choleski-decomposition

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gaspare-mattarella / A_Brief_Time_Series_Analysis_of_German_Bund_Term_Structure_of_Interest_Rate

Testing the hyphotesis of cointegration of two term structures through Dickey-Fuller tests and Engle-Granger causality. Finally I exploit the VECM to infer the model and through the Cholesky decomposition I analyze SIRF and FEVD

series series-analysis time-series-analysis choleski-decomposition

Updated Jan 31, 2021
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choleski-decomposition

Here is 1 public repository matching this topic...

gaspare-mattarella / A_Brief_Time_Series_Analysis_of_German_Bund_Term_Structure_of_Interest_Rate

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