Wei Lin and Gloria Gonzalez-Rivera, "Extreme Returns and Intensity of 
Trading", Journal of Applied Econometrics, Vol. 34, No. 7, 2019, pp. 
1121-1140.

The dataset used in this paper is proprietary. It is the property of
the Intercontinental Exchange, INC. (ICE), who do not permit open
access. Hence the data cannot be lodged here. The data set is held at
the ICE/NYSE proprietary historical market daily TAQ (Trade and Quote)
(https://www.nyse.com/market-data/historical/daily-taq), to whom
enquiries concerning access should be addressed.

The variables used in our study and detailed data cleaning
procedures are described in Section S.3 of the Online Supplementary
Material associated with our paper.

Wei Lin
weilin_econ [AT] 163.com

Gloria Gonzalez-Rivera
gloria.gonzalez [AT] ucr.edu