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...

For six important energy futures markets, this study examines whether large price movements (i.e., jumps) are related to the arrival and information content of scheduled macroeconomic announcements. Since prior studies by Kilian and Vega [(2011) Review of Economics and Statistics, 93, 660–671]...