Komal Jindal

8 Questions 12 Answers 0 Followers

Questions related from Komal Jindal

Does time series needs to be non- stationary while applying Markov regime switching model?

Since Markov regime model is time varying model and regime can be made through variance switching ....and if it's time varying variance then how can we test for stationarity of the...

26 November 2022 8,443 0 View

From where to download the daily 91-day t- bill rate for the previous year for the Indian stock market?

I have got weekly auction data of 91-day t bill along with date of issue and cut-off implicit yield. I have read one paper they converted this data into daily by dividing the yield by number of...

20 November 2022 4,675 4 View

How to calculate Regime classification measure in eviews for Markov regime switching model?

I applied Markov regime switching in eviews but don't know how to apply residual diagnostic like rcm measure etc

24 September 2022 8,862 0 View

Can anyone tell me how to do Hansen LR test in eviews?

I want to use Hansen(1992,1996) LR test against the null hypothesis of single regime model. But I don't know how to apply it in eviews is there any way...or how to do it manually...please do help me

16 March 2022 1,689 3 View

Can I apply Markov model in eviews....is it ok?

I want to apply Markov model in eview...does it give reliable results?

05 March 2022 5,471 8 View

What is filtered probability in Markov models?

I have Some confusion in understanding filtered probability and smooth probability in Markov. Regime switching model

24 January 2022 8,591 4 View

Why do one need to restructure portfolio every year in fama french model. Infact we only need 5 portfolio for the whole time period?

I uploaded an paper image. They have checked the herd behavior based on market cap.so they made the Quintile portfolio. But they restructure it every year. If i make portfolio every year then I...

03 January 2022 5,867 5 View

Can anyone tell me criteria to divide the different companies into value stocks and growth stock companies?

I want to check herd behavior in value stocks and growth stocks companies. I have bse 500 companies and book to market ratio data of these companies.

22 December 2021 9,077 8 View