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werleycordeiro/README.md

Hello 👋

Hi there, 👋

Welcome to my GitHub!

👨🏻‍💻 About Me

I hold a master’s degree from the Graduate Program in Economics (PPGEco-UFSC) - with a scholarship from the Coordination for the Improvement of Higher Education Personnel (CAPES) in Brazil.

My research is highly focused on financial econometrics. I’m currently interested in the following topics: macro-finance (backward-looking and forward-looking macroeconomic factors), monetary policy, dynamic factor models, and term structure models; forecast combinations, volatility forecasting, and term structure forecasting.

I recently developed packages in R and Python to fitting and forecasting the term structure of interest rates. Lastly, I have an interest in machine learning applied to financial econometrics.

You can see my cv (only in portuguese) on http://lattes.cnpq.br/5635422378279874.

🛠 Languages and Tools

R  Python  MATLAB
Sublime Text  Visual Studio Code  HTML  GitHub  Markdown
C++ 

⚙️ GitHub Analytics

Catalin's GitHub Stats

📬 Get in touch

Pinned

  1. Dynamic_Nelson_Siegel_Svensson_Kalman_Filter Dynamic_Nelson_Siegel_Svensson_Kalman_Filter Public

    Python Package: Fitting and Forecasting the yield curve

    Python 28 6

  2. Kalman-Filter-Dynamic-Nelson-Siegel Kalman-Filter-Dynamic-Nelson-Siegel Public

    Dynamic Nelson-Siegel in one step

    Python 3 4

  3. Dynamic-Nelson-Siegel-and-Svensson Dynamic-Nelson-Siegel-and-Svensson Public

    Dynamic Nelson-Siegel and Svensson in two steps

    R 5 3

  4. Kalman-Filter-Dynamic-Nelson-Siegel-and-Svensson Kalman-Filter-Dynamic-Nelson-Siegel-and-Svensson Public

    Dynamic Nelson-Siegel and Svensson in one step

    R 3 5

  5. Durbin-Koopman-2012-Kalman-Filter Durbin-Koopman-2012-Kalman-Filter Public

    Illustrations 2.2.5 & 2.4.3 - Durbin & Koopman (2012) P.16 & P.23

    R 1 2

  6. Hands-on-Machine-Learning-with-Scikit-Learn Hands-on-Machine-Learning-with-Scikit-Learn Public

    Exemplos do Livro

    Jupyter Notebook