Karali, Berna; Thurman, Walter N. - In: Journal of Agricultural and Resource Economics 35 (2010) 2
We analyze the determinants of daily futures price volatility in corn, soybeans, wheat, and oats markets from 1986 to … that allows us to clearly distinguish among time-to-delivery effects, seasonality, calendar trend, and volatility … persistence. We find strong evidence of time-to-delivery (Samuelson) effects and systematic seasonal components with volatility …