Time diversification which is the idea of there being less riskiness over longer investment horizons is examined in this paper. Different from previous studies, this paper contributes to the literature by using the Aumann and Serrano index as a risk measure to examine whether there is any time...

Cointegration analysis is used to study the spot and futures price relationships for two storable commodities, corn and soybeans, and a nonstorable commodity, live hogs, over a 13-year period, 1980 to 1992. For corn and soybeans, cointegration is found in most pre-harvest contracts (July), and...