报告人：张茂军 教授 （苏州科技大学）

报告时间：2021年12月23日 ，15：00

报告地点：腾讯会议：903800011

摘要：This paper investigates the relation between Treasury futures market volatility and economic policy uncertainty using GARCH-MIDAS. We formulated models with the realized volatility of Treasury futures, the level and volatility of economic policy uncertainty. We find that the realized volatility of Treasury futures and economic uncertainty play a significant role in the dynamics of long-run volatility in Treasury futures markets in China and United States.

报告人简介：张茂军，苏州科技大学商学院教授。学术兼任中国优选法统筹法与经济数学研究会量化金融与保险分会理事。研究方向为金融数学、金融科技等，在Journal of Computational and Applied Mathematics，Review of Derivatives Research等国际金融和数学期刊发表20余篇论文，主持国家自然科学基金3项，获得“广西高等教育教学成果”三等奖和“广西科学技术奖”二等奖。