Chun Liu and John M. Maheu, "Forecasting Realized Volatility: A Bayesian 
Model Averaging Approach", Journal of Applied Econometrics, Vol. 24,
No. 5, 2009, pp. 709-733.

The data used in this paper are proprietary and were obtained from the
following sources:

JPY-USD and DEM-USD spot rates are from Olsen Financial Technologies GmbH,
Zurich, Switzerland.

The intraday data on the Standard & Poor's Depository Receipts (SPY) come
from The Trade and Quote (TAQ) database, New York Stock Exchange.