Heber, Gerd and Lunde, Asger, and Shephard, Neil and Sheppard, Kevin Oxford-Man Institute's realized library, Oxford-Man Institute, University of Oxford (2009)
Examples
## Do not run:
## Download the data from
## http://realized.oxford-man.ox.ac.uk/media/1366/oxfordmanrealizedvolatilityindices.zip
## It contains the file OxfordManRealizedVolatilityIndices.csv.
## rvi <- read.csv("OxfordManRealizedVolatilityIndices.csv",check.names=FALSE,skip=2)
## ii <- which(rvi$DateID=="20131112")
## rvsp500 <- na.omit(rvi[1:ii,c("DataID","SPX2.rv")]