Mukherjee, Isita; Goswami, Bhaskar - In: Financial Innovation 3 (2017) 15, pp. 1-23
and explores the extent to which the select commodity futures satisfy the Samuelson hypothesis. Methods: One commodity … contributions of the paper is the use of the Ø term of the GARCH model to address the Samuelson hypothesis. Result: The Samuelson … hypothesis, when tested by daily returns and using standard deviation as a crude measure of volatility, is supported for gold …