Bayesian Conditional Cointegration

Due to popular demand, this website has been created to share code for the paper Bayesian Conditional Cointegration presented at ICML 2012. [supplementary] []


Jupyter notebooks are available


A Jupyter notebook is available

If there is interest, I will try to find the time to release versions of my code in MATLAB, R, or even C. If you are interested, please get in touch.

I hope this code proves useful.

Chris Bracegirdle, April 2017.

Older information about the paper, my PhD thesis, and me is still available at my UCL homepage.

Contact me