EPUs Impact
The Tree-based GARCH-MIDAS model reveals that high economic policy uncertainty weakens the response of asset volatility to macroeconomic variables, improving volatility predictions over longer periods.
Featured in No. 66 on 18 Sep 2024 · 1 day after release
- Released
- 17 Sep 2024
- First featured
- No. 66 · 18 Sep 2024
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 2
- Identifier
- SSRN 4959148
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).