Economic policy uncertainty and volatility of treasury futures
نویسندگان
چکیده
This paper investigates the relation between Treasury futures market volatility and economic policy uncertainty using GARCH-MIDAS. We formulated models with realized of futures, level uncertainty. find that play a significant role in dynamics long-run markets China United States.
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ژورنال
عنوان ژورنال: Review of Derivatives Research
سال: 2021
ISSN: ['1380-6645', '1573-7144']
DOI: https://doi.org/10.1007/s11147-021-09182-8