Anne Opschoor, Dick van Dijk and Michel van der Wel, "Combining
Density Forecasts using Focused Scoring Rules", Journal of Applied
Econometrics, Vol. 31, No. 7, 2017, pp. 1298-1313.

The data consists of daily (close-to-close) returns of the S&P500,
DJIA, FTSE and Nikkei index during the period 3/1/2000 to 28/6/2013,
as well as high-frequency based Realized Kernel (see Barndforr-Nielsen
et al; 2008) estimates of the daily variance of the four indexes.  

  Barndorff-Nielsen, O.E., P.R. Hansen, A. Lunde and N. Shephard
  (2008), Designing re- alised kernels to measure the ex-post
  variation of equity prices in the presence of noise, Econometrica
  76, 1481-1536.

We downloaded the daily returns and the corresponding realised kernel
variances from the Oxford-Man Institute's "realised library"
at http://realized.oxford-man.ox.ac.uk/.

Days on which the exchange is closed are deleted from the sample. 

The data are organized in 4 Comma Separated Values (.csv) files :

SP500_return_and_RK: returns and realized kernel variances of the
SP500 index The first column contains the dates, followed by the
C-to-C returns (in percentages) and Realized Kernel variance (times
10000), respectively. 

DJIA_return_and_RK: returns and realized kernel variances of the DJIA
index The first column contains the dates, followed by the C-to-C
returns (in percentages) and Realized Kernel variance (times 10000),
respectively. 

FTSE_return_and_RK: returns and realized kernel variances of the FTSE
100 index The first column contains the dates, followed by the C-to-C
returns (in percentages) and Realized Kernel variance (times 10000),
respectively. 

NIKKEI_return_and_RK: returns and realized kernel variances of the
Nikkei index The first column contains the dates, followed by the
C-to-C returns (in percentages) and Realized Kernel variance (times
10000), respectively. 

All files are ASCII files in DOS format. They are zipped in the file
odw-data.zip.  Unix/Linux users should use "unzip -a".


Anne Opschoor
a.opschoor [AT] vu.nl