Futures Prices in a Production Economy with Investment Constraints
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We document a new stylized fact regarding the term-structure of futures volatility. We show that the relation 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 models that
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美国国家经济研究局创建时间：
2005-08-01
