Notebook by Marco Tavora
Application of time series analysis, including the Bayesian type, to several problems.
| Project | Brief Description |
|---|---|
| bayesian-sts | Bayesian Structural Time Series: the Deepwater Horizon oil spill impact of BP stocks |
| VECM | Error correction models using the (single equation) Engle–Granger method suffer from many limitations. The vector error correction model (VECM), addresses many of these issues. As shown in this project (with code written using R), VECMs can be used in the stock market for pairs trading. |