Does futures exhibit maturity effect? New evidence from an extensive set of US and foreign futures contracts
نویسندگان
چکیده
منابع مشابه
The Relation Between Volatility and Maturity in Futures Contracts
Some students of futures markets believe that the volatility of futures prices increases as the futures contract nears maturity (see Telser, 1956; Segall, 1956; and Samuelson, 1965). Samuelson offers an explanation for the existence of the variability effect as reviewed in Section 1 of the paper. His hypothesis about the behavior of futures prices requires that the stochastic process characteri...
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ژورنال
عنوان ژورنال: Review of Financial Economics
سال: 2006
ISSN: 1058-3300
DOI: 10.1016/j.rfe.2005.03.001