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Filters (kalman, hodrick-prescott, moving average) together with comparison and sensitivity analysis (in notebook filters_with_parameters)+var analysis and granger causality test. Test for random walk (CE currencies using yfinance API)

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README.md

README.md

 
 

brent_czgasol_aic_var.ipynb

brent_czgasol_aic_var.ipynb

 
 

ce_diesel_gasoline_basic_ols.ipynb

ce_diesel_gasoline_basic_ols.ipynb

 
 

cz_gasol_stationarity_granger_causality.ipynb

cz_gasol_stationarity_granger_causality.ipynb

 
 

filters_with_parameters.ipynb

filters_with_parameters.ipynb

 
 

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Econometrics_commodities

Econometric analysis applied to commodities

  1. vector autoregressions var
  2. stationarity
  3. granger causality
  4. Gasoline in Central europe
  5. Gasoline Brent relationship var
  6. impulse response var (irf var)
  7. Filters (Brent) Hodric-Prescott filter, Moving average, Kalman Filter, comparison
  8. Sensitivity of filters to predefined parameters
  9. Test for a random walk

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Filters (kalman, hodrick-prescott, moving average) together with comparison and sensitivity analysis (in notebook filters_with_parameters)+var analysis and granger causality test. Test for random walk (CE currencies using yfinance API)

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econometrics filters commodities kalmanfilter granger-causality gasoline stationarity hodrick-prescott-filter movingaverage vectorautoregression

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