Time series volatility of commodity futures prices

Jane Black, Ian Tonks

Research output: Contribution to journalArticlepeer-review

5 Citations (SciVal)


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.
Original languageEnglish
Pages (from-to)127-144
JournalJournal of Futures Markets
Issue number2
Publication statusPublished - Feb 2000


Dive into the research topics of 'Time series volatility of commodity futures prices'. Together they form a unique fingerprint.

Cite this