Constantino Hevia, Ivan Petrella, and Martin Sola, "Risk Premia and
Seasonality in Commodity Futures", Journal of Applied Econometrics,
Vol. 33, No. 6, 2018, pp. 853-873.

The data used in the article (sources and details for the
reproduction) are described in the online appendix of the paper
(Appendix A). 

All data files are zipped in the file hps-data.zip. They are all ASCII
files in DOS format. Unix/Linux users should use "unzip -a".

-- Main_Data

Includes files with the raw data used to reproduce the main results of
the paper (section 3-6).  There are three csv files that contain the
bond yields, Heating Oil futures prices, and the Heating Oil
Inventories. The files are:

1. Bond_Yields.csv
2. HO_futures.csv
3. HO_Inventories.csv

-- Other commodities:

Includes files with the raw data for the other commodities that are
required to reproduce the results in section 2 and the appendix. There
are six csv files that contain futures contract prices for Gasoil
(QS), Gasoline (HU), Natural Gas (NG), Corn (C), Wheat (W), and
Soybean (S). The files are

1. QS.csv
2. HU.csv
3. NG.csv
4. C.csv
5. W.csv
6. S.csv

All data, except for heating oil inventories, are organized by
maturities (the maturities are stated in the first row). 

Please address any questions to the authors of paper.