Pengfei Sun and Casper G. de Vries, "Exploiting Tail Shape Biases to Discriminate between Stable and Student-t Alternatives", Journal of Applied Econometrics, Vol. 33, No. 5, 2018, pp. 708-726. All data are in the file sdv-data.csv, an ASCII file in DOS format which is zipped in the file sdv-data.zip. Unix/Linux users should use "unzip -a". Data series for the stock price series and indices are organized columnwise. The first row gives the name of the series, second row the Datastream code, and the third row the currency. The first column gives the day, month and year time stamp. The subsequent eight columns give the stock prices in their order of appearance as in the heading to Table 6 in the paper. The last four columns give the four indices, also as in the order of their appearance in the heading to Table 6. All data are downloaded from Datastream. In total, each series comprises 5219 observations.