Time series of commodity futures prices

Black, Jane and Tonks, Ian (1999) Time series of commodity futures prices. Financial Markets Group Discussion Papers (331). Financial Markets Group, The London School of Economics and Political Science, London, UK.

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Abstract

This paper 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 paper provides conditions under which the Samuelson hypothesis that the variability of futures prices increases as maturity approaches will be true.

Item Type:	Monograph (Discussion Paper)
Official URL:	https://www.fmg.ac.uk/
Additional Information:	© 1999 The Authors
Divisions:	Financial Markets Group
Subjects:	H Social Sciences > HC Economic History and Conditions H Social Sciences > HG Finance
JEL classification:	G - Financial Economics > G1 - General Financial Markets > G13 - Contingent Pricing; Futures Pricing
Date Deposited:	04 Jul 2023 11:33
Last Modified:	14 Sep 2024 04:33
URI:	http://eprints.lse.ac.uk/id/eprint/119117

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