vecm

The practitioner's forecasting library

Projetos de modelagem e previsão de séries temporal em linguagem Python e linguagem R. Usarei vários modelos de bibliotecas e pacotes usados para tratamento, modelagem e previsão de séries temporais. Falarei um pouco sobre cada uma delas, gerarei a validação e as previsões e, por fim, realizarei a avaliação com a métricas pertinentes.

In this notebook, we will create an AI and time serie driven forecasting engine based on a set of 5 AI models and 5 time series models and employ several algorithms to perform feature engineering and selection on a multivariate time series dataset.

R package for sparse VAR estimation

Machine learning applications in Finance.

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

Supporting code for UvA Masters of Quantitative Finance thesis in CDS/Bonds arbitrage trading

An R package to implement VEC models

Simplistic tool for item price prediction in Hypixel Skyblock using machine learning, neural network and more.

VAR or VECM for fishery capture (2002-2015)

Forecasting financial instrument prices using Vector Error Correction Models (VECM) and VAR. Includes cointegration analysis, impulse response functions, and forecast diagnostics for robust time series modeling.

The code lets you create, plot, estimate Vector Error Correction Models on FANG stocks.

Time Series exercises closely following: Enders, W. (2014) Applied Econometric Time Series and Lutkepohl (2017), Structural Vector Autoregressive Analysis

ARDL cointegration in Python: three-test bounds testing with degeneracy classification, response-surface critical values, bootstrap inference, NARDL, QARDL, Fourier-ADL, and heterogeneous panels (MG/PMG/CS-ARDL). All was validated against R and Stata.

Key Factors Affecting Oil Prices and the Market Share of ICE, HEV, and EV in Malaysia

Python library for financial time series analysis and algorithmic trading. VECM-GARCH models, multivariate analysis, and trading strategies. Includes Udemy course materials.

Time-series econometric analysis of the export–growth nexus in Japan using VECM, Granger causality, and IRF.

Transmissao de precos do leite ao produtor entre regioes brasileiras: cointegracao, ECM/TVECM, Granger e artigo ANPEC (R + LaTeX). Dados CEPEA/ESALQ-USP + IPCA.