Time series of commodity futures prices

Jane Black and Ian Tonks

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

Abstract: 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. In a 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.

JEL-codes: G13 (search for similar items in EconPapers)
Pages: 18 pages
Date: 1999-08-01
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Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:119117

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