Free data sources (U.S. data):

• • Consumption data from FRED (also price indexes and U.S. population)

  • Interest rates from FRB

  • Returns on sorted portfolios and risk factors from Kenneth French's homepage

  • More portfolios and factors from Hou, Xue, and Zhang

  • More factors from Andrea Frazzini's homepage

  • Aggregate stock prices, dividends, and earnings from Robert Shiller's homepage

  • Long time series of financial data from Amit Goyal's homepage

  • Survey of professional forecasters from the Philadelphia Fed

  • cay (consumption-to-wealth ratio) from Martin Lettau's homepage

  • The Variance Risk Premium from Hao Zhou's homepage

  • Economic time series in general from Economagic

  • A comprehensive data set used by Beeler and Campbell in their CFR paper (see Supplementary information)

  • Data on the yield curve by Gürkaynak, Sack, and Wright

  • Treasury Inflation Protected Securities (TIPS-) data by Gürkaynak, Sack, and Wright

  • Currency returns from FRED

Free data sources (other countries):

• • Barro-Ursua dataset with consumption, output and population from all around the world from Robert Barro's homepage

  • Consumption data and much more from all around the world from the World Bank

  • Economic policy uncertainty indexes for different countries by Scott Baker, Nick Bloom, and Steven Davis

  • Returns on sorted portfolios from 12 developed and 4 emerging markets from Stefano Marmi's homepage

  • Survey of professional forecasters from the ECB

  • Realized variance of S&P500, FTSE, Nikkei, and DAX, 5 minute returns

• • Data on Asian Elephants at the Zoological Gardens of the World used in our paper "GMM Weighting Matrices in Cross-Sectional Asset Pricing Tests"

Matlab

• • MFE Toolbox from Kevin Sheppard's homepage

  • GMM estimation and testing provided by Kostas Kyriakoulis

  • Simulated GMM toolbox by Huseyin Tastan

  • Projection methods and other things from Wouter den Haan's homepage

  • Differential evolution in many languages from Rainer Storn's homepage

  • Differential evolution (CoDE) from Yong Wang's homepage

  • MCMC toolbox by Marko Laine

  • Many programs (option pricing, econometrics, portfolio choice, etc.) by Eric Jondreau and Michael Rockinger

  • An Introduction to MATLAB and many helpful programs by Kevin Sheppard

  • Another Introduction to MATLAB by Eric Jondreau and Michael Rockinger

R

• Download R

• Download R Studio

• An Introduction to R

• GMM with R docu by Pierre Chaussé

Video lectures:

• • John Cochrane's Asset Pricing course at the University of Chicago

  • Lars Peter Hansen's Nobel Prize Lecture about Asset Pricing under Ambiguity

  • Eugene Fama's Nobel Prize Lecture about Asset Pricing and Market Efficiency

  • Robert Shiller's Nobel Prize Lecture about Asset Price Bubbles

  • Lectures on Finance and other topics from the MIT