Mart Demirer, Francis X. Diebold, Laura Liu, and Kamil Yilmaz, "Estimating Global Bank Network Connectedness", Journal of Applied Econometrics, Vol. 33, No. 1, 2018, pp. 1-15. The data used in this paper combine two sources. The data for stock prices are from Thomson Reuters, and the data for bond prices are from Bloomberg. The raw data consist of daily high, low, open and close prices, from which we calculate daily volatility series for each bank stock and government bond according to the formula in equation (6) in the main text. The series in ddly-data.csv are the calculated daily range volatility series for the assets we include in our paper.