Roberto A. De Santis and Srecko Zimic, "Spillovers among Sovereign
Debt Markets: Identification through Absolute Magnitude Restrictions",
Journal of Applied Econometrics, Vol. 33, No. 5, 2018, pp. 727-747.

The data include 17 time series:
 
-- 1 to 12 are the 10-year sovereign country benchmark yields (Source:
Thomson Reuters)

-- 13 to 15 are the 3-month OIS rate for the euro area, the US and the
UK (Source: Thomson Reuters)

-- 16 to 17 are the G10 Citibank news and the oil price in US dollar
(Source: Thomson Reuters)

Data are daily. The time period is 03-Jan-05 to 24-Aug-15

All data are in the file dz-data.csv, which is an ASCII file in DOS
format. It is zipped in the file dz-data.zip. Unix/Linux users should
use "unzip -a".

The top line of the file dz-data.csv provides more information.