Lautier, Delphine; Raynaud, Franck - In: Physica A: Statistical Mechanics and its Applications 390 (2011) 11, pp. 2009-2019
This article presents an empirical study of 13 derivative markets for commodities and financial assets. The study goes beyond statistical analysis by including the maturity as a variable for the daily returns of futures contracts from 1998 to 2010, and for delivery dates up to 120 months. We...