File2. Data for Time-series regression in 2007 to 2013

File 2 includes seven excels, named Data for Time-series regression in 2007 to Data for Time-series regression in 2013 respectively. In specific, we average all the 25 portfolios’ realized jump measures in 2007 as just one series from File 1 in the excel of “Data for Horse running regression in 2007”. The excels constitute jump variables and the other variables, among which value-weighted monthly returns of 25 portfolios are directly from the RESSET database.