Influencing Factors Analysis of Crude Oil Futures Price Volatility Based on Mixed-Frequency Data
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, establishes a new GARCH-MIDAS model with the...
| Main Authors: | , , , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2020-11-01
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| Series: | Applied Sciences |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2076-3417/10/23/8393 |