Neil Shephard and Kevin Sheppard, "Realising the Future: Forecasting with
High Frequency Based Volatility (HEAVY) Models", Journal of Applied
Econometrics, Vol. 25, No. 2, 2010, pp. 197-231.

The data used in this paper are copyrighted by the Oxford-Man Institute of
Quantitative Finance and may not be posted elsewhere on the web. However,
they are available for download, free of charge, from

  http://realized.oxford-man.ox.ac.uk/data/download

in the form of a zipped Excel spreadsheet. The website provides extensive
documentation of this library.

The dataset is formally quoted as

  Gerd Heber, Asger Lunde, Neil Shephard, and Kevin Sheppard (2009)
  "Oxford-Man Institute's realized library, version 0.1", Oxford-Man
  Institute, University of Oxford.

The spreadsheet has a simple structure with a date in the format yyyymmdd,
where "yyyy" denotes year, "mm" month, and "dd" day.  For each asset on each
day, the database records: returns, realised variance, and realised kernel.
These terms are documented in the paper:

  http://www.economics.ox.ac.uk/research/WP/pdf/paper438.pdf

Neil Shephard
neil.shephard [AT] economics.ox.ac.uk