Salim Ali Shamsher

11 Questions 31 Answers 0 Followers

Questions related from Salim Ali Shamsher

Should a full course in Management Audit / Internal Audit be taught in an MBA ( Major- Finance) program ?

Your inputs most appreciated.

08 September 2020 6,421 28 View

Any specific studies with a clear interpretation involving the GARCH-MIDAS model?

Seeking studies involving applications of the GARCH-MIDAS model.

09 May 2018 1,407 3 View

I need help in modelling a Bi Variate DCC-GARCH in Eviews environment ?

I do know that Eviews has an add on for this model, But I am using a old version of the Eviews and therefore the add on feature cannot be incorporated in the same.

29 January 2018 560 4 View

If I want to check for interdependence between two financial markets , would using JJ test of cointegration and the EGARCH framework be appropriate?

The JJ test for establishing a long run co integrating relationship and the EGARCH for verifying short run dynamic linkages. Would DCC-MGARCH be preferable to EGARCH and if so , why?

20 July 2017 1,346 2 View

Would stationarity of time series be a pre-condition before applying the GARCH Model ?If it is so why would this be required ?

Testing for Volatility.

06 April 2017 2,672 4 View

Under what circumstances would the ARDL be preferable to the JJ Procedure with respect to checking for co integration?

How could one choose between the two methods?, Which of the two would be more preferable and under what circumstances?

03 April 2017 7,324 2 View

Any Studies providing a comparative analysis between Dynamic OLS ( DOLS), Fully Modified OLS ( FMOLS) and OLS?

Time Series Analysis- Application of Dynamic OLS and Fully Modified OLS and Why would they be superior to a an OLS especially with reference to a co integrating regression.

24 May 2016 3,195 32 View

In case of a bi variate model , should i check both the residual series for stationarity while using the Engle Granger two step cointegration method?

Lets assume that I am planning to check for co integration between two I(1) series , X and Y and I have chosen X as the dependent and Y as explanatory variable. In such a case , do i need to...

10 January 2016 5,570 4 View

Can I run an OLS regression on the system generated VECM Equation?

This I am planning to do to check the p values associated with the coefficients and to run a Wald Test to check the restrictions on the coefficients of VECM.

22 December 2015 5,758 3 View

Is it possible to run Dynamic OLS on cointegrated ( but non stationary at level )variables ?

The Variables are cointegrated ( non stationary at level but I(1) ).`is DOLS robust to serial correlation and heteroskedasticity in residuals?

18 December 2015 1,142 4 View

How should I run a regression on cointegrated variables?

The two time series are non stationary at level but stationary on first difference - I(1). I have already performed Engle Granger and the Johansen Test and found them to be cointegrated in both...

17 December 2015 3,376 3 View