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.

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

An R package to implement VEC models

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