gaspare-mattarella / A_Brief_Time_Series_Analysis_of_German_Bund_Term_Structure_of_Interest_Rate

Testing the hyphotesis of cointegration of two term structures through Dickey-Fuller tests and Engle-Granger causality. Finally I exploit the VECM to infer the model and through the Cholesky decomposition I analyze SIRF and FEVD

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