READ ME File For 'Dataset supporting Fengtian Yang PhD Thesis "Measuring and Pricing Macroeconomic Uncertainty: a Machine Learning Econometric Approach" Dataset DOI: 10.5258/SOTON/D3886 License: CC-BY ReadMe Author: Fengtian Yang, University of Southampton ORCID ID 0009-0003-2636-2974 This dataset supports the thesis entitled "Measuring and Pricing Macroeconomic Uncertainty: a Machine Learning Econometric Approach" AWARDED BY: University of Southampton DATE OF AWARD: 2025 DESCRIPTION OF THE DATA This research data supports the thesis "Measuring and Pricing Macroeconomic Uncertainty: a Machine Learning Econometric Approach", and includes macroeconomic dataset, financial dataset from US and cross-sectional stock returns in US market. This dataset contains: Macroeconomic variables from US Financial variables from US Cross-sectional stock returns from US market Date of data collection: 10/2024 Date that the file was created: 07/2025