Ruben Loaiza-Maya, Gael M. Martin, and David T. Frazier (2020), "Focused Bayesian Prediction", Journal of Applied Econometrics, Vol. 36, No. 5, 2021, pp. 517-543. There are three data files zipped in the file lmf-data.zip. DXYdata.csv: Daily returns on the U.S. dollar currency index (4328 observations available). SP500data.csv: Daily returns on the S&P500 index (4598 observations available). sv_data.mat: Simulated data set from inversion copula model. To download a complete version of the code for the paper, go to the link: https://figshare.com/s/7f6064f805efbb3ae9d6 The code was written by Ruben Loaiza-Maya. If you have any related questions, please contact him. Ruben Loaiza-Maya ruben.loaizamaya [AT] monash.edu