
Matteo Barigozzi and Christian Brownlees "NETS: Network Estimation for Time Series", Journal of Applied Econometrics, forthcoming. 

The panel of volatility measures studied in this work is constructed using stock price data downloaded from http://finance.yahoo.com. 
Section 4 describes in detail how the price data is transformed into the volatility panel dataset.

The data folder contains:

sp100-info.csv

The file contains the list of tickers analysed in this paper (column 1) together with the full company name (column 2) and the company industrial group (column 3).

<ticker>.csv

The file <ticker>.csv contains the daily price data of <ticker>. 
The file contains (in this order) date, open price, high price (max), low price (min), closing price, volume and adjusted closing price.
The format of the date is YYYYMMDD where YYYY denotes the year (4 digits), MM denotes the month (2 digits) and DD denotes the day of the month (2 digits).

sp500.csv

This file contains the daily price data of the S&P 500 index and has the same format of the ticker data files.

XLB.csv, XLE.csv, XLF.csv, XLI.csv, XLK.csv, XLP.csv, XLU.csv, XLV.csv, XLY.csv, XOM.csv

These files contain the daily price data of the sectoral indices of the S&P 500 and have the same format of the ticker data files.

Matteo Barigozzi
Christian Brownlees

