Data

Researchers may use this library freely without restrictions so long as they quote in any work which uses it: Heber, Gerd, Asger Lunde, Neil Shephard and Kevin Sheppard (2009) "Oxford-Man Institute's realized library", Oxford-Man Institute, University of Oxford.  The quotation should include the version number of the library.

The Realized Library is based on underlying high frequency data, which we obtain through  Reuters DataScope Tick History.  We are not in a position to make available this base data, or its cleaned version, for commercial reasons as Reuters owns the copyright to it. Although the raw data is of high quality it does need to be cleaned so it is suitable for econometric inference.

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