Matteo Barigozzi and Christian Brownlees, "NETS: Network Estimation for 
Time Series", Journal of Applied Econometrics, Vol. 34, No. 3, 2019, pp. 
347-364.

The panel of volatility measures studied in this work is constructed
using stock price data downloaded from http://finance.yahoo.com. 
Section 4 describes in detail how the price data are transformed into
the volatility panel dataset.

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

The data folder contains:

sp100-info.csv

The file contains the list of tickers analysed in this paper (column
1) together with the full company name (column 2) and the company
industrial group (column 3).

<ticker>.csv

The file <ticker>.csv contains the daily price data of <ticker>.  The
file contains (in this order) date, open price, high price (max), low
price (min), closing price, volume and adjusted closing price. The
format of the date is YYYYMMDD where YYYY denotes the year (4 digits),
MM denotes the month (2 digits) and DD denotes the day of the month (2
digits).

sp500.csv

This file contains the daily price data of the S&P 500 index and has
the same format as the ticker data files.

XLB.csv, XLE.csv, XLF.csv, XLI.csv, XLK.csv, XLP.csv, XLU.csv,
XLV.csv, XLY.csv, XOM.csv

These files contain the daily price data of the sectoral indices of
the S&P 500 and have the same format of the ticker data files.

Matteo Barigozzi
Christian Brownlees