The Impact of Macroeconomic News on Chinese Futures
Inspired by the GARCH-MIDAS model, we revisit the relationship between Chinese futures and macroeconomic factors. We introduce the level of the macroeconomic variables into the GARCH-MIDAS model in order to test the impact of the macroeconomic level on the variance of futures’ return volatilit...
Na minha lista:
| Principais autores: | , , |
|---|---|
| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
MDPI AG
2019-10-01
|
| coleção: | International Journal of Financial Studies |
| Assuntos: | |
| Acesso em linha: | https://www.mdpi.com/2227-7072/7/4/63 |
| Tags: |
Sem tags, seja o primeiro a adicionar uma tag!
|