Tim Bollerslev, Andrew J. Patton, and Wenjing Wang, "Daily House Price
Indices: Construction, Modeling and Longer-run Predictions", Journal
of Applied Econometrics, Vol. 31, No. 6, 2016, pp. 1005-1025.

The original housing transaction data used in this paper were bought
from DataQuick, which has been acquired by CoreLogic, Inc. The data
are proprietary, and information concerning the access to DataQuick
applications can be obtained from CoreLogic website
(http://www.corelogic.com/landing-pages/dataquick.aspx). At the time
of writing, the latest house transaction month is October 2012. Data
of each geographic area has a different starting date. Table A.2 in
Supplementary Appendix provides a detailed data description, including
time span and number of observations, of the 10 Metropolitan
Statistical Areas (MSAs) studied in this paper; this is contained
in the file bollerslev-patton-wang-table-A2.pdf.

The daily house price index series used in this paper were constructed
based on DataQuick housing transaction data. The index of each MSA is
held in a file named "Daily_house_price_index_XX_MSA.txt", where "XX"
denotes the short name of a specific MSA. Each file contains 2
columns. One is time variable named "Date", which is in
"date-month-year" format. The other is the daily house price index
held in variable "Daily Index".

The following ASCCI files in DOS format are zipped in the file
bpw-data.zip. Unix/Linux users should use "unzip -a".

  Daily_house_price_index_Boston_MSA.txt
  Daily_house_price_index_Chicago_MSA.txt
  Daily_house_price_index_Denver_MSA.txt
  Daily_house_price_index_Las Vegas_MSA.txt
  Daily_house_price_index_Los Angeles_MSA.txt
  Daily_house_price_index_Miami_MSA.txt
  Daily_house_price_index_New York_MSA.txt
  Daily_house_price_index_San Diego_MSA.txt
  Daily_house_price_index_San Francisco_MSA.txt
  Daily_house_price_index_WashingtonDC_MSA.txt