Oil futures prices in a production economy with investment constraints
We document a new stylized fact regarding the term structure of futures volatility. We show that the relationship between the volatility of futures prices and the slope of the term structure of prices is non-monotone and has a "V-shape." This aspect of the data cannot be generated by basic...
| Principais autores: | , , |
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| Outros Autores: | |
| Formato: | Working Paper |
| Publicado em: |
MIT Center for Energy and Environmental Policy Research
2009
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| Acesso em linha: | http://hdl.handle.net/1721.1/45517 |