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Does futures exhibit maturity effect? New evidence from an extensive set of US and foreign futures contracts
Daal, Elton
;
Farhat, Joseph Basheer
;
Wei, Peihwang P.
-
Department of Economics and Finance, College of …
-
2004
In a seminal article, Samuelson (1965) proposes the maturity effect that volatility of
futures
prices
should increase …
Persistent link: https://www.econbiz.de/10005628171
Saved in:
2
Reexamining the maturity effect using extensive futures data
Daal, Elton
;
Farhat, Joseph Basheer
;
Wei, Peihwang P.
-
Department of Economics and Finance, College of …
-
2003
In his seminal article, Samuelson (1965) proposes the maturity effect that volatility of
futures
prices
should increase …
Persistent link: https://www.econbiz.de/10005628170
Saved in:
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