TY - JOUR
T1 - Time series volatility of commodity futures prices
AU - Black, Jane
AU - Tonks, Ian
PY - 2000/2
Y1 - 2000/2
N2 - This article 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. In a rational expectations model of asymmetric information, the article provides conditions under which the Samuelson hypothesis—that the variability of futures prices increases as maturity approaches—will be true.
AB - This article 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. In a rational expectations model of asymmetric information, the article provides conditions under which the Samuelson hypothesis—that the variability of futures prices increases as maturity approaches—will be true.
UR - http://dx.doi.org/10.1002/(SICI)1096-9934(200002)20:2<127::AID-FUT2>3.0.CO;2-F
U2 - 10.1002/(SICI)1096-9934(200002)20:2<127::AID-FUT2>3.0.CO;2-F
DO - 10.1002/(SICI)1096-9934(200002)20:2<127::AID-FUT2>3.0.CO;2-F
M3 - Article
SN - 0270-7314
VL - 20
SP - 127
EP - 144
JO - Journal of Futures Markets
JF - Journal of Futures Markets
IS - 2
ER -