Liu, Ruobing; Yang, Jianhui; Ruan, Chuan-Yang - In: International Journal of Financial Studies 7 (2019) 4, pp. 1-14
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 volatility....