vector-autoregression-models

There are 1 repository under vector-autoregression-models topic.

xxl4tomxu98 / vector-autoregressive-model-wage-inflations
An econometrics vector autoregression model (VAR) for analysis of multivariate time series of macroeconomics phenomena. Python Jupyter notebook based model is presented here although other packages like R statistical programming language with R Studio could also be used.
vector-autoregression-models multivariate-timeseries econometric-analysis python statsmodels jupyter-notebook
Language:Jupyter Notebook 12
xxl4tomxu98 / econometrics-gdp-dpi-VAR
Multivariate time series Vector Autoregression Model (VAR) on real world GDP and DPI (and some other indexes). Bayesian Structured Time Series (BSTS).
statmodels python vector-autoregression-models econometric-analysis forecasting-models time-series-analysis bayesian-inference bayesian-var-models copula-path-forecast latent-factor-model variational-bayes dynamic-generalized-linear-models multi-step-ahead-forecasting
Language:Jupyter Notebook 9
jolly-io / Stock_Markets_Assymetric_Volatility_Spillover_Effects
I investigate the Asymmetric Volatility Spillover Effects within and across six major International stock markets. United States, Canada, France, Germany, Italy & Japan
garch-models markov-switching-model vector-autoregression-models autoregressive-models stock-market volatility-modeling
Language:R 2
ylefay / high_dimensional_vector_autoregression
Implementation of High-dimensional vector autoregression time series modeling via tensor decomposition, Di Wang, Yao Zheng, Heng Lian, Guodong Li. Written in JAX.
econometrics high-dimensional-statistics linear-models tensor var vector-autoregression-models convex-optimization soc-algorithm
Language:Jupyter Notebook 2
hlz-922 / power-consumption-analysis
forecasting time-series-analysis vector-autoregression-models
Language:Jupyter Notebook 1
maximilian-hildebrandt / Economic-Inequality-VAR
GitHub repo for wealth and inequality modeling using VAR models as part of the Econometric Projects course at HU Berlin
time-series-analysis vector-autoregression-models varx
Language:R 1
olesyamba / Time_series
Current repository depicts R usability for time series modeling. Number of scripts represents preprocessing time series, modeling AR, MA, ARIMA with seasonality, ARCH, GARCH, VAR, VECM including statistical testing process and robust check.
acf-pacf arch arima autocorrelation cointegration garch hypothesis-testing rstudio seasonal-adjustment time-series-analysis vector-autoregression-models vector-error-correction-model
Language:R 1
Agoons20 / Portfolio-Mgmt-And-Machine-Learning-in-Finance
Investment Analysis and Asset Mgmt, Time Series Analysis & Forecasting, Machine Learning in Finance & Causal Inference Methods
adaboost autocorrelation capital-market-line dbscan-clustering decision-trees efficient-frontier extra-trees gradient-boosting granger-causality-analysis kmeans-clustering knn-classification knn-regression logistic-regression pca-analysis randon-forest svm-model textual-analysis vector-autoregression-models autocorrelation-moving-average
Language:Jupyter Notebook 0
ayushgagarwal / AQI-prediction
Predicting the Air Quality Index of 100+ counties across the USA
python data-science vector-autoregression-models machine-learning power-automate
Language:CSS 0
mpokojovy / mvvasicek
ML Estimation for Discrete Multivariate Vasicek Processes
maximum-likelihood-estimation quantitative-analysis quantitative-finance time-series-analysis vector-autoregression-models package
Language:MATLAB 0
NishantD6 / Media-Prejudice-Project
Masters Thesis Project on Media Prejudice
var-model vector-autoregression-models data-scraping data-cleaning data-wrangling predictive-modeling
Language:Jupyter Notebook 0
Time_series_nasdaq-project
olesyamba / Time_series_nasdaq-project
Time series preprocessing. (G)ARCH, VECM, VAR modeling on stock data.
acf-pacf cointegration-analysis stationarity time-series-analysis vector-autoregression-models vector-error-correction-model
Language:R 0
EconMaett / bsvars
An R package for Bayesian Estimation of Structural Vector Autoregressive Models
bsvars macroeconomics r rcpp vector-autoregression vector-autoregression-models bayesian-vector-autoregression
Language:R
jashshah-dev / Time-Series-Forecasting-of-Macro-Economic-Parameters
Time Series Analysis of Macro Economic Parameters using Vector Auto Regression Model
arimax python sarimax vector-autoregression-models