Yaron, Amir; Kogan, Leonid; Livdan, Dmitry - Society for Economic Dynamics - SED - 2004
We document a new stylized fact regarding the term-structure of futures volatility. We show that the relationship between the volatility of futures prices and the slope of the term structure of prices is non-monotone and has a \V-shape". This aspect of the data cannot be generated by basic...