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Time series of commodity futures prices

Author

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  • Black, Jane
  • Tonks, Ian

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.

Suggested Citation

  • Black, Jane & Tonks, Ian, 1999. "Time series of commodity futures prices," LSE Research Online Documents on Economics 119117, London School of Economics and Political Science, LSE Library.
    • Handle: RePEc:ehl:lserod:119117
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    File URL: http://eprints.lse.ac.uk/119117/
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    References listed on IDEAS

    as
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    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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