February 2025
New indicators available!
Starting from the data release of December 2025, the CaPiRe dataset includes additional elements. We have added the estimate of the Realized Variance by subsampling (using 1-minute data and sampling every 5-minutes), and, most importantly, the Realized Covariance across the assets fully available in our sample. The Realized Covariance is provided both with the baseline estimator (1-minute data) as well as with subsampling (same approach as for RV). While daily scalar variables are still provided through an Excel file, the RCOV data are available in a Matlab format.
June 2024
The journey begins!
The CaPiRe data are on-line!
We are thrilled to announce the first release of the CaPiRe data
including a small collection of realized variables for the Dow Jones Industrial Average
constituents, which are made available, at the daily frequency, from January 2003 to June 2024.
Access to the data is free, it requires only a registration to the Data Repository. Stay tuned for future updates
where additional quantities (robust to
staleness) will be made available. The update of the data is planned to take place, ideally, every
quarter.