Forecasting the volatility of EUA futures with economic policy uncertainty using the GARCH-MIDAS model
Year of publication: |
2021
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Authors: | Liu, Jian ; Zhang, Ziting ; Yan, Lizhao ; Wen, Fenghua |
Published in: |
Financial innovation : FIN. - Heidelberg : SpringerOpen, ISSN 2199-4730, ZDB-ID 2824759-0. - Vol. 7.2021, Art.-No. 76, p. 1-19
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Subject: | Economic policy uncertainty | EUA | Futures | GARCH-MIDAS | Volatility forecasting | Volatilität | Volatility | Wirtschaftspolitik | Economic policy | Prognoseverfahren | Forecasting model | Wirtschaftsprognose | Economic forecast | Risiko | Risk | ARCH-Modell | ARCH model | Prognose | Forecast |
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