Bruno Feunou and Cédric Okou, "Risk-Neutral Moment-Based Estimation
of Affine Option Pricing Models", Journal of Applied Econometrics,
Vol. 33, No. 7, 2018, pp. 1007-1025.

This readme file describes the risk neutral moments data
(approximately 1.3 MegaBytes), which are in the file fo-data.txt. This
is an ASCII file in DOS format, which is zipped in the file
fo-data.zip. Unix/Linux users should use "unzip -a".

1) Risk-neutral moments are extracted from daily data of European
SP500 index option prices that are available from OptionMetrics. 

Section G in the Online Appendix describes (Table A1) the option data
used to construct the risk-neutral moments series. 

DataRNMestimation: 3073x25 matrix of daily risk-neutral moments from
1996/09/03 to 2011/12/30 

col 1	 : date (yyyymmdd)

col 2-9  : risk-neutral volatility for 8 maturities (1, 2, 3, 6, 9, 12, 18,
           24 months)

col 10-17: risk-neutral skewness for 8 maturities (1, 2, 3, 6, 9, 12, 18,
           24 months) 

col 18-25: risk-neutral kurtosis for 8 maturities (1, 2, 3, 6, 9, 12, 18,
           24 months)

The Online Appendix also gives the procedure to construct, in a
nonparametric way, the risk-neutral moments from a panel of option
prices.

2) Risk-neutral cumulants are obtained from risk-neutral moments using
the standard formulas

  CUM(2) = Volatility^2,
  CUM(3) = skewness*(Vol^2)^(3/2), and
  CUM(4) = (kurtosis-3)*(Vol^2)^(2).

3) Time series of risk-neutral cumulants are then used as observed
quantities in the Risk-Neutral Moment-Based Estimation approach.