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Volatility jumps and the classification of monetary policy announcements

The dataset is used to analyze the impact of monetary policy announcements on volatility jumps. It contains intradaily realized volatility and jump-robust measures for several assets.

Data and Resources

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Cite this as

Giampiero M. Gallo, Demetrio Lacava, Edoardo Otranto (2024). Dataset: Volatility jumps and the classification of monetary policy announcements. https://doi.org/10.57702/0kb4o85p

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It is available for use in manuscripts, and will be published when the Dataset is made public.

Additional Info

Field	Value
Created	December 17, 2024
Last update	December 17, 2024
Defined In	https://doi.org/10.48550/arXiv.2305.12192
Author	Giampiero M. Gallo
More Authors	Demetrio Lacava Edoardo Otranto