Fabrizio Cipollini, Robert F. Engle, and Giampiero M. Gallo, "Semiparametric vector MEM", Journal of Applied Econometrics, Vol. 28, No. 7, 2013, pp. 1067-1086. All data files are ASCII files in DOS format. They are zipped in the file ceg-data.zip. Unix/Linux users should use "unzip -a". There is also an appendix called ceg-appendix.pdf. The data cover the period between January 1996 and February 2009 for a total of T = 3261 observations for each series. We make use of the Oxford Man Institute (OMI) Realized Library (Shephard and Sheppard (2010)) for daily returns and realized kernels, together with the range computed using the daily highs and lows downloaded from Datastream (all measures are expressed in annualized percentage terms). We run our analysis on ten stock indices but report the results for five of them, labeled DJ30 (Dow Jones Industrials), S&P500 (S&P 500), NASD100 (Nasdaq 100), S&P400 (S&P 400 Midcap), FTSE100 (UK FTSE 100), while moving to the Web Appendix the details for the remaining ones: TSE60 (S&P Toronto Stock Exchange), CAC40 (French CAC 40) DAX30 (German DAX), IBEX35 (Spanish IBEX), NIKKEI225 (Japanese Nikkei 225). List of tickers and files: Label File IBEX35 IBEX35-adj-20091211.txt NIKKEI225 JAPDOWA-adj-20091211.txt NASD100 NASA100-adj-20091211.txt DAX30 DAXINDX-adj-20091211.txt CAC40 FRCAC40-adj-20091211.txt FTSE100 FTSE100-adj-20091211.txt DJ30 DJINDUS-adj-20091211.txt TOS60 TTOSP60-adj-20091211.txt S&P500 S&PCOMP-adj-20091211.txt S&P400 S&PMIDC-adj-20091211.txt Each file includes the following columns: Label Content Source date Date as yyyymmdd open Opening price DS high Highest prime DS low Lowest price DS close Closing price DS adjclose Closing price adjusted for dividends and splits YF ret.co ln(open/close) DS(C) ret.oc ln(close/open) DS(C) ret.cc ln(close(t)/close(t-1) DS(C) ret Return OMI rv Realized variance OMI rk Realized kernel variance OMI ret.co.abs |ret.co|*sqrt(252)*100 DS(C) ret.oc.abs |ret.oc|*sqrt(252)*100 DS(C) ret.cc.abs |ret.cc|*sqrt(252)*100 DS(C) hl ln(high/low)*sqrt(252)*100 DS(C) ret.abs |ret|*sqrt(252)*100 OMI(C) rv.vol sqrt(rv)*sqrt(252)*100 OMI(C) rk.vol sqrt(rk)*sqrt(252)*100 OMI(C) Notes: DS = DataStream; YF = Yahoo-Finance; OMI = Oxford Man Institute (OMI) Realized Library; (C) = Computed from the corresponding source