@Article{cmc.2019.06118,
AUTHOR = {Maojun Zhang, Jiajin Yao, Zhonghang Xia, Jiangxia Nan, Cuiqing Zhang},
TITLE = {The Volatility of High-Yield Bonds Using Mixed Data Sampling Methods},
JOURNAL = {Computers, Materials \& Continua},
VOLUME = {61},
YEAR = {2019},
NUMBER = {3},
PAGES = {1233--1244},
URL = {http://www.techscience.com/cmc/v61n3/36269},
ISSN = {1546-2226},
ABSTRACT = {It is well known that economic policy uncertainty prompts the volatility of the high-yield bond market. However, the correlation between economic policy uncertainty and volatility of high-yield bonds is still not clear. In this paper, we employ GARCH-MIDAS models to investigate their correlation with US economic policy uncertainty index and S&P high-yield bond index. The empirical studies show that mixed volatility models can effectively capture the realized volatility of high-yield bonds, and economic policy uncertainty and macroeconomic factors have significant effects on the long-term component of high-yield bonds volatility.},
DOI = {10.32604/cmc.2019.06118}
}