Ole E. Barndorff-Nielsen and Neil Shephard, "Estimating Quadratic Variation
Using Realised Variance", Journal of Applied Econometrics, Vol. 17, No. 5, 
2002, pp. 457-477.

The sources of the Olsen data are proprietary and therefore redistribution of
these data is not permitted. 

The data can be purchased from Olsen and Associates

	http://www.olsen.ch/
	
and enquiries about data can be directed to

    data-info@olsen.ch
    http://www.olsendata.com/
    
and
  
    Olsen Data AG, 
    Seefeldstrasse 233, 
    CH-8008 Zurich. 

The file bns.zip contains the data file djia.dat and the Ox program
files ssf_main.ox, se_realised.ox and schwert.ox. These are ASCII files in
DOS format. Unix users should use "unzip -a".

The file djia.dat contains data taken from the Dow Jones website on 7th Feb
2002. Copyright is owned by Dow Jones & Company.

The first line contains the number of observations and the number of
columns. Remaining lines contain the year, month, day, and index value at
close of trading. These data are for the period May 26th 1896 to Feb 6th
2002.