Code

If you use any of the code below, please cite the related paper in yours.

Eventually, when I am procrastinating from working on new research, I'll update this page with datasets used in each of my published papers (where possible) and some of the code that I used.

Data

Global Factor data (not mine, but a great resource)

here: http://www.globalfactorpremia.org/

and

here: https://www.fa.mgt.tum.de/fm/research/data/