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amittal92

Amit Mittal

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Weak Effects of the Crisis
Confirmation of crisis - heightened correlations
Plot
Plot
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Plot
Crisis Period - Covariances and correlations (200901 - 201206) -flatlined correlations
Crisis Period - Covariances and correlations (200901 - 201206)
Steady as she goes..China peaking correlations at 10%?
Steady as she goes..reducing covariances, keeping correlations (Trump and Powell are in)
Steady as she goes..reducing covariances, keeping correlations
Sub Sample 'Post' Crisis - Interesting Covariances and correlations - Intra pacific
Steady as she goes..reducing covariances, keeping correlations
Sub Sample 'Post' Crisis - Interesting Covariances and correlations - Intra pacific
Sub Sample 'Post' Crisis - Let the good times roll with high stable correlations at .45 not .55 - Intra pacific
Sub Sample 'Post' Crisis - Interesting Covariances and correlations - Intra pacific
Korea Taiwan and Asean, Reducing covariances, keeping correlations
Steady as she goes..reducing covariances, keeping correlations
Asean 4 Pre 2007 - A (somewhat) well knit community
Sub Sample Pre Crisis - Id, Th, Ph and S&P 500
Sub Sample Pre Crisis - Tw, Kr, Ma and S&P 500
Sub Sample Pre Crisis - Ch, Hk, Sp and S&P 500,
Sub Sample Pre Crisis - In, Au, Eu and S&P 500,
Asean - Precrisis corrs Singapore + ID, TH, PH
Pre Crisis ASEAN Correlations with Tpe
Sub Sample Pre Crisis - Interesting Covariances KOSPI and the S&P 500
Sub Sample Pre Crisis - Interesting Covariances Shnghai Composite and the S&P 500
Dynamic conditional Correlations - Asean 4 ex Singapore
Dynamic conditional Correlations - Sample Countries: Taiwan, Korea, Thailand, Philippines
Dynamic conditional Correlations - Sample Countries: India, China, Hong Kong, Singapore
Dynamic conditional Correlations - Sample Countries: Taiwan, Korea, Malaysia, Indonesia
Dynamic conditional Correlations - SnP500, Taiwan, Korea and Indonesia
Dynamic conditional Correlations - Asean and the US markets
Dynamic conditional Correlations - China, S&P 500, HK and Singapore
Dynamic conditional Correlations - Developed Markets
DCC Conditional Correlations - TAIWGHT, FBMKLCI, BNGKSET, PSECOMP
Dynamic conditional Correlations - TAIWGHT. KORCOMP, FBMKLCI, JAKCOMP
DCC Conditional Correlations - INNSE50, CHSCOMP, HNGKNGI, SNGPORI
Korea realised variance
NSE 50 Realised Variance
S&P 500 - All regimes since 1992
Stunted correlations in Asia till 2006
1992 - 2006
Extended crisis 2007 - 2013
Pre crisis period plots
Latest 3 years - Heightened Corrs, US corr up to ~15-20%
Crisis period Jumps in correlation
2009/01-2012/06
Correlations between 3DM and 10 SEACEN Markets
1992/06 -2017
Pearson 36 indices
chart.Correlations using Performance Analytics
S&PCOMP
Dailies 1992/06-2017
Euro Stoxx 50
ASX 200
Dailies 1992/06-2017
India NSE 50 Nifty 50
Dailies (Returns) 1992/06 - 2017
Shanghai Composite
Dailies 1992/06 - 2017
Hong Kong
Dailies 1992/06 - 2017
Singapore
lnret Daily Log returns
Taipei Weighted Index
lnret 1992/06 - 2017
KOSPI Composite
lnret Log Daily returns 06/1992-12/2017
FTSE Bursa Malaysia KLCI
lnret (Log Daily Returns)
Jakarta Composite
Full Sample - Daily Log Returns
BNGKSET
PSE COMPOSITE
Full Sample 13 markets lnret (log Daily Returns)
Plot - Malaysia SVAR A Matrix- FEVD
Plot - SINGAPORE SVAR A Matrix- FEVD
Plot - HK SVAR B Matrix- FEVD
Plot - India SVAR B Matrix- FEVD
Plot - India SVAR B Matrix
Plot - India SVAR B Matrix
Plot - India SVAR B Matrix