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Monthly Macroeconomic Dataset
The dataset used in this paper is a monthly macroeconomic dataset from the Federal Reserve Bank of St. Louis, covering the period from 01/1970 to 12/2019. -
Monthly data from the UK
Monthly data from the UK using the newly built database from Goulet Coulombe et al. (2021). -
Quarterly US data
Quarterly US data based on McCracken and Ng (2020) and the popular FRED database from the Federal Reserve Bank of St-Louis. -
Large Bayesian vector autoregression with factor stochastic volatility
The dataset used in this paper is a multivariate stochastic volatility model with a factor stochastic volatility specification. -
Large Bayesian vector autoregression with stochastic volatility
The dataset used in this paper is a large Bayesian vector autoregression (BVAR) model with stochastic volatility. -
US GDP growth dataset
The dataset used in this paper is a combination of monthly macroeconomic and weekly financial data. -
Macroeconomic and Financial Variables
The dataset used in this paper is a list of macroeconomic and financial variables used to forecast excess returns and volatility. -
FRED-MD Dataset
The dataset consists of 116 economic indicators from the FRED-MD dataset by McCracken and Ng (2015), with no missing values over the full sample period from January 1960 to... -
FRED-MD database
The dataset used in this paper is the FRED-MD database, which contains monthly observations of macroeconomic variables for the US.
