Ecological forecasting using Dynamic Generalized Additive Models with R 📦's {mvgam} and {brms}
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Updated
May 22, 2024 - HTML
Ecological forecasting using Dynamic Generalized Additive Models with R 📦's {mvgam} and {brms}
Arbitrage-free Dynamic Generalized Nelson-Siegel model of interest rates following Christensen, Diebold and Rudebusch; and its estimation using the Kalman filter / maximum likelihood.
Bayesian Estimation of Structural Vector Autoregressive Models
Implementation of the FNETS methodology proposed in Barigozzi, Cho and Owens (2024) for network estimation and forecasting of high-dimensional time series
Cambridge UK temperature forecast python notebooks
Toolkit functions and example outputs for Bayesian (Structural) Vector Autoregressive (VAR) models
Julia implementation of multi-variate time series models, such as vector autoregressive (VAR) and vector error correction (VECM) models.
Spatiotemporal datasets collected for network science, deep learning and general machine learning research.
An R package to model BVHAR
Regularized estimation of high-dimensional FAVAR models
An R package for Bayesian Estimation of Structural Vector Autoregressive Models
Building a vector autoregressive model with R. My coursework for the course Time Series Analysis II (offered by University of Helsinki's Master's Programme in Mathematics and Statistics), spring 2020.
Functions for Bayesian inference of vector autoregressive and vector error correction models
Code to reproduce paper Adrian, Duarte and Iyer (2023), “The Market Price of Risk and Macro-Financial Dynamics”
Codes for BVHAR Research
Research project: Could Interest Rate Hikes Burst The Housing Bubble?
Research project: The Impact of Uncertainty on Monetary Transmission - Evidence from the US
Estimação de modelos VAR(3) e VAR(10) para 91 países no período de 1960 a 2019, a fim de testar a causalidade de Granger entre as variáveis de Poupança Interna Bruta e crescimento do Produto Interno Bruto per capita.
VAR and Local Projections
Project on Foreign Exchange Forecasting, for the Μ401 - Deep Neural Networks course, NKUA, Fall 2022.
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