Prosper Dovonon, "Conditionally Heteroskedastic Factor Models with Skewness and Leverage Effects", Journal of Applied Econometrics, Vol. 28, No. 7, 2013, pp. 1110-1137. In addition to the data, this directory contains the file Dovonon-2012-supp-mat.pdf, which contains supplementary material. The data used in this paper were downloaded from Datastream and consist of 23 daily excess returns of sectorial indices of FTSE. Only the trading days are considered, and the returns reported are in percentage of log excess returns over cash. The cash is proxied by the daily log-return of JP Morgan UK one month loan index (JPM UK CASH 1M). The data spans the period from January 2, 1986 through July 21, 2009 for a total of 6037 observations (or rows) and 24 columns. -- The first column is the column of dates in the format: yyyymmdd -- The following columns are (in order) the daily excess return on the following indices: FTSE 350 Leisure goods Banks Beverages Cnstr. & bldg. mats. Chemicals Eng. & machinery Food & drug retailers Food producers Non life insurance Life insurance Eqt invest. Inst. Travel & leisure Transport Gen. Financ. Personal goods Industrials General retailers Oil and gas Forestry & paper Health Pharm. & biotec. Support services All data are in the file pd-data.txt, which is an ASCII file in DOS format. It is zipped in the file pd-data.zip. Unix/Linux users should use "unzip -a". Prosper Dovonon prosper.dovonon [AT] concordia.ca