Data for: Cross-sectional implications of dynamic asset pricing with stochastic volatility and ambiguity aversion

Data complited from the Kenneth R. French website and the economic database of the Federal Reserve Bank of St. Louis (FRED). These data series are used as research data in the following paper: Lago-Balsalobre, R., Rojo-Suárez, J., Alonso-Conde, A.B. (2023). Cross-sectional implications of dynamic asset pricing with stochastic volatility and ambiguity aversion. The North American Journal of Economics and Finance, 66, 101909. doi: https://doi.org/10.1016/j.najef.2023.101909