Factors affecting agricultural futures price variance

✍ Scribed by David Kenyon; Kenneth Kling; Jim Jordan; William Seale; Nancy McCabe

• Book ID: 102843897
• Publisher: John Wiley and Sons
• Year: 1987
• Tongue: English
• Weight: 988 KB
• Volume: 7
• Category: Article
• ISSN: 0270-7314
• DOI: 10.1002/fut.3990070108

✦ Synopsis

or some time the only theory of futures price variability was the Samuelson F (1965) hypothesis that the variance of futures prices is a decreasing function of time to maturity. Even though an empirical study by Rutledge (1976) provided evidence against the hypothesis as a general characteristic of futures prices, and later studies provided mixed evidence (Grauer, 1977, Miller, 1979, Milonas, 1984, and Hauser and Andersen, 1984), the hypothesis remained credible, perhaps because of its distinguished origin and intuitive appeal.

More recently, the more general 'state variable' hypothesis has emerged in the work of Stein (1979), Richard and Sundaresan (1980) and Anderson and Danthine (1983). This hypothesis states that the variance of futures prices depends on the