摘要 : This paper explores the effects of global economic policy uncertainty (GEPU) on conditional volatility in the gold futures market using Markov regime-switching GARCH-MIDAS models. The in-sample empirical results suggest that GEPU ... 展开
作者 | Ma~ Feng Lu~ Xinjie Wang~ Lu Chevallier~ Julien |
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作者单位 | |
期刊名称 | 《Journal of Forecasting》 |
总页数 | 16 |
语种/中图分类号 | 英语 / G303 |
关键词 | GARCH-MIDAS model GEPU gold futures market volatility Markov regime switching volatility forecasting |
馆藏号 | N2008EPST0000386 |