23 Questions 29 Answers 0 Followers
Questions related from Komal Jindal
Actually I want to collect macroeconomic announcement and variable data for India but I don't have access to Bloomberg. I urgently need it. Please help me to get the data...i shall be very...
12 February 2024 3,257 0 View
Fama and french calculated value weighted portfolio return while framing SMB, HML and WML factor. But why not equal weighted portfolio returns because I think equal weighted portfolio have more...
13 December 2022 6,292 2 View
I want to identify whether stocks has postive alpha or negative alpha based on carhart four factor model. I calculated smb, hml and wml factor daily series. And then run a regression by taking...
05 December 2022 3,721 3 View
I have a paper which calculate total return including dividend payment. I have data of dividend per share and their announcement date, record date and ex-dividend date for all companies in bse...
01 December 2022 5,117 0 View
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 8,505 0 View
I wan to understand the difference between structural shifts in the time series and regime shift in the time series. Both are time varying models.
26 November 2022 7,421 5 View
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 4,716 4 View
I ran Markov regime switching model with shared garch ....i used the garch model with MS just to remove heteroscedasticity....my main variable are in mean model....so i wanna divide the high and...
03 October 2022 5,930 0 View
I applied Markov regime switching in eviews but don't know how to apply residual diagnostic like rcm measure etc
24 September 2022 9,085 0 View
I want to replicate the results of newey and west Hac ols regression results of eviews in r.....I have used neweywest () function in r but error is there... I want to apply The default setting...
04 September 2022 2,157 3 View
I want BSE 500 and it's constituents 30 min. Interval data from. 2018 to 2022 from Thomson Reuters eikon excel...anyone know how to extract it..
05 August 2022 4,216 0 View
I am applying Bai and perron (1998) structural change model in eviews using sequential l+1vs l. It's giving me different break dates in sequential and repartition method. Which one to consider.
27 June 2022 10,071 4 View
I have multiple asian countries....to check the herding spillover I have to take one countries market return as a independent variable in another countries model equation...I have the return in...
22 June 2022 8,952 4 View
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 1,746 3 View
I have read many papers , some have used traditional ADF test for stationarity while some used Minimum Bayes factor ADF test or Markov Switching ADF . Is Simple ADF is not enough and how to do...
09 March 2022 4,386 0 View
I want to apply Markov model in eview...does it give reliable results?
05 March 2022 5,530 8 View
In Markov model, we take alpha as mean switch and error term as volatility. So i want to know shall I take both term regime switch at the same time or treat one constant and another regime switch.
02 March 2022 1,222 1 View
Actually, I have daily volume data of 300 companies for 10 year. I want to divide the companies into high, medium and low volume clusters. I can't understand how to apply it on ratio scale data......
23 February 2022 7,818 6 View
I have trade volume daily data for 12 years of 500 companies. I wanna divide these companies into high, medium and low volume portfolio using trade volume data. Can someone help me in this regard
10 February 2022 6,234 5 View
I have Some confusion in understanding filtered probability and smooth probability in Markov. Regime switching model
24 January 2022 8,726 4 View
I have 500 companies individual data for the period 2009-2021. There are so many missing values in the data. So I deleted those company whose data is missing greater than 5 percent. So with the...
16 January 2022 1,529 3 View
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 5,939 5 View
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 9,178 8 View
