FulvioCorsi/ReplicationData-FromRotationalToScalarInvariance: First public release of replication dataset

This release contains the dataset used in the empirical analyses of the paper "From Rotational to Scalar Invariance in Dynamic Factor Models". The dataset includes:

• A monthly panel of 8 US macro-financial time series from January 1981 to August 2024, constructed from FRED-MD and Yahoo Finance.
• Daily open-to-close log-returns of 87 S&P500 constituents over the period January 2, 2001 to December 31, 2014.

The data are made publicly available to support reproducibility and transparency. All variable sources and transformations are documented in the accompanying README file.