It depends on what you consider "self-refreshing".
I believe that if you are opening the Excel sheet, you must actually manually select "Refresh List" to run the requests and refresh the data. I have not investigated if there is a Macro that can be written to trigger this upon opening.
However, when you create a report schedule, that will run all the requests and email the report with updated data... in a way, this is the main "self-refreshing" function that I can think of....