Data for "Connectedness in Motion: A Time-Varying Diebold–Yilmaz Framework in High Dimensions"

This dataset contains the processed daily realized volatility series used in the empirical analysis of the paper “Connectedness in Motion: A Time-Varying Diebold–Yilmaz Framework in High Dimensions.” It covers 16 major stock market indices from January 4, 2005, to February 26, 2021. Daily realized volatility is constructed from five-minute intraday returns. The underlying high-frequency tick data were obtained from Refinitiv DataScope Select and are not redistributed because they are subject to commercial licensing restrictions. The uploaded dataset contains only the author-generated daily realized volatility measures used in the empirical analysis.