Log returns of daily closing value data of the NOK/EUR (Norwegian Kroner/Euro) exchange rate, from 04/JAN/1999 to 08/JUL/2003. The original data was downloaded from the oanda website. The data was selected to be as similar as possible to the data used in the Aas & Haff article (see References).
Log returns of daily closing value data from the dow jones index, from 04/JAN/1999 to 08/JUL/2003. The original data used to calculate these was the dji data set available in the QRMlib package.