Marco Bee, Debbie J. Dupuis, and Luca Trapin, "Realized Extreme
Quantile: A Joint Model for Conditional Quantiles and Measures of
Volatility with EVT Refinements", Journal of Applied Econometrics,
Vol. 33, No. 3, 2018, pp. 398-415.

The data used in this paper are obtained from the Oxford-Man Institute
"Realized Library" version 0.2 (http://realized.oxford-man.ox.ac.uk/).
The analysis in the paper is based on data for 2000-2014.

We consider the following 17 stock indices.

STOCK EXCHANGE              FILENAME  NUMBER OF OBSERVATIONS
Amsterdam Exchange Index     AEX.txt    3816 
All Ordinaries Index         AOI.txt    3743 
Bovespa Index                BVP.txt    3664 
CAC40                        CAC.txt    3817 
DAX30                        DAX.txt    3795 
Dow Jones Industrial         DJ.txt     3746 
Euro Stoxx 50                ESX.txt    3794 
FTSE MIB                     MIB.txt    3778 
FTSE100                      FT.txt     3764
IBEX35                       IBX.txt    3782
IPC Mexico                   IPC.txt    3748
Korea Composite Index        KCI.txt    3690
Nasdaq 100                   NSQ.txt    3747
Nikkei 225                   NK.txt     3630
Russel 2000 Index            RUS.txt    3745
SP500                        SPX.txt    3744
Swiss Market Index           SMI.txt    3749

For each stock index, we provide a .txt file containing the following
information: "date", the date of the recorded observation in "yyyy-mm-dd"
format; "return", the open-to-close return; "RV", the daily realized 
variance; "BV", the daily bipower variation; "DR", the daily range;
"RK", the daily realized kernel.

The data files listed above are ASCII files in DOS format. They are
zipped in the file bdt-data.zip. Unix/Linux users should use "unzip -a".

luca.trapin [AT] sns.it