Mauro Bernardi and Leopoldo Catania, "Switching Generalised
Autoregressive Score Copula Models with Application to Systemic Risk",
Journal of Applied Econometrics, Vol. 34, No. 1, 2019, pp. 43-65.

All data are in the file bernardi_catania2018.csv, a CSV file in DOS
format. It is zipped in the file bc-data.zip. Unix/Linux users should
use "unzip -a".

The first row reports the name of the variables, while the first
column reports the dates. 

The data set is composed of 4119 observations for the 11 countries: 

Austria
Belgium 
Denmark 
France 
Germany 
Hungary 
Italy 
Netherlands 
Spain 
Sweden 
United Kingdom 

The last column (Market) reports the data for the market index.