├── Linear Models ├── Logistic Regression for DJI Market Trend Forecast.R ├── Logistic Regression to Analyse the Impact of a Banking Crisis on GDP.ipynb └── Taylor Rule Implementation of the Fed's Monetary Policy.ipynb ├── Multivariate Time Series Analysis ├── Cointegrated VAR and VECM.ipynb ├── Multivariate Time Series Analysis - Simulating Cointegration.ipynb ├── Principal Component Analysis for Interest Rates.ipynb ├── VAR and SVAR Model Analysis.ipynb ├── VECM and Cointegration Analysis for Interest Rates.ipynb └── Vector Auto-regressive Models Applied to Interest Rates.ipynb ├── Projects ├── Assignment 1 - Regression and Univariate Analysis.pdf ├── HW5.pdf └── Project1.R ├── README.md ├── Risk Management ├── Copula Modelling.ipynb └── Modelling Insurance Claims.ipynb ├── Univariate Time Series Models └── Evaluation of Univariate Time Series └── Univariate Volatility Models ├── GARCH Process and The Box-Jenkins Methodology.ipynb ├── Simulated GARCH Process and Estimation.rmd ├── Simulating a GARCH (1,1) Process.ipynb ├── Stylized Facts of Financial Asset Returns.ipynb └── Volatility Modelling.ipynb /Linear Models/Logistic Regression for DJI Market Trend Forecast.R: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/andreachello/Applied-Econometric-Time-Series/HEAD/Linear Models/Logistic Regression for DJI Market Trend Forecast.R -------------------------------------------------------------------------------- /Linear Models/Logistic Regression to Analyse the Impact of a Banking Crisis on GDP.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/andreachello/Applied-Econometric-Time-Series/HEAD/Linear Models/Logistic Regression to Analyse the Impact of a Banking Crisis on GDP.ipynb -------------------------------------------------------------------------------- /Linear Models/Taylor Rule Implementation of the Fed's Monetary Policy.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/andreachello/Applied-Econometric-Time-Series/HEAD/Linear Models/Taylor Rule Implementation of the Fed's Monetary Policy.ipynb -------------------------------------------------------------------------------- /Multivariate Time Series Analysis/Cointegrated VAR and VECM.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/andreachello/Applied-Econometric-Time-Series/HEAD/Multivariate Time Series Analysis/Cointegrated VAR and VECM.ipynb -------------------------------------------------------------------------------- /Multivariate Time Series Analysis/Multivariate Time Series Analysis - Simulating Cointegration.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/andreachello/Applied-Econometric-Time-Series/HEAD/Multivariate Time Series Analysis/Multivariate Time Series Analysis - Simulating Cointegration.ipynb -------------------------------------------------------------------------------- /Multivariate Time Series Analysis/Principal Component Analysis for Interest Rates.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/andreachello/Applied-Econometric-Time-Series/HEAD/Multivariate Time Series Analysis/Principal Component Analysis for Interest Rates.ipynb -------------------------------------------------------------------------------- /Multivariate Time Series Analysis/VAR and SVAR Model Analysis.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/andreachello/Applied-Econometric-Time-Series/HEAD/Multivariate Time Series Analysis/VAR and SVAR Model Analysis.ipynb -------------------------------------------------------------------------------- /Multivariate Time Series Analysis/VECM and Cointegration Analysis for Interest Rates.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/andreachello/Applied-Econometric-Time-Series/HEAD/Multivariate Time Series Analysis/VECM and Cointegration Analysis for Interest Rates.ipynb -------------------------------------------------------------------------------- /Multivariate Time Series Analysis/Vector Auto-regressive Models Applied to Interest Rates.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/andreachello/Applied-Econometric-Time-Series/HEAD/Multivariate Time Series Analysis/Vector Auto-regressive Models Applied to Interest Rates.ipynb -------------------------------------------------------------------------------- /Projects/Assignment 1 - Regression and Univariate Analysis.pdf: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/andreachello/Applied-Econometric-Time-Series/HEAD/Projects/Assignment 1 - Regression and Univariate Analysis.pdf -------------------------------------------------------------------------------- /Projects/HW5.pdf: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/andreachello/Applied-Econometric-Time-Series/HEAD/Projects/HW5.pdf -------------------------------------------------------------------------------- /Projects/Project1.R: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/andreachello/Applied-Econometric-Time-Series/HEAD/Projects/Project1.R -------------------------------------------------------------------------------- /README.md: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/andreachello/Applied-Econometric-Time-Series/HEAD/README.md -------------------------------------------------------------------------------- /Risk Management/Copula Modelling.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/andreachello/Applied-Econometric-Time-Series/HEAD/Risk Management/Copula Modelling.ipynb -------------------------------------------------------------------------------- /Risk Management/Modelling Insurance Claims.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/andreachello/Applied-Econometric-Time-Series/HEAD/Risk Management/Modelling Insurance Claims.ipynb -------------------------------------------------------------------------------- /Univariate Time Series Models/Evaluation of Univariate Time Series: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/andreachello/Applied-Econometric-Time-Series/HEAD/Univariate Time Series Models/Evaluation of Univariate Time Series -------------------------------------------------------------------------------- /Univariate Volatility Models/GARCH Process and The Box-Jenkins Methodology.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/andreachello/Applied-Econometric-Time-Series/HEAD/Univariate Volatility Models/GARCH Process and The Box-Jenkins Methodology.ipynb -------------------------------------------------------------------------------- /Univariate Volatility Models/Simulated GARCH Process and Estimation.rmd: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/andreachello/Applied-Econometric-Time-Series/HEAD/Univariate Volatility Models/Simulated GARCH Process and Estimation.rmd -------------------------------------------------------------------------------- /Univariate Volatility Models/Simulating a GARCH (1,1) Process.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/andreachello/Applied-Econometric-Time-Series/HEAD/Univariate Volatility Models/Simulating a GARCH (1,1) Process.ipynb -------------------------------------------------------------------------------- /Univariate Volatility Models/Stylized Facts of Financial Asset Returns.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/andreachello/Applied-Econometric-Time-Series/HEAD/Univariate Volatility Models/Stylized Facts of Financial Asset Returns.ipynb -------------------------------------------------------------------------------- /Univariate Volatility Models/Volatility Modelling.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/andreachello/Applied-Econometric-Time-Series/HEAD/Univariate Volatility Models/Volatility Modelling.ipynb --------------------------------------------------------------------------------