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Economic policy uncertainty and volatility of treasury futures |
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| Authors: | Zhang Maojun Zhao Yang Nan Jiangxia |
| Affiliation: | 1.School of Business, Suzhou University of Science and Technology, Xuefu Road 99, Huqiu District, Suzhou, 215009, Jiangsu Province, China ; |
| Abstract: | Review of Derivatives Research - This paper investigates the relation between Treasury futures market volatility and economic policy uncertainty using GARCH-MIDAS. We formulated models with the... |
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