Sebastian Opitz, Henry Seidel and Alexander Szimayer, "Measuring crisis risk using conditional copulas: An empirical analysis of the 2008 shipping crisis", Journal of Applied Econometrics, Vol. 33, No. 2, 2018, pp. 271-289. All files are zipped in oss-files.zip. 1. Data: Main analysis: The main analysis employs monthly data from January 1997 to December 2014 from the following time series: -- Baltic Dry Index (Thomson Reuters Datastream - Symbol: BALTICF) -- Effective yield of the BofA Merrill Lynch US Corporate B-rated Index (Federal Reserve Bank of St. Louis database) -- Orderbook of dry bulk vessels (Clarksons Shipping Intelligence Network) -- Fleet of dry bulk vessels (Clarksons Shipping Intelligence Network) -- MSCI World Price Index (Thomson Reuters Datastream - Symbol: MSWRLD$) However, only the Effective yield of the BofA Merrill Lynch US Corporate B-rated Index is publically available: https://fred.stlouisfed.org/series/BAMLH0A2HYBEY Thomson Reuters Datastream and Clarksons SIN do not permit open access. In case of access to Clarksons Shipping Intelligence Network corresponding data can be found at: -- Orderbook of dry bulk vessels: https://sin.clarksons.net/Timeseries?t=14858&c=5&c=276&c=277&c=6957 -> 45376 Bulkcarrier Orderbook (DWT) -- Fleet of dry bulk vessels: https://sin.clarksons.net/Timeseries?t=8504&c=5&c=280&c=281&c=6976 -> 30213 Total Bulkcarrier Fleet Development (Million DWT) -- (alternatively) Ratio of Orderbook and Fleet: https://sin.clarksons.net/Timeseries?t=66287&c=5&c=34&c=692&c=711&c=8991 -> 534436 Bulkcarrier Orderbook % Fleet % Robustness analysis: Thomson Reuters Datastream: --Bank of America Merrill Lynch United Stated High Yield Corporate Shipping (Symbol: MLHYSHP(RY)) Clarksons data can be obtained using the advanced time series search: https://sin.clarksons.net/Timeseries/Advanced -- Exports (Iron ore, Coking coal, Steam coal, Grain) can be found in the Data Type Filter tab "Trade & Demand" -- For the adjusted Orderbook/Fleet time series, the Age of fleet > 20 years - time series is extracted from monthly "Dry Bulk Trade Outlook" in Clarksons. (available from Mars 1999) 2. Empirical analysis: The ZIP file 'oss_eviews.zip' contains 5 files. The text file 'EViews_LogL_main_oss.txt' contains the log-likelihood program code using EViews. The text file 'EViews_robust_alt_copula.txt' contains each of the additional copulas with its corresponding conditional dependence parameters from the robustness analysis. In order to run the log-likelihood code using alternative copulas just replace parts 2.c and 2.e from the model specification in 'EViews_LogL_main_oss.txt'. The Matlab code can be used for detecting change points in the mean and/or variance equation following a CUSUM approach as detailed in the paper. The Eviews file 'oss_eviews_nodata' contains an Eviews workfile including the econometric model ready to use, except that no data is included. The CSV file 'oss_eviews_dummy_series' contains the input data, especially the regime dummies, but again no other data is included. Please address any questions to: Alexander Szimayer alexander.szimayer [AT] uni-hamburg.de