Finance
John H. Cochrane's Webpage
Luigi Zingales's Webpage
Raman Uppal's Webpage
Jiang Wang's Webpage
Kathy Yuan's Webpage
Michael Brandt's Webpage
Econometrics
David Pollard's Website
Aït-Sahalia's Webpage
Neil Shepherd's Webpage
Bruce Hansen's Webpage
Robert Engle's Webpage
Andrew Patten's Webpage
Fan Jianqiang's Webpage
Oliver Linton
Dennis Kristensen
Myung Hwan Seo
MatLab Code templates
Kevin Sheppard's UCSD GARCH
Andrew Patton's Matlab code
Financial Data
Wharton Financial Data
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Econometrica
American Economic Review
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Econometric Theory
Journal of Financial Econometrics
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Statistics
Annals of Statistics
Journal of American Stastical Association
Biometrika
Journal of the Royal Statistical Society Series B
Journal of Time Series Analysis
Journal of Finance
Review of Financial Studies
Journal of Financial Economics
Journal of Empirical Finance
Journal of Banking and Finance
Journal of Financial and Quantitative Analysis
Miscellaneous Site
Handbook of Empirical Corporate Finance
Econometrics link
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AFA