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Not sure if this is the best site for this question, it's pretty finance specific so I think it fits.

In Correlation Risk Modeling and Management, Meissner refers to a study he performed on the daily closing prices of the constituents of the DOW for around 30 years.

Any idea where I can find a similar data set? I've looked on Google and Yahoo but I can only find the closing value of the index and not a data set of the closing prices of all the constituents of it over the years.

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    $\begingroup$ Messy is that index constituents at t and t+n (with not 0) may be different. To get the work done, (1) you first need the historical components eg djindexes.com/mdsidx/downloads/brochure_info/… and (2) can the nuse a wrapper such those in python pandas to downloard your data(?) $\endgroup$ – tagoma Mar 19 '16 at 23:19
  • $\begingroup$ You also need delisted stock data. Since 1950, there have been 99 securities that have been in the Dow Jones Industrial Average (a 30 stock index). Of those 99, 45 are delisted. (eg. Union Carbide, United States Leather Co) $\endgroup$ – Norgate Data Mar 20 '16 at 2:44
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Don't know if this is quite what you're after, but I hope it helps. On Quandl, there's a database called Dow Jones Industrial Average One Minute Bars (https://www.quandl.com/data/ASINDU/documentation/overview). It shows intraday quotes for all stocks in the Dow Jones Industrial Average. Trade-based minute bars showing OHLCV for every stock every day. Daily updates plus five years of history. Includes all index changes.

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