Similar Search Results

Futures prices in a production economy with investment constraints

Kogan, Leonid (contributor); Livdan, Dmitry (contributor); … - 2005

Persistent link: https://www.econbiz.de/10003726382

Oil futures prices in a production economy with investment constraints

Kogan, Leonid (contributor); Livdan, Dmitry (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003727624

Oil futures prices in a production economy with investment constraints

Kogan, Leonid; Livdan, Dmitry; Yaron, Amir - In: The journal of finance : the journal of the American … 64 (2009) 3, pp. 1345-1375

Persistent link: https://www.econbiz.de/10003871952

Futures prices in a production economy with investment constraints

Kogan, Leonid; Livdan, Dmitry; Yaron, Amir - 2005

Persistent link: https://www.econbiz.de/10003082909

Futures Prices in a Production Economy with Investment Constraints

Kogan, Leonid - 2009

We document a new stylized fact regarding the term-structure of futures volatility. We show thatthe relation between the volatility of futures prices and the slope of the term structure of prices isnon-monotone and has a %u201CV-shape%u201D'. This aspect of the data cannot be generated by basic...

Persistent link: https://www.econbiz.de/10012767538

Futures Prices in a Production Economy with Investment Constraints

Kogan, Leonid - 2011

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 models...

Persistent link: https://www.econbiz.de/10012714863