English, Article, Journal or magazine article edition: Time Series Volatility Commodity Futures Prices Ian Tonks; Jane Black

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Bookmark: http://trove.nla.gov.au/version/45278
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Time Series Volatility Commodity Futures Prices
Author
  • Ian Tonks
  • Jane Black
Physical Description
  • preprint
Notes
  • 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 conditions under which the Samuelson hypothesis - that the variability of futures prices increases as maturity approaches - will be true.
  • RePEc:fmg:fmgdps:dp331
Language
  • English
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