Mart Demirer, Francis X. Diebold, Laura Liu, and Kamil Yilmaz, "Estimating Global Bank Network Connectedness", Journal of Applied Econometrics, Vol. 33, No. 1, 2018, pp. 1-15. The data used in this paper combine two sources. The data for stock prices are from Thomson Reuters, and the data for bond prices are from Bloomberg. The raw data consist of daily high, low, open and close prices, from which we calculate daily volatility series for each bank stock and government bond according to the formula in equation (6) in the main text. The series in ddly-data.csv are the calculated daily range volatility series for the assets we include in our paper. The data consist of 2,676 observations, spanning the period 2003-2014. There are 106 variables. The first 96 columns contain the data for bank stocks. The list of banks we analyze in the paper can be found in the online appendix. The bank names in the first row are Reuters Tickers. We provided corresponding bank names in the data appendix. The last 10 columns contain the 10-year government bond data for the following countries US_b : United States of America UK_b : United Kingdom GER_b : Germany FRA_b : France ITA_b : Italy ESP_b : Spain GRC_b : Greece JPN_b : Japan CAN_b : Canada The file ddly-data.csv is an ASCII file in DOS format. It is zipped in the file ddly-data.zip. Unix/Linux users should use "unzip -a". Kamil Yilmaz kyilmaz [AT] ku.edu.tr