Roman Liesenfeld and Robert C. Jung, "Stochastic Volatility Models: 
Conditional Normality versus Heavy-Tailed Distributions", Journal of
Applied Econometrics, Vol. 15, No. 2, 2000, pp. 137-160. 


The data set consists of six series described below:

Dai.txt:	Daily returns of the DAIMLER-BENZ stock 
		from the Frankfurt stock exchange covering the peroid
		2.1.1990 - 31.5.1994 ( 1095 observations). The 
		returns are calculated as the differences in the 
		logs of daily closing prices (*)              


Sie.txt:	Daily returns of the SIEMENS stock from 
		the Frankfurt stock exchange covering the period  
		2.1.1990 - 31.5.1994 ( 1095 observations).  The 
		returns are calculated as the differences in the 
		logs of daily closing prices (*)


Ibm.txt:	Daily returns of the IBM stock from the 
		New York stock exchange covering the period 
		1.1.1973 - 31.12.1991 (4693 observations).  The returns
		are calculated as the differences in the logs of daily
		closing prices.


Sp500.txt:	Daily returns of the STANDARD POOR'S COMPOSITE
		PRICE INDEX covering the period 2.1.1980 - 12.12.1987 
		(2023 observations).  The returns are calculated as 
		the differences  in the logs of daily closing 
		prices. The returns are adjusted as in Gallant 
		Rossi and Tauchen (1992), The Review of Financial 
		Studies 5.  


Usddm.txt:	Log-differences of the daily midday 
		spot rate for the US-Dollar/Deutsche Mark from 
		the Board of Governors of the Federal Reserve 
		System  covering the period 2.1.1980 - 31.5.1990 
		(2613 observations).  

Usdyen.txt:	Log-differences of the weekday 
		closing spot rates for the US-Dollar/Japanese Yen 
		covering the period 1.10.1981 - 28.6.1985 (945 observations).  


(*) The data on the closing prices for the Daimler and the Siemens stock
were obtained form the Karlsruher Kapitalmarktdatenbank (KKMDB). The KKMDB
is publicly funded and it is therefore not allowed to use the data for
commercial purposes.

All six data files, which are in DOS format, are contained in the file
ljdata.zip.

Further information and inquiries should be directed to

	Institut fuer Entscheidungstheorie u. Unternehmensforschung
	Universitaet Karlsruhe (TH)
	Prof. Dr. Hermann Goeppl
	Postfach 6980
	D-76128 Karlsruhe
	Germany

	http://finance.wiwi.uni-karlsruhe.de/Forschung/kkmdb.html