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Volatility jumps and macroeconomic news announcements |
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| Authors: | Kam F Chan Philip Gray |
| Institution: | 1. University of Queensland Business School, The University of Queensland, St Lucia, Queensland, Australia;2. Department of Banking and Finance, Monash Business School, Monash University, Melbourne, Victoria, Australia |
| Abstract: | |
| Keywords: | implied volatility macroeconomic news announcements price jumps realized volatility volatility jumps |