This repository contains an RMarkdown file that performs an econometric analysis of soybean prices using various statistical methods, including cointegration tests, ECM, and GARCH models.
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Updated
Aug 15, 2024 - R
This repository contains an RMarkdown file that performs an econometric analysis of soybean prices using various statistical methods, including cointegration tests, ECM, and GARCH models.
A co-integration analysis that focuses on analyzing different factors affecting Bitcoin's price
Statistical analysis with R by using financial data
Statsmodels: statistical modeling and econometrics in Python
Pairs Trading screening with cointegration in R
Java library for testing unitroot and cointegration
Non-Linear Cointegration in Pairs Trading
This project explores pairs trading as a market-neutral strategy by leveraging statistical relationships between cointegrated assets to exploit mean-reverting behavior. inspired and adapted from the quant trading room
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.
This repository contains the do-files for all my statistical analyses published in Twitter or elsewhere.
Shiny app deployed on shinyapps.io and embedded in an R package for easy install where I explore the cointegrating relationship among LIBOR interbank rates
An R package to implement VEC models
Implementations of various trading strategies
Applying Kejriwal and Perron test which is implemented in the R `strucchange` package to find cointegration breakpoints
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