✦ LIBER ✦

Time series volatility of commodity futures prices

✍ Scribed by Black, Jane; Tonks, Ian

Publisher: John Wiley and Sons
Year: 2000
Tongue: English
Weight: 217 KB
Volume: 20
Category: Article
ISSN: 0270-7314
DOI: 10.1002/(sici)1096-9934(200002)20:2<127::aid-fut2>3.0.co;2-f

No coin nor oath required. For personal study only.

✦ Synopsis

This article examines the pattern of volatility over time of a series of commodity futures prices, and focuses in particular on the futures price variability as the maturity date of the futures contract approaches. In a rational expectations model of asymmetric information, the article provides conditions under which the Samuelson hypothesis-that the variability of futures prices increases as maturity approaches-will be true.

📜 SIMILAR VOLUMES

Partially overlapping time series: a new

Partially overlapping time series: a new model for volatility dynamics in commodity futures

✍ Aaron Smith 📂 Article 📅 2005 🏛 John Wiley and Sons 🌐 English ⚖ 165 KB

## Abstract In commodity futures markets, contracts with various delivery dates trade simultaneously. Applied researchers typically discard the majority of the data and form a single time series by choosing only one price observation per day. This strategy precludes a full understanding of these ma

Volatility dynamics of NYMEX natural gas

Volatility dynamics of NYMEX natural gas futures prices

✍ Hiroaki Suenaga; Aaron Smith; Jeffrey Williams 📂 Article 📅 2008 🏛 John Wiley and Sons 🌐 English ⚖ 440 KB 👁 1 views

## Abstract We examine the volatility dynamics of NYMEX natural gas futures prices via the partially overlapping time‐series model of Smith (2005. Journal of Applied Econometrics, 20, 405–422). We show that volatility exhibits two important features: (1) volatility is greater in the winter than in

The realized volatility of FTSE-100 futu

The realized volatility of FTSE-100 futures prices

✍ Nelson M. P. C. Areal; Stephen J. Taylor 📂 Article 📅 2002 🏛 John Wiley and Sons 🌐 English ⚖ 265 KB 👁 1 views

## Abstract Five‐minute returns from FTSE‐100 index futures contracts are used to obtain accurate estimates of daily index volatility from January 1986 to December 1998. These realized volatility measures are used to obtain inferences about the distributional and autocorrelation properties of FTSE‐

The time series behaviour of asset price

The time series behaviour of asset prices: evidence from UK futures markets

✍ Patricia Fraser; Andrew J. McKaig 📂 Article 📅 1998 🏛 John Wiley and Sons 🌐 English ⚖ 205 KB 👁 2 views

Using daily settlement prices for a range of real and ®nancial futures over the period 6 April 1981±31 October 1995, this paper considers the extent to which, ex post, asset prices depart from random behaviour and investigates the ef®ciency of the markets within which the prices of the assets are de

Arbitrage, cointegration, and the joint

Arbitrage, cointegration, and the joint dynamics of prices across discrete commodity futures auctions

✍ Low, Aaron H. W.; Muthuswamy, Jayaram; Webb, Robert I. 📂 Article 📅 1999 🏛 John Wiley and Sons 🌐 English ⚖ 218 KB 👁 1 views

Underlying the search for arbitrage opportunities across commodity futures markets that differ in market structure is the idea that the futures prices for similar commodities that are traded on different exchanges adjusted for differences in currency, delivery time (if any), location, and market str

A note: Do futures prices always reflect

A note: Do futures prices always reflect the cheapest deliverable grade of the commodity?

✍ Betsey A. Kuhn 📂 Article 📅 1988 🏛 John Wiley and Sons 🌐 English ⚖ 292 KB 👁 2 views

## DO FUTURES PRICES ALWAYS REFLECT THE CHEAPEST DELIVERABLE GRADE OF THE COMMODITY? his note concerns the price behavior of multi-grade futures contracts. the cash price of the least expensive quality of the commodity deliverable on the futures contract, allowing for any quality differentials sp