marcotav / applications-of-time-series-analysis

Application of time series analysis, including the Bayesian type, to several problems.

Applications of Time Series Analysis

Notebook by Marco Tavora

Overview

Application of time series analysis, including the Bayesian type, to several problems.

Notebooks and descriptions

Project	Brief Description
bayesian-sts	Bayesian Structural Time Series: the Deepwater Horizon oil spill impact of BP stocks
VECM	Error correction models using the (single equation) Engle–Granger method suffer from many limitations. The vector error correction model (VECM), addresses many of these issues. As shown in this project (with code written using R), VECMs can be used in the stock market for pairs trading.