EVI-Emerging Asia - EDHEC-Risk
EVI-Emerging Asia - EDHEC-Risk
EVI-Emerging Asia - EDHEC-Risk
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Dynamics of Correlation with<br />
Option-Implied Indices<br />
2-year Rolling Window Correlation with VIX<br />
• We observe<br />
different<br />
patterns before<br />
2007 and<br />
similar pattern<br />
afterwards.<br />
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<strong>EVI</strong>-US<br />
<strong>EVI</strong>-Japan<br />
<strong>EVI</strong>-Dev <strong>Asia</strong> ex<br />
Japan<br />
<strong>EVI</strong>-<strong>Emerging</strong><br />
<strong>Asia</strong><br />
2-year Rolling Window Correlation with VHSI<br />
<strong>EVI</strong>-US<br />
<strong>EVI</strong>-Japan<br />
<strong>EVI</strong>-Dev <strong>Asia</strong> ex<br />
Japan<br />
<strong>EVI</strong>-<strong>Emerging</strong><br />
<strong>Asia</strong>
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