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

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

DOI retrieved: December 17, 2024

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
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Demetrio Lacava
Edoardo Otranto