jane ; Tonks, Ian |
Published in: |
Journal of Futures Markets. - John Wiley & Sons, Ltd.. - Vol. 20.2000, 2, p. 127-144
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Publisher: |
John Wiley & Sons, Ltd. |
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