check in DOW29, downloading is too fragile.

.gitignore

@@ -5,7 +5,7 @@
 *.log
 docs/build/
 docs/site
-src/data
+src/data/bollerslev_ghysels.txt
 docs/Manifest.toml
 Manifest.toml
 make-require.jl

Project.toml

@@ -14,7 +14,6 @@ Optim = "429524aa-4258-5aef-a3af-852621145aeb"
 Random = "9a3f8284-a2c9-5f02-9a11-845980a1fd5c"
 Reexport = "189a3867-3050-52da-a836-e630ba90ab69"
 Requires = "ae029012-a4dd-5104-9daa-d747884805df"
-Retry = "20febd7b-183b-5ae2-ac4a-720e7ce64774"
 Roots = "f2b01f46-fcfa-551c-844a-d8ac1e96c665"
 SpecialFunctions = "276daf66-3868-5448-9aa4-cd146d93841b"
 Statistics = "10745b16-79ce-11e8-11f9-7d13ad32a3b2"

deps/build.jl

@@ -1,28 +1,28 @@
-using Retry
+#using Retry
 using DelimitedFiles
 datadir = joinpath(@__DIR__, "..", "src", "data")
 isdir(datadir) || mkdir(datadir)
 @info "Downloading Bollerslev and Ghysels data..."
 isfile(joinpath(datadir, "bollerslev_ghysels.txt")) || download("http://people.stern.nyu.edu/wgreene/Text/Edition7/TableF20-1.txt", joinpath(datadir, "bollerslev_ghysels.txt"))
 
-@info "Downloading stock data..."
-#"DOW" is excluded because it's listed too late
-tickers = ["AAPL", "IBM", "XOM", "KO", "MSFT", "INTC", "MRK", "PG", "VZ", "WBA", "V", "JNJ", "PFE", "CSCO", "TRV", "WMT", "MMM", "UTX", "UNH", "NKE", "HD", "BA", "AXP", "MCD", "CAT", "GS", "JPM", "CVX", "DIS"]
-alldata = zeros(2786, 29)
-for (j, ticker) in enumerate(tickers)
-        @repeat 4 try
-            @info "...$ticker"
-            filename = joinpath(datadir, "$ticker.csv")
-            isfile(joinpath(datadir, "$ticker.csv")) || download("http://quotes.wsj.com/$ticker/historical-prices/download?num_rows=100000000&range_days=100000000&startDate=03/19/2008&endDate=04/11/2019", filename)
-            data = parse.(Float64, readdlm(joinpath(datadir, "$ticker.csv"), ',', String, skipstart=1)[:, 5])
-            length(data) == 2786 || error("Download failed for $ticker.")
-            alldata[:, j] .= data
-            rm(filename)
-        catch e
-            @delay_retry if 1==1 end
-        end
-end
-alldata = 100 * diff(log.(alldata), dims=1)
-open(joinpath(datadir, "dow29.csv"), "w") do io
-     writedlm(io, alldata, ',')
-end
+# @info "Downloading stock data..."
+# #"DOW" is excluded because it's listed too late
+# tickers = ["AAPL", "IBM", "XOM", "KO", "MSFT", "INTC", "MRK", "PG", "VZ", "WBA", "V", "JNJ", "PFE", "CSCO", "TRV", "WMT", "MMM", "UTX", "UNH", "NKE", "HD", "BA", "AXP", "MCD", "CAT", "GS", "JPM", "CVX", "DIS"]
+# alldata = zeros(2786, 29)
+# for (j, ticker) in enumerate(tickers)
+#         @repeat 4 try
+#             @info "...$ticker"
+#             filename = joinpath(datadir, "$ticker.csv")
+#             isfile(joinpath(datadir, "$ticker.csv")) || download("http://quotes.wsj.com/$ticker/historical-prices/download?num_rows=100000000&range_days=100000000&startDate=03/19/2008&endDate=04/11/2019", filename)
+#             data = parse.(Float64, readdlm(joinpath(datadir, "$ticker.csv"), ',', String, skipstart=1)[:, 5])
+#             length(data) == 2786 || error("Download failed for $ticker.")
+#             alldata[:, j] .= data
+#             rm(filename)
+#         catch e
+#             @delay_retry if 1==1 end
+#         end
+# end
+# alldata = 100 * diff(log.(alldata), dims=1)
+# open(joinpath(datadir, "dow29.csv"), "w") do io
+#      writedlm(io, alldata, ',')
+# end