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. Ina 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.
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Paper provided by Financial Markets Group in its series FMG Discussion Papers with number
dp331.
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