Carolina Castagnetti and Eduardo Rossi, "Euro Corporate Bond Risk Factors", Journal of Applied Econometrics, Vol. 28, No. 3, 2013, pp. 372-391. Most of the database used in the empirical illustrations of the paper was collected when Carolina Castagnetti was working at Fideuram Investimenti SGR, Milan. The dataset was partly built using different sources such as Markit (for the IBOXX database), the Merrill Lynch Database (for the Merrill Lynch Global High Grade Corporate Index) and DataStream (for the government rates and for equity data). The data are the property of Fideuram Investimenti SGR who do not permit open access. The data are confidential and cannot be published online. Carolina Castagnetti Eduardo Rossi