Torben G. Andersen, Tim Bollerslev, Per Frederiksen, and Morten Ø. 
Nielsen, "Continuous-Time Models, Realized Volatilities, and Testable 
Distributional Implications for Daily Stock Returns", Journal of Applied 
Econometrics, Vol. 25, No. 2, 2010, pp. 233-261.

The high-frequency data used in this paper to derive the realized quantities
and standardized returns are from the TAQ database, which is not open
access. Hence the TAQ data cannot be lodged here. However, these data are
available through WRDS from the Wharton School. For more information, please
see http://wrds.wharton.upenn.edu/demo/taq/index.shtml

The standardized daily returns for each of the 30 DJIA stocks are available
here in five comma-separated ASCII files. These standardized returns were
constructed as described in detail in the paper, especially sections 3 and
4. The five files are

z_rv.csv: daily returns standardized by realized volatility

z_cv.csv: daily returns standardized by the continuous component of realized
volatility using the simple jump-detection method

z_cvs.csv: daily returns standardized by the continuous component of
realized volatility using the sequential jump-detection method

z_fin1.csv: "daily" jump-adjusted financial-time standardized returns

z_fin5.csv: "weekly" jump-adjusted financial-time standardized returns

In each file, there are 30 columns (separated by commas) corresponding to
the 30 DJIA stocks. The columns are in the same order as the stocks in Table
A1 in the supplementary Appendix.

All five files (which are in DOS format) are zipped in the file
abfn-data.zip. Unix users should use "unzip -a".

This directory also includes a supplementary appendix, 
ABFN_080822_appendix.pdf.