Data & Code

The data and code from my papers posted below may be used for non-commercial purposes free of charge. They are provided as is, without any guarantee of correctness. Please reference the relevant paper for construction details. Send me an email if you have any issues.

News Implied Volatility and Disaster Concerns (with Alan Moreira)

Journal of Financial Economics, 2017, Vol 123, Issue 1, pp. 137–162 | Citation
  • NVIX, 1889–07 to 2016–03 Also includes a decomposition into categories.
  • Phrase counts (ngram frequencies) of Wall Street Journal frontpage titles and abstracts. See readme.txt inside for details and replication code.

  • Intermediary Asset Pricing: New Evidence from Many Asset Classes (with Zhiguo He and Bryan Kelly)

    Journal of Financial Economics, 2017, Vol 126, Issue 1, pp. 1–35 | Citation
  • Intermediary capital risk factor, 1970Q1–2018Q3 Quarterly, monthly, and starting 2000-01-01 daily too. Also includes portfolio returns used in our cross-sectional tests. See readme.txt inside for details and replication code.

  • Text Selection (with Bryan Kelly and Alan Moreira)

  • New Code for our HurdleDMR package for Julia is on github. It can be called from many other programming languages like Python and R. The package allows for computationally efficient distributed estimation of the multiple hurdles over parallel processes, generating sufficient reduction projections, and inverse regressions with selected text. It allows for elastic net type convex combinations of L1 (Lasso) and L2 (Ridge) regularization as in glmnet (Friedman et al., 2010), and for concave regularization paths as in gamlr (Taddy, 2017)