Jerome Lahaye, Sebastien Laurent, and Christopher J. Neely, "Jumps, 
Cojumps and Macro Announcements", Journal of Applied Econometrics, Vol. 
26, No. 6, 2011, pp. 893-921.

Two types of data are used in the paper:

1) high-frequency asset price data; and
2) macroeconomic announcements and MMS survey expectations.

These data were purchased from vendors and may not be redistributed.

The high-frequency asset price data consist of the following 8 series:

1) Dem/USD (pre-1999) and USD/EUR (post-1999). The paper refers to this
series simply as USD/EUR, although we used the DEM/USD as the predecessor
to the USD/EUR, prior to 1999.

2) JPY/USD

3) USD/GBP

4) CHF/USD

5) Dow Jones (DJ) futures, traded on the CBOT

6) U.S. Treasury bond (US) futures, traded on the CBOT

7) Nasdaq (ND) futures, traded on the CME

8) S&P 500 futures, traded on the CME.

The FX data were purchased from Olsen and Associates:

  http://www.olsendata.com/index.html?readme_hfdf1993.

The equity and bond futures data were purchased from Disk Trading:

  http://disktrading.is99.com/disktrading/
  
The Disk Trading ND and SP futures data were augmented by Globex data, which
were purchased directly from the CME:

  http://www.cmegroup.com/market-data/datamine-historical-data/
  
The Appendix (in appendix-lln.pdf) describes how we manipulated the asset
price data to delete periods of inactivity.

The 26 U.S. macroeconomic release series, MMS survey expectations, dates and
times of announcements were purchased from Haver Analytics, as part of a
larger data package:

  http://www.haver.com/

See Table 2 in the Appendix.