The Effect of Maturity on Price Fluctuations
โ Scribed by Joel Segall
- Book ID
- 124672718
- Publisher
- University of Chicago Press
- Year
- 1956
- Tongue
- English
- Weight
- 176 KB
- Volume
- 29
- Category
- Article
- ISSN
- 0021-9398
- DOI
- 10.2307/2350667
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
Nikolaos T. Milonas\* he hypothesis that price variability increases as time to maturity nears-the T so-called "maturity effect"-has important implications on the behavior of futures prices. This article derives the theoretical basis for this effect in line with Samuelson's (1965) arguments, develop
Barley, flaxseed, rapeseed, and rye arc Canadian (Winnipeg) commodities. Winnipeg conducts the only barley and rye futures markets in the world, and the only flaxseed futures market in North America. 'Whcn the overall volatility variable, 0: 6.monrh, is omitted from the regression equation, the adju