Functions for Bayesian inference of vector autoregressive and vector error correction models
An emerging asset class, the recent surge of popularity in crypto markets has made cryptocurrencies an essential part of investment portfolios for retail and institutional investors. As prices for cryptocurrencies continue to break previous highs, the race is on for investors to develop a trading strategy that can take advantage of the high vola…
Applied paper using VAR and VEC models on the Nielsen cookies dataset. This was the final assignment for the Advanced Econometrics course at the São Paulo School of Economics, Getulio Vargas Foundation, with a focus on time series analysis.
An econometric analysis of the USD/GBP exchange rate using a Vector Error Correction Model (VECM). The study applies ADF unit root tests, Johansen cointegration, VAR lag selection, Wald causality tests, diagnostic analysis, and forecast evaluation to examine long-run equilibrium, short-run dynamics, and exchange rate predictability.
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.
Time series preprocessing. (G)ARCH, VECM, VAR modeling on stock data.
Simulate and fit from Vector Error Correction (VECM) models for cointegrated time series using the Johansen method
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