CAPIRE is a collection of realized quantities referring to the Dow Jones Industrial Average Index constituents made available for teaching and research purposes.
The variables are available from January 2003 at the daily frequency. The dataset is regularly updated, check you download the most recent version.
The CAPIRE dataset includes: the Realized Variance, the Bipower Variation, the Good Variance, the Bad Variance, the Realized Quarticity, the Realized Variance estimated with subsampling from 1-minute data, the Realized Covariance from 1-minute data, the Realized Covariance estimated with subsampling from 1-minute data
Most series are estimated with both 1-minute data (390 observations per day) and 5-minutes data (78 observations per day). Exceptions are the Realized Variance with subsampling (using 1-minute data and sampling every 5-minutes), the Realized Covariance (1-minute data), and the Realized Covariance with subsampling (same approach as for the RV with subsampling).
Users are not allowed to distribute the data and are required to acknowledge the CAPIRE dataset in their scientific contribution or teaching material.
For additional details on the CAPIRE dataset see the CAPIRE website capire.stat.unipd.it
