Time series volatility of commodity futures prices
研究了商品期货价格波动随时间变化的模式，重点分析到期日临近时价格波动是否增大，并给出萨缪尔森假说成立的条件。
This article 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. In a rational expectations model of asymmetric information, the article provides conditions under which the Samuelson hypothesis—that the variability of futures prices increases as maturity approaches—will be true. © 2000 John Wiley & Sons, Inc. Jrl Fut Mark 20: 127–144, 2000