𝔖 Bobbio Scriptorium
✦   LIBER   ✦

A test of the Samuelson Hypothesis using realized range

✍ Scribed by Petko S. Kalev; Huu Nhan Duong

Publisher
John Wiley and Sons
Year
2008
Tongue
English
Weight
135 KB
Volume
28
Category
Article
ISSN
0270-7314

No coin nor oath required. For personal study only.

✦ Synopsis

Abstract

This study examines the Samuelson Hypothesis, which postulates that futures price volatility increases as the futures contract approaches its expiration. Investigating intraday data and drawing on the recently developed concept of realized range, this study provides empirical evidence regarding the Samuelson Hypothesis for 14 agricultural, metal, energy, and financial futures markets in six futures exchanges. While utilizing a nonparametric test, a simple linear regression model and a system of seemingly unrelated regressions, the study finds strong support for the Samuelson Hypothesis in agricultural futures. In contrast, no support for the Samuelson Hypothesis is observed in any of the metal and financial futures. Β© 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28:680–696, 2008

πŸ“œ SIMILAR VOLUMES

Testing the mixture-of-distributions hyp
Testing the mixture-of-distributions hypothesis using β€œrealized” volatility
✍ James C. Luu; Martin Martens πŸ“‚ Article πŸ“… 2003 πŸ› John Wiley and Sons 🌐 English βš– 163 KB

## Abstract The mixture‐of‐distributions hypothesis (MDH) posits that price volatility and trading volume are both subordinated to the same information arrival rate or β€œnews” process. Existing studies that test MDH have the problem that both the information arrival rate and volatility are unobserva

Testing the expectations hypothesis of t
Testing the expectations hypothesis of the term structure using instrumental variables
✍ John Driffill; Zacharias Psaradakis; Martin Sola πŸ“‚ Article πŸ“… 1998 πŸ› John Wiley and Sons 🌐 English βš– 129 KB πŸ‘ 1 views

This paper demonstrates, by means of Monte Carlo experimentation, that tests of the expectations hypothesis of the term structure based on instrumental variables regressions of the change in the short rate on the relevant lagged yield spread are prone to severe over-rejection when the term premium i

The incremental value of a futures hedge
The incremental value of a futures hedge using realized volatility
✍ Yu-Sheng Lai; Her-Jiun Sheu πŸ“‚ Article πŸ“… 2009 πŸ› John Wiley and Sons 🌐 English βš– 283 KB πŸ‘ 1 views

## Abstract A number of prior studies have developed a variety of multivariate volatility models to describe the joint distribution of spot and futures, and have applied the results to form the optimal futures hedge. In this study, the authors propose a new class of multivariate volatility models e