S. T. M. Straetmans, C. C. P. Wolff, and W. F. C. Verschoor, "Extreme U.S. Stock Market Fluctuations in the Wake of 9/11", Journal of Applied Econometrics, Vol. 23, No. 1, 2008, pp. 17-42. Our data have been downloaded from a pay site (www.quote.com) using the program Qcharts 5.1. However, using this program is not for free. Therefore, the extracted data cannot be made freely available to everyone. Intradaily stock price indices were downloaded at the half-hour frequency, rendering 13 prices per day (higher and lower data frequencies are also available in this database). We selected "closing" prices, i.e., prices observed at the end of each half-hour (one could also have chosen price quotes at the start of each half-hour interval). This half-hour sampling renders 13 prices per day (9.30am-3.30pm). The sample runs from 18/2/1999 (9.30 am) until 15/4/2004 (9.30am) which implies 16762 price observations. Overnight and weekend returns were linearly rescaled to the half-hour time horizon. The download codes for the sectors that have to be typed into the qcharts program are as follows: Dow Industrials (INDEX:INDU) Dow Transport (INDEX:TRAN) Dow Utilities (INDEX:UTIL) NASDAQ Computers (INDEX:IXCOX) NASDAQ biotechnology (INDEX:BTK.X) NASDAQ Insurance (INDEX:INSRX) NASDAQ Telecom (INDEX:IXTCX) NASDAQ Finance 100 (INDEX:IXF.x) NASDAQ Other Finance (INDEX:OFINX) Internet (INDEX:IIX.X) Oil (INDEX:XOI.X) NASDAQ Pharmaceuticals (INDEX:DRG.X) Airlines (INDEX:XAL.X) NYSE Composite (INDEX:NYA.X) Some of the codes might have changed since we downloaded the data. New code names can be found in the search or the help function of the extraction program. Three files are provided: The files unibeir.g and univariate.g contain gauss 6.0 computer programs. Explanations of what the programs do are given within the programs. Both files, which are ASCII files in DOS format, are zipped in the file swv-progs.zip. Unix users should use "unzip -a". Both programs were used for obtaining the univariate estimation and testing results, but the bivariate programs are fairly similar. unibeir.g: determination of the nuisance parameter for the Hill statistic using the Beirlandt et al. algorithm. univariate.g: estimation of Hill statistic, quantiles, and structural change and asymmetry tests. The file swv-appendix.pdf is a technical appendix which responds to questions of the referees.