Time series volatility of commodity futures prices

Jane Black, Ian Tonks

Research output: Contribution to journalArticle

4 Citations (Scopus)

Abstract

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
Volume20
Issue number2
DOIs
Publication statusPublished - Feb 2000

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