bashtage / arch Star 1.3k Code Issues Pull requests 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 May 17, 2024 Python
ozdemirozcelik / coint-tools Star 13 Code Issues Pull requests Pair Trading Analysis & Exercises Toolkit [Jupyter Notebook] jupyter-notebook cointegration dickey-fuller phillips-perron pair-trading engle-granger Updated Nov 3, 2023 Jupyter Notebook
monyakenes / Stationarity-tests Star 0 Code Issues Pull requests 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
karakastarik / stationarityR Star 0 Code Issues Pull requests Automating time series stationarity tests time-series phillips-perron stationarity stationarity-assumption augmented-dickey-fuller-test stationarity-test Updated Aug 25, 2021 R