Replica package for The Pricing of Biodiversity Risk in Commodity Markets. [Download].
Commodity factors. Here you can find the market, basis, momentum, basis-momentum, spreading, volatility, and hedging commodity factors for a sample period spanning from Feb 1983 to May 2025. More details are in the "Read me" file. If you use this data, please cite: Guidolin, M., & Pedio, M. (2026). The pricing of biodiversity risk in commodity markets. Review of Finance, 30(1), 351-389. [Download] [Read me].
Merton's probability of default. Here you can find a Stata routine that computes the probability of default a la Merton (1974). [Download]. If you use this routine, please cite: Guidolin, M., Melloni, F., & Pedio, M. (2023). A Markov Switching Cointegration Analysis of the CDS‐Bond Basis Puzzle. BAFFI CAREFIN Centre Research Paper, (2019-121).
Markov switching cointegration. Here you can find MATLAB code that implements Krolzig's procedure for estimating Markov-switching cointegration between two variables (e.g., bond and CDS spreads). This relies on two steps. The cointegrating vector is estimated via OLS and then treated as exogenous in a Markov-switching VAR. [Download].