✦ LIBER ✦

Spread volatility in commodity futures: The length effect

✍ Scribed by Mark G. Castelino; Ashok Vora

Publisher: John Wiley and Sons
Year: 1984
Tongue: English
Weight: 443 KB
Volume: 4
Category: Article
ISSN: 0270-7314
DOI: 10.1002/fut.3990040105

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✦ Synopsis

Grauer

'The term "spread" is used to denote the difference in the price of two futures contracts, as "basis" denotes and Litzenberger (1979), and Stall (1979). the difference between the spot and futures price.

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