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Is there a maturity effect in the price of the S&P 500 futures contract?
9 references·0 citing·31 second hop
Is there a maturity effect in the price of the S&P 500 futures contract? (2001)Is there a maturity effect in the price o…The Distribution of Exchange Rate Volatility (1999)The Distribution of Exchange …Futures prices and the maturity effect (1996)Futures prices and the maturi…MATURITY AND REFUNDING EFFECTS ON TREASURY‐BOND FUTURES PRICE VARIANCE (1987)MATURITY AND REFUNDING EFFECT…Factors affecting agricultural futures price variance (1987)Factors affecting agricultura…Price variability and the maturity effect in futures markets (1986)Price variability and the mat…Some determinants of the volatility of futures prices (1985)Some determinants of the vola…Basis speculation in commodity futures: The maturity effect (1982)Basis speculation in commodit…The Relation Between Volatility and Maturity in Futures Contracts (1979)The Relation Between Volatili…A Note on the Variability of Futures Prices (1976)A Note on the Variability of …Estimating stock index futures volatility through the prices of their options (1985)BASIS VOLATILITY: IMPLICATIONS FOR HEDGING (1989)Empirical Testing of the Samuelson Hypothesis: An Application to Futures Markets in Australia, Singapore and the UK (2002)Proof that Properly Anticipated Prices Fluctuate Randomly (2015)The Determinants of the Variability of Stock Market Prices (1980)The Time Pattern of Hedging and the Volatility of Futures Prices (1983)The Distribution of Futures Prices: A Test of the Stable Paretian and Mixture of Normals Hypotheses (1989)Estimating time‐varying optimal hedge ratios on futures markets (1991)Fundamentals and Volatility: Storage, Spreads, and the Dynamics of Metals Prices (1994)Information, futures prices, and stabilizing speculation (1978)Hedging and the Competitive Firm under Price Uncertainty (1979)Nonlinear dynamics of daily futures prices: Conditional heteroskedasticity or chaos? (1993)Volatility in Wheat Spot and Futures Markets, 1950-1993: Government Farm Programs, Seasonality, and Causality (1996)Price spread and convenience yield behaviour in the international oil market (2001)The Analysis of Economic Time-Series-Part I: Prices (1953)COMMODITY FUTURES: TRENDS OR RANDOM WALKS? (1970)Conjectured Models for Trends in Financial Prices, Tests and Forecasts (1980)Variability in soybean futures prices: An integrated framework (1992)The Behavior of Stock-Market Prices (1965)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Consistent ranking of volatility models (2005)Forecasting Financial Volatilities with Extreme Values: The Conditional Autoregressive Range (CARR) Model (2005)Brownian Motion and Stochastic Calculus (2007)Realising the future: forecasting with high‐frequency‐based volatility (HEAVY) models (2010)Rank Correlation Methods. (1957)Foreign exchange futures volatility: Day-of-the-week, intraday, and maturity patterns in the presence of macroeconomic announcements (1999)The predictive power of value-at-risk models in commodity futures markets (2010)Hedging the black swan: Conditional heteroskedasticity and tail dependence in S&P500 and VIX (2011)Samuelson Hypothesis and Carry Arbitrage (2012)Grain Price Expectations of Illinois Farmers and Grain Merchandisers (1990)What Explains the Rise in Food Price Volatility? (2010)
this work references cited by second hop

References

  • 1999The Distribution of Exchange Rate Volatility462 cited
  • 1985Some determinants of the volatility of futures prices236 cited
  • 1986Price variability and the maturity effect in futures markets134 cited
  • 1987Factors affecting agricultural futures price variance96 cited
  • 1976A Note on the Variability of Futures Prices87 cited
  • 1996Futures prices and the maturity effect69 cited
  • 1982Basis speculation in commodity futures: The maturity effect50 cited
  • 1979The Relation Between Volatility and Maturity in Futures Contracts23 cited
  • 1987MATURITY AND REFUNDING EFFECTS ON TREASURY‐BOND FUTURES PRICE VARIANCE23 cited

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