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- W1970720512 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" @default.
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- W1970720512 date "2000-02-01" @default.
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- W1970720512 title "Time series volatility of commodity futures prices" @default.
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- W1970720512 doi "https://doi.org/10.1002/(sici)1096-9934(200002)20:2<127::aid-fut2>3.0.co;2-f" @default.
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