Time series volatility of commodity futures prices

Jane Black and Ian Tonks

Journal of Futures Markets, 2000, vol. 20, issue 2, 127-144

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. © 2000 John Wiley & Sons, Inc. Jrl Fut Mark 20: 127–144, 2000

Date: 2000
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Working Paper: Time Series Volatility Commodity Futures Prices (1999)
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