Wolfgang Karl Haerdle, Nikolaus Hautsch, and Andrija Mihoci, "Local 
Adaptive Multiplicative Error Models for High-Frequency Forecasts", 
Journal of Applied Econometrics, Vol. 30, No. 4, 2015, pp. 529-550.

The data files contain financial data (volume, price)
for five blue chips traded at the NASDAQ market in 2008.

Time span: 2 Jan 2008 -- 31 Dec 2008
Stocks: AAPL, CSCO, INTC, MSFT and ORCL
Sampling frequency: 1 minute (10:00-15:59)

There are two data files, hhm-prices.txt and hhm-volumes.txt. They are
ASCII files in DOS format. Both files are zipped in the file
hhm-data.zip. Unix/Linux users should use "unzip -a".

hhm-volumes.txt:
(i) volume series: cumulated volume for each minute

hhm-prices.txt:
(ii) price series: last observed price in a given minute

Each file is therefore a 90000x8 data matrix:

(a) Each row represents one trading minute,

    note: 250 trading days times 360 observations per day equals 90000 
    minutes in 2008

(b) Columns: YearMonth, Hour, Minute, AAPL, CSCO, INTC, MSFT, ORCL