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.

An R package to implement VEC models

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

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

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

VAR or VECM for fishery capture (2002-2015)

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

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.

Forecasting vegetable prices using economic indicators and time series models (VAR, VECM, ARDL).

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.

vecm augmented garch app