Moosa, Imad; Bollen, Bernard - In: Applied Economics Letters 8 (2001) 11, pp. 693-695
The maturity effect is re-examined using the S&P 500 futures contract. A model is estimated in which daily volatility, measured on the basis on intraday data, is determined by its previous value and the number of days remaining to maturity. The estimation results do not support the maturity...