Charlotte Christiansen, Maik Schmeling, and Andreas Schrimpf: "A 
Comprehensive Look at Financial Volatility Prediction by Economic 
Variables", Journal of Applied Econometrics, Vol. 27, No. 6, 2012,
pp. 956-977.

The data are provided in three plain ASCII files in DOS format:

The file css_rvpr_l.txt (173 KB) contains U.S. equity market (SP500) 
realized volatility plus 13 macro-finance variables for the long
12/1926-12/2010 sample. 

The file css_rvpr_s.txt (137 KB) additionally contains realized
volatility series for several asset classes (commodity markets, bond
markets and FX markets) for the short 01/1983-12/2010 sample. It also
contains 29 additional macro-finance variables. 

The file css_rvq_l.txt (19 KB) contains the realized volatility series
for different asset classes (equities, commodities, FX and bonds) at a
quarterly sampling frequency (Q4/1926-Q4/2010 and Q1/1983-Q4/2010).

The Online Appendix (CSS_Online_Appendix.pdf) contains 
supplementary material to accompany the main paper. A list and
overview of the variables including the abbreviations used in the
dataset and in the paper is provided in Table IA.1 (section B) of the
Online Appendix. Further details on the construction of the dataset as
well as the data sources are given in Table IA.2 of section B of the
Online Appendix.

The data files are zipped in the file css-data.zip. Unix/Linux users
should use "unzip -a".


Authors

Charlotte Christiansen
Department of Economics and Business and CREATES
Business and Social Sciences
Aarhus University

cchristiansen [AT] creates.au.dk


Maik Schmeling
Department of Economics
Leibniz University Hannover

schmeling [AT] gif.uni-hannover.de


Andreas Schrimpf
Monetary and Economic Department
Research and Statistics
Bank for International Settlements (BIS) and CREATES

andreas.schrimpf [AT] bis.org