Liu, Jian; Zhang, Ziting; Yan, Lizhao; Wen, Fenghua - In: Financial innovation : FIN 7 (2021), pp. 1-19
This study investigates the impact of economic policy uncertainty (EPU) on the volatility of European Union (EU) carbon futures prices and whether it has predictive power for the volatility of carbon futures prices. The GARCH-MIDAS model is applied for evaluating the impact of different EPU...