4 Art�culos

Influencing Factors Analysis of Crude Oil Futures Price Volatility Based on Mixed-Frequency Data

Acceso

en l�nea

Congxin Wu, Xinyu Wang, Shan Luo, Jing Shan and Feng Wang

This article takes into account the form of mixed data as well as the peak and thick tail characteristics contained in the data characteristics, expands the GARCH-MIDAS (Generalized Autoregressive Conditional Heteroskedasticity-Mixed Data Sampling) model... ver m�s

Revista: Applied Sciences Formato: Electr�nico

Tabla de contenido: Vol: 10 Num: 0 Par: 23 A�o: 2020

The Impact of Macroeconomic News on Chinese Futures

Acceso

en l�nea

Ruobing Liu, Jianhui Yang and Chuan-Yang Ruan

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 t... ver m�s

Revista: International Journal of Financial Studies Formato: Electr�nico

Tabla de contenido: Vol: 7 Num: 0 Par: 4 A�o: 2019

Long- and Short-Term Cryptocurrency Volatility Components: A GARCH-MIDAS Analysis

Acceso

en l�nea

Christian Conrad, Anessa Custovic and Eric Ghysels

Revista: Journal of Risk and Financial Management Formato: Electr�nico

Tabla de contenido: Vol: 11 Num: 2 Par: June A�o: 2018

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