This paper examines the pattern of volatility over time of a series of commodity futures prices, and focuses in particular on the futures price variability as the maturity date of the futures contract approaches. Ina rational expectations model of asymmetric information, the paper provides...

This paper examines the effect of a change in the percentage of informed participants in an asset market on the variability of prices. The authors consider equilibrium in the asset market before the information is revealed to a subset of traders. They find that ex ante price variability is...