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Does Futures Exhibit Maturity Effect? New Evidence from an Extensive Set of Us and Foreign Futures Contracts
Daal, Elton - 2009
randomly,” Industrial Management Review 6, 41–49.] proposes the maturity effect that the 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 …
Persistent link: https://www.econbiz.de/10013159663
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Maturity effects in futures contracts on the SAFEX market
Motengwe, Chris; Alagidede, Paul - In: Agrekon : agricultural economics research, policy and … 55 (2016) 4, pp. 331-355
Persistent link: https://www.econbiz.de/10011733945
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Futures prices in a production economy with investment constraints
Kogan, Leonid (contributor); Livdan, Dmitry (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10003726382
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Futures prices in a production economy with investment constraints
Kogan, Leonid; Livdan, Dmitry; Yaron, Amir - 2005
Persistent link: https://www.econbiz.de/10003082909
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Volatility and price jumps in agricultural futures prices : evidence from wheat options
Koekebakker, Steen; Lien, Gudbrand - In: American journal of agricultural economics 86 (2004) 4, pp. 1018-1031
Persistent link: https://www.econbiz.de/10002388555
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Using high, low, open and closing prices to estimate the effects of cash settlement on futures prices
Chan, Leo Tak-hung; Lien, Da-hsiang Donald - In: International review of financial analysis 12 (2003) 1, pp. 35-47
Persistent link: https://www.econbiz.de/10001769951
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Volatility, volume and maturity in electricity futures
Walls, W. David - In: Applied financial economics 9 (1999) 3, pp. 283-287
Persistent link: https://www.econbiz.de/10001454517
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Carbon future price return, oil future price return and stock index future price return in the U.S.
Wei, Ching Chun; Lin, Ya-Ling - In: International Journal of Energy Economics and Policy : IJEEP 6 (2016) 4, pp. 655-662
Persistent link: https://www.econbiz.de/10011550607
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Predicting volatility of the Shanghai silver futures market : what is the role of the U.S. options market?
Luo, Xingguo; Ye, Zinan - In: Finance research letters 15 (2015), pp. 68-77
Persistent link: https://www.econbiz.de/10011552969
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Volatility spillovers in US crude oil, ethanol, and corn futures markets
Trujillo-Barrera, Andrés; Mallory, Mindy; García, Philip - In: Journal of agricultural and resource economics : JARE ; … 37 (2012) 2, pp. 247-262
Persistent link: https://www.econbiz.de/10009675250