Does futures exhibit maturity effect? New evidence from an extensive set of US and foreign futures contracts
Author:
Publisher
Wiley
Subject
Economics and Econometrics,Finance
Reference17 articles.
1. The time pattern of hedging and the volatility of futures prices;Anderson;Review of Economic Studies,1983
2. Some determinants of the volatility of futures prices;Anderson;Journal of Futures Markets,1985
3. Maturity and refunding effects on treasury-bond futures price variance;Barnhill;Journal of Financial Research,1987
4. Mean reversion in equilibrium assets prices: Evidence from the futures term structure;Bessembinder;Journal of Finance,1995
5. Is there a term structure of futures volatilities? Reevaluating the Samuelson hypothesis;Bessembinder;Journal of Derivatives,1996
Cited by 36 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. Stochastic instability: a dynamic quantile approach;Empirical Economics;2024-09-10
2. Volatility dynamics in energy and agriculture markets: An analysis of domestic and global uncertainty factors;Journal of Financial Economic Policy;2024-08-21
3. Impact of night trading sessions on volatility of USD futures market in Thailand;JOURNAL OF INTERNATIONAL STUDIES;2024-03
4. A dynamic analysis of the distribution of commodity futures and spot prices;American Journal of Agricultural Economics;2022-03-10
5. Price Volatility Dependence Structure Change Among Agricultural Commodity Futures Due to Extreme Event: An Analysis with the Vine Copula;Lecture Notes in Computer Science;2022
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3