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Topic: "time-series-econometrics"

TommasoBelluzzo/SystemicRisk

A framework for financial systemic risk valuation and analysis.

Language: MATLAB - Size: 86.9 MB - Last synced at: 5 months ago - Pushed at: over 2 years ago - Stars: 157 - Forks: 76

TommasoBelluzzo/HistoricalVolatility

A framework for historical volatility estimation and analysis.

Language: MATLAB - Size: 591 KB - Last synced at: 5 months ago - Pushed at: almost 5 years ago - Stars: 34 - Forks: 16

felixpatzelt/priceprop

Calibrate and simulate linear propagator models for the price impact of an extrinsic order flow.

Language: Python - Size: 1.11 MB - Last synced at: 4 days ago - Pushed at: over 7 years ago - Stars: 23 - Forks: 9

TommasoBelluzzo/HFMRD

A framework for detecting misreported returns in hedge funds.

Language: MATLAB - Size: 243 KB - Last synced at: 5 months ago - Pushed at: over 5 years ago - Stars: 16 - Forks: 13

itamarcaspi/rtadfr

Testing for bubbles with R

Language: R - Size: 3.36 MB - Last synced at: about 2 years ago - Pushed at: over 5 years ago - Stars: 12 - Forks: 10

lnsongxf/fecon235 Fork of rsvp/fecon235

Computational data tools for financial economics. Keywords: Jupyter notebook pandas Federal Reserve FRED Ferbus GDP CPI PCE inflation unemployment wage income debt Case-Shiller housing asset portfolio equities SPX bonds TIPS rates currency FX euro EUR USD JPY yen XAU gold Brent WTI oil Holt-Winters time-series forecasting statistics econometrics

Language: Jupyter Notebook - Size: 4.99 MB - Last synced at: about 2 years ago - Pushed at: almost 8 years ago - Stars: 9 - Forks: 5

archana1998/predictive-modelling

Predictive Modelling of Time Series Data using LSTM RNNs

Language: Python - Size: 11.7 KB - Last synced at: 9 months ago - Pushed at: over 5 years ago - Stars: 3 - Forks: 0

benjaminbluhm/spark_parallel_forecasting

Language: TeX - Size: 10.8 MB - Last synced at: almost 2 years ago - Pushed at: over 3 years ago - Stars: 2 - Forks: 1

parthsompura/Time-Series-Analysis-and-Forecasting

Research Project on "Time Series Analysis and Forecasting"

Language: Jupyter Notebook - Size: 2.03 MB - Last synced at: over 1 year ago - Pushed at: almost 4 years ago - Stars: 2 - Forks: 1

martinlyngerasmussen/auto_regressor

Autoregressor: simple and robust time series model selection

Language: Jupyter Notebook - Size: 2.75 MB - Last synced at: about 1 year ago - Pushed at: about 1 year ago - Stars: 1 - Forks: 0

Jsos17/A_Vector_Autoregressive_Model

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.

Language: TeX - Size: 3.71 MB - Last synced at: over 1 year ago - Pushed at: over 1 year ago - Stars: 1 - Forks: 1

nutansahoo/Analysing-and-Predicting-Copper-Prices

Annual Copper Prices data from the year 1800 to 1997 was downloaded from the time series data library created by Rob Hyndman. I aim to analyse this uni-variate time series data and fit an ARIMA model to it.

Language: R - Size: 6.84 KB - Last synced at: about 1 year ago - Pushed at: over 7 years ago - Stars: 1 - Forks: 0