Browsing Working Papers by Author "Kogan, Leonid"

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    • Oil futures prices in a production economy with investment constraints 

      Kogan, Leonid; Livdan, Dmitry; Yaron, Amir (MIT Center for Energy and Environmental Policy Research, 2008)
      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 ...