for hedging strategies. Interestingly, so far the empirical evidence in favor of the Samuelson Hypothesis (maturity effect …

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 … drawn from 61 commodities, including some data from non-US markets, we find that the maturity effect is absent in the …

maturity effect whereby futures price volatility increases as price uncertainty is resolved at contract expiration. This study …

maturity effect whereby futures price volatility increases as price uncertainty is resolved at contract expiration. This study …

This paper considers the maturity effect in the nearby natural gas futures contract while controlling for the impact of …

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 … drawn from 61 commodities, including some data from non-US markets, we find that the maturity effect is absent in the …

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 … drawn from 61 commodities, including some data from non-US markets, we find that the maturity effect is absent in the …

In his seminal article, Samuelson (1965) proposes the maturity effect that volatility of futures prices should increase … as futures contract approaches expiration. This study provides new evidence on the maturity effect by examining a more … years from 1960 to 2000. Strong support is found for the maturity effect in agricultural and energy commodities, but not for …