time-series-econometrics

There are 6 repositories under time-series-econometrics topic.

TommasoBelluzzo / SystemicRisk
A framework for systemic risk valuation and analysis.
financial-analysis network-analysis risk-analysis risk-models systemic-risk financial-data financial-institutions financial-markets quantitative-analysis quantitative-finance quantitative-methods risk-management time-series time-series-analysis time-series-econometrics
Language:MATLAB 145
TommasoBelluzzo / HistoricalVolatility
A framework for historical volatility estimation and analysis.
financial-analysis historical-prices historical-volatility-estimators volatility financial-data financial-markets quantitative-analysis quantitative-finance quantitative-methods time-series time-series-analysis time-series-econometrics
Language:MATLAB 32
felixpatzelt / priceprop
Calibrate and simulate linear propagator models for the price impact of an extrinsic order flow.
time-series scientific scientific-publications modeling linear-models kernel-model time-series-econometrics propagators high-frequency-trading python pandas
Language:Python 23
itamarcaspi / rtadfr
Testing for bubbles with R
bubbles time-series-econometrics sadf gsadf explosive
Language:R 18
TommasoBelluzzo / HFMRD
A framework for detecting misreported returns in hedge funds.
anti-fraud financial-analysis hedge-funds returns testing-framework financial-data financial-markets quantitative-analysis quantitative-finance quantitative-methods time-series time-series-analysis time-series-econometrics financial-forensics
Language:MATLAB 15
lnsongxf / fecon235
Computational data tools for financial economics. Keywords: Jupyter notebook pandas Federal Reserve FRED Ferbus GDP CPI PCE inflation unemployment wage income debt Case-Shiller housing asset portfolio equities SPX bonds TIPS rates currency FX euro EUR USD JPY yen XAU gold Brent WTI oil Holt-Winters time-series forecasting statistics econometrics
jupyter-notebook pandas federal-reserve gdp inflation income housing equities bonds fx gold time-series-econometrics statistics asset-pricing finance interest-rates economics employment python
Language:Jupyter Notebook 13
soms98 / Stock-Price-Prediction-Time-Series-LSTM-Model-Keras-Tensorflow
This is a model that has been trained on historical data obtained from Yahoo Finance. The data set comprises of all data records starting from the launch date of this stock in India (1996). This model aims to pick up key trends in the stock price fluctuations based on Time Series mapping. It is able to render predictions for the upcoming time period. The accuracy as obtained on the training data-set is about 90 percent and it successfully demonstrates key trends. It can be simulated on any stock in the market provided their historical data is made available. (One could use the yfinance API or download manually). Keras is used extensively along with Tensorflow for training. The model features 100 epochs of Base size 64. The training time depends on the hardware being used by the user. It is advisable to be performed on Google Colaboratory. For any issues/suggestions write to somshankar97@gmail.com
keras-tensorflow keras-visualization keras-models tensorflow2 stock-market stock-prediction stock-price-prediction api-rest time-series-analysis lstm financial-markets prediction-model predictive-modeling machine-learning-algorithms machine-learning-finance time-series-econometrics time-series-forecasting lstm-forex-prediction lstm-keras
Language:Jupyter Notebook 6
archana1998 / predictive-modelling
Predictive Modelling of Time Series Data using LSTM RNNs
time-series series-data time-series-analysis time-series-forecasting time-series-prediction time-series-forecast time-series-econometrics rnn rnn-model rnn-lstm rnn-tensorflow rnn-keras lstm lstm-neural-networks lstm-model
Language:Python 3
benjaminbluhm / spark_parallel_forecasting
distributed-computing pyspark-python time-series-econometrics
Language:TeX 2
parthsompura / Time-Series-Analysis-and-Forecasting
Research Project on "Time Series Analysis and Forecasting"
time-series time-series-analysis time-series-forecasting time-series-prediction time-series-database time-series-forecast time-series-classification time-series-clustering time-series-econometrics time-series-data-mining arima-model lstm-model forecasting-models analysis machine-learning
Language:Jupyter Notebook 2
vsevolodkotenyov / time_series_GDP
A non-commercial research project - time series analysis for GDP and consumption in Austria (1970-2020)
time-series-analysis time-series-data time-series-econometrics timeseries forecasting
Language:Jupyter Notebook 2
Jsos17 / A_Vector_Autoregressive_Model
Building a vector autoregressive model with R. My coursework for the course Time Series Analysis II (offered by University of Helsinki's Master's Programme in Mathematics and Statistics), spring 2020.
time-series-analysis vector-autoregression time-series-econometrics multivariate-timeseries time-series vector-autoregressive vector-autoregressions timeseries-analysis timeseries r
Language:TeX 1
martinlyngerasmussen / auto_regressor
Autoregressor: simple and robust time series model selection
model-selection model-selection-and-evaluation model-selection-pipeline regression-algorithms regression-models time-series-analysis time-series-econometrics
Language:Jupyter Notebook 1
nutansahoo / Analysing-and-Predicting-Copper-Prices
Annual Copper Prices data from the year 1800 to 1997 was downloaded from the time series data library created by Rob Hyndman. I aim to analyse this uni-variate time series data and fit an ARIMA model to it.
time-series-econometrics time-series-analysis forecasting
Language:R 1
LeoMariano / Getting-R-started
Code lines to download the updated list of R packages I've used.
econometrics time-series-econometrics packages
Language:R 0