Download

Latest Live Data (Updated Daily)

Download data.

Final version of Realized Library Version 0.2

In December 2017 version 0.2 was retired. The current version uses different cleaning and econometric code and so this version has been archived.

Download data.

Data from Multivariate HEAVY Paper (Noureldin, Shephard and Sheppard)

Download data.

Data from Univariate HEAVY Paper (Shephard and Sheppard)

Download data.