choleski-decomposition

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Hainexx / 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
choleski-decomposition series series-analysis time-series-analysis
Language:TeX 1

Hainexx / A_Brief_Time_Series_Analysis_of_German_Bund_Term_Structure_of_Interest_Rate