Massimo Guidolin and Allan Timmermann, "An Econometric Model of Nonlinear 
Dynamics in the Joint Distribution of Stock and Bond Returns", Journal of
Applied Econometrics, Vol. 21, No. 1, 2006, pp. 1-22.

The file guidolin-timm.txt, which is zipped in gt-data.zip, contains the
data used in this paper. This is an ASCII file in DOS format.

Data are (by column):

1) CRSP cap.-based excess returns for deciles 9-10 (large caps), code 1000353.
2) CRSP cap.-based excess returns for deciles 1-2 (small caps), code 1000350.
3) CRSP 10-year maturity bond excess returns, code 1000702.
4) CRSP 30-day T-Bill returns, code 1000708.
5) CRSP (annualized) dividend yield on the value-weighted market index
   (cumulated 12-month dividends divided by initial index).

Excess returns are obtained by subtracting the 30-day Bill rate from
nominal monthly returns.

Source: Center for Research in Security Prices (CRSP).

Data are monthly from 1954:1 to 1999:12.