John Geweke and Gianni Amisano, "Hierarchical Normal Markov Mixture Models
with Applications to Financial Asset Returns", Journal of Applied
Econometrics, Vol. 26, No. 1, 2011, pp. 1-29.

There are two data files, which are ASCII files in DOS format. They are
zipped in the file ga-data.zip. Unix/Linux users should use "unzip -a".

a) SP500c_returns.txt contains the returns on the SP500C index from 19720103
to 20051230.  The first column contains the date and the second column the
percentage return computed as indicated in the paper.

b) zc_yr01_bis_returns.txt contains the returns on the zero coupon one year
interest rates from 19871202 to 20070202.  The first column contains the
date and the second column the percentage return computed as indicated in
the paper.

Note that in both files the dates are in the yyyymmdd format.

Codes to carry out the computations and to reproduce the results contained
in the paper are available from the authors. 

This directory also contains a technical appendix:
geweke-amisano-appendix.pdf.