F. Audrino and F. Trojani, "Estimating and Predicting Multivariate
Volatility Thresholds in Global Stock Markets", Journal of Applied
Econometrics, Vo. 21, No. 3, 2006, pp. 345-369.

Francesco Audrino
Institute of Finance
University of Lugano, Switzerland

Fabio Trojani
Department of Economics
University of St. Gallen, Switzerland
and
Institute of Finance
University of Lugano, Switzerland

The data for this article are daily prices for nine stock market indices for
the period January 1, 1990 to November 4, 2002 (for a total of 3151
observations). For most of the results of the article, the smaller subsample
January 1, 1998 to November 4, 2002 consisting of 1262 observations is used.

There is one data file, which is an ASCII file in DOS format. This file,
indici.txt, is zipped in the file indici.zip. Indici.txt has ten columns and
3153 rows. Dates for the sample are listed in the first column. The
variables (whose names appear in the last row of the text file) are as
follows:

French CAC40 Index
German DAX30 Index
Italian BCI General Index
Canadian Toronto SE35 Index
UK FT-SE-A All-Share (FTSE100) Index
Japanese NIKKEI225 Average Index
Swiss SMI Index
Hang Seng Index
US S&P500 Index

The source of the data is Datastream International.