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Data on realized volatility of US and Australian equity markets

University of Tasmania, Australia
Dungey, Mardi (Has point of contact, Aggregated by)
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ctx_ver=Z39.88-2004&rft_val_fmt=info%3Aofi%2Ffmt%3Akev%3Amtx%3Adc&rfr_id=info%3Asid%2FANDS&rft_id=http://vivo.utas.edu.au/vivo/individual/n129259&rft.title=Data on realized volatility of US and Australian equity markets&rft.identifier=http://vivo.utas.edu.au/vivo/individual/n129259&rft.publisher=University of Tasmania, Australia&rft.description=Data consist of 5 minute transaction prices on 500 US stocks (components of the S&P500 index) and 168 Australian stocks. These are downloaded from the SIRCA database. Substantial cleaning is undertaken and the data are used to create a dataset of daily realized volatility estimates for each stock&rft.creator=Dungey, Mardi&rft.date=2015&rft_subject=stocks&rft_subject=equity markets&rft_subject=Finance&rft_subject=COMMERCE, MANAGEMENT, TOURISM AND SERVICES&rft_subject=BANKING, FINANCE AND INVESTMENT&rft.type=dataset&rft.language=English Access the data

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University of Tasmania. Files are provided as individual csv files which are then transformed to obtaine equi-distant observations and to control for overnight and missing returns

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Please contact the creator for access to the data. Data are collated from the SIRCA Thomson Tick-History dataset available by subscription to SIRCA http://www.sirca.org.au/

Copyright is held by SIRCA 

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Data consist of 5 minute transaction prices on 500 US stocks (components of the S&P500 index) and 168 Australian stocks. These are downloaded from the SIRCA database. Substantial cleaning is undertaken and the data are used to create a dataset of daily realized volatility estimates for each stock

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Banking, Finance and Investment | Commerce, Management, Tourism and Services | Finance | equity markets | stocks |

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