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.
An R package to implement VEC models
Supporting code for UvA Masters of Quantitative Finance thesis in CDS/Bonds arbitrage trading
The code lets you create, plot, estimate Vector Error Correction Models on FANG stocks.
VAR or VECM for fishery capture (2002-2015)
Time Series exercises closely following: Enders, W. (2014) Applied Econometric Time Series and Lutkepohl (2017), Structural Vector Autoregressive Analysis
La relación a largo plazo y la causalidad entre las exportacioens mineras, la producción industrial y el crecimiento económico en Perú: Un estudio de caso utilizando un modelo VEC
This project aims to delve into the intricate relationships between Foreign Direct Investment (FDI), government debt, and Gross Domestic Product (GDP) using a detailed empirical analysis.
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