Economic policy uncertainty and volatility of treasury futures

This paper investigates the relation between Treasury futures market volatility and economic policy uncertainty using GARCH-MIDAS. We formulated models with the realized volatility of Treasury futures, the level and volatility of economic policy uncertainty. We find that the realized volatility of T...

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Detalles Bibliográficos
Autores principales: Zhang, Maojun, Zhao, Yang, Nan, Jiangxia
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer US 2021
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8414964/
http://dx.doi.org/10.1007/s11147-021-09182-8

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8414964/
http://dx.doi.org/10.1007/s11147-021-09182-8

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