9 datasets found

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 using the newly built database from Goulet Coulombe et al. (2021).

Quarterly US data based on McCracken and Ng (2020) and the popular FRED database from the Federal Reserve Bank of St-Louis.

The dataset used in this paper is a multivariate stochastic volatility model with a factor stochastic volatility specification.

The dataset used in this paper is a large Bayesian vector autoregression (BVAR) model with stochastic volatility.

The dataset used in this paper is a combination of monthly macroeconomic and weekly financial data.

The dataset used in this paper is a list of macroeconomic and financial variables used to forecast excess returns and volatility.

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...

The dataset used in this paper is the FRED-MD database, which contains monthly observations of macroeconomic variables for the US.