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- W2802718792 abstract "While prior literature documents a link between macroeconomic news and price jumps, this paper demonstrates two channels through which economic announcements also manifest in volatility jumps. First, there is a strong coincidence of volatility jumps with scheduled announcements. Second, the mean jump size is an asymmetric function of the news surprise, with bad news resulting in larger jumps than good news. Furthermore, realized volatility (RV) and option‐implied volatility (IV) behave very differently over the days surrounding announcements. RV increases sharply on announcement days, while IV tends to decline consistent with the resolution of heightened uncertainty embedded in option prices." @default.
- W2802718792 created "2018-05-17" @default.
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- W2802718792 date "2018-04-18" @default.
- W2802718792 modified "2023-09-26" @default.
- W2802718792 title "Volatility jumps and macroeconomic news announcements" @default.
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- W2802718792 doi "https://doi.org/10.1002/fut.21922" @default.
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