R Time series packages not included in CRAN Task View: Time Series Analysis
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Updated
Jun 11, 2024
R Time series packages not included in CRAN Task View: Time Series Analysis
Option pricing based on GARCH model and BSM framework.
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Investigating the impact of the sentiment data extracted from Google news on Bitcoin returns using TV-GARCH-X model
Microsoft's closing stock price prediction by ARIMA, Decision Tree and GARCH models in R Studio
Data Science project for forecasting steel and crude oil prices
This repository consits of: projects and homeworks connected with research area such as Risk Management.
All of these previous analyses were done in SAS. I transitioned them over to Python to practice the language.
A Julia package for estimating ARMA-GARCH models.
MSc Finance dissertation project at Newcastle University. This project focused on forecasting the volatility of exchange rates involving the Great British Pound using EWMA, GARCH-type and Implied Volatility models.
Project for the Advanced time-series analysis 2022/23 class at Faculty of Economic Sciences, University of Warsaw. In this project we build several GARCH-class models and compare their performance in assessing risk of a cryptocurrency portfolio.
ARMA-GARCH
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.
Analyze NASDAQ100 stock data. Used ARIMA + GARCH model and machine learning techniques Naive Bayes and Decision tree to determine if we go long or short for a given stock on a particular day
Stock Prediction using LSTM, Linear Regression, ARIMA and GARCH models. Hyperparameter Optimization using Optuna framework for LSTM variants.
Personal Website
Undergraduate Final Project on behalf of Radisha Fanni Sianti
Curso ministrado por mim na Financial Risk Academy (FRA) sobre Introdução ao Risco de Mercado com Python
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