Daal, Elton; Farhat, Joseph Basheer; Wei, Peihwang P. - Department of Economics and Finance, College of … - 2003
In his seminal article, Samuelson (1965) proposes the maturity effect that volatility of futures prices should increase as futures contract approaches expiration. This study provides new evidence on the maturity effect by examining a more extensive set of futures contracts over longer period...
