GitHub repo for wealth and inequality modeling using VAR models as part of the Econometric Projects course at HU Berlin
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Updated
Sep 14, 2022 - R
GitHub repo for wealth and inequality modeling using VAR models as part of the Econometric Projects course at HU Berlin
Time series preprocessing. (G)ARCH, VECM, VAR modeling on stock data.
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.
An R package for Bayesian Estimation of Structural Vector Autoregressive Models
I investigate the Asymmetric Volatility Spillover Effects within and across six major International stock markets. United States, Canada, France, Germany, Italy & Japan
Estimates latent class vector-autoregressive models via EM algorithm on time-series data for model-based clustering and classification. Includes model selection criteria for selecting the number of lags and clusters.
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