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phillips-perron

Here are 4 public repositories matching this topic...

bashtage / arch

ARCH models in Python

bootstrap finance spa time-series arch risk forecasting variance adf volatility multiple-comparison-procedures financial-econometrics unit-root dickey-fuller phillips-perron df-gls reality-check model-confidence-set

Updated Nov 6, 2024
Python

ozdemirozcelik / coint-tools

Pair Trading Analysis & Exercises Toolkit [Jupyter Notebook]

jupyter-notebook cointegration dickey-fuller phillips-perron pair-trading engle-granger

Updated Nov 3, 2023
Jupyter Notebook

karakastarik / stationarityR

Automating time series stationarity tests

time-series phillips-perron stationarity stationarity-assumption augmented-dickey-fuller-test stationarity-test

Updated Aug 25, 2021
R

monyakenes / Stationarity-tests

In the following R code I used packages like "MTS", "urca", "fUnitRoots" to conduct ADF test and Phillips Perron Test on 4-mariate financial data.

adf mts phillips-perron stationarity

Updated Mar 19, 2021
R

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