Economic policy uncertainty and volatility of treasury futures

Review of Derivatives Research(2021)

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摘要
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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关键词
Economic policy uncertainty, Treasury futures, Volatility, Mixed frequency regression
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