Wang, Xinyu; Zhang, Lele; Cheng, Qiuying; Shi, Song; … - In: Journal of applied economics 25 (2022) 1, pp. 454-475
Modeling futures market risk simultaneously influenced by macro low-frequency information and daily risk factors is a valuable challenge. We propose a new general framework for it based on the flexible GARCH-MIDAS model. It uses a skewed t distribution to describe the asymmetry of long and short...