An econometrics vector autoregression model (VAR) for analysis of multivariate time series of macroeconomics phenomena. Python Jupyter notebook based model is presented here although other packages like R statistical programming language with R Studio could also be used.

Multivariate time series Vector Autoregression Model (VAR) on real world GDP and DPI (and some other indexes). Bayesian Structured Time Series (BSTS).

Implementation of High-dimensional vector autoregression time series modeling via tensor decomposition, Di Wang, Yao Zheng, Heng Lian, Guodong Li. Written in JAX.

I investigate the Asymmetric Volatility Spillover Effects within and across six major International stock markets. United States, Canada, France, Germany, Italy & Japan

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.

GitHub repo for wealth and inequality modeling using VAR models as part of the Econometric Projects course at HU Berlin

Masters Thesis Project on Media Prejudice

Time Series Analysis of Macro Economic Parameters using Vector Auto Regression Model

Time series preprocessing. (G)ARCH, VECM, VAR modeling on stock data.

An R package for Bayesian Estimation of Structural Vector Autoregressive Models

Predicting the Air Quality Index of 100+ counties across the USA

ML Estimation for Discrete Multivariate Vasicek Processes

Investment Analysis and Asset Mgmt, Time Series Analysis & Forecasting, Machine Learning in Finance & Causal Inference Methods