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
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author Zhang, Maojun
Zhao, Yang
Nan, Jiangxia
author_facet Zhang, Maojun
Zhao, Yang
Nan, Jiangxia
author_sort Zhang, Maojun
collection PubMed
description 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 Treasury futures and economic policy uncertainty play a significant role in the dynamics of long-run volatility in Treasury futures markets in China and United States.
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spelling pubmed-84149642021-09-03 Economic policy uncertainty and volatility of treasury futures Zhang, Maojun Zhao, Yang Nan, Jiangxia Rev Deriv Res Article 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 Treasury futures and economic policy uncertainty play a significant role in the dynamics of long-run volatility in Treasury futures markets in China and United States. Springer US 2021-09-03 2022 /pmc/articles/PMC8414964/ http://dx.doi.org/10.1007/s11147-021-09182-8 Text en © The Author(s), under exclusive licence to Springer Science+Business Media, LLC, part of Springer Nature 2021 This article is made available via the PMC Open Access Subset for unrestricted research re-use and secondary analysis in any form or by any means with acknowledgement of the original source. These permissions are granted for the duration of the World Health Organization (WHO) declaration of COVID-19 as a global pandemic.
spellingShingle Article
Zhang, Maojun
Zhao, Yang
Nan, Jiangxia
Economic policy uncertainty and volatility of treasury futures
title Economic policy uncertainty and volatility of treasury futures
title_full Economic policy uncertainty and volatility of treasury futures
title_fullStr Economic policy uncertainty and volatility of treasury futures
title_full_unstemmed Economic policy uncertainty and volatility of treasury futures
title_short Economic policy uncertainty and volatility of treasury futures
title_sort economic policy uncertainty and volatility of treasury futures
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8414964/
http://dx.doi.org/10.1007/s11147-021-09182-8
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AT zhaoyang economicpolicyuncertaintyandvolatilityoftreasuryfutures
AT nanjiangxia economicpolicyuncertaintyandvolatilityoftreasuryfutures

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