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 as futures contract approaches maturity. This study provides new evidence on the maturity effect by examining a more extensive set of futures contracts than previous studies and...