K
Kousik Guhathakurta
Researcher at Indian Institute of Management Indore
Publications - 27
Citations - 254
Kousik Guhathakurta is an academic researcher from Indian Institute of Management Indore. The author has contributed to research in topics: Emerging markets & Stock market. The author has an hindex of 4, co-authored 25 publications receiving 164 citations. Previous affiliations of Kousik Guhathakurta include Indian Institute of Management Kozhikode & Indian Institute of Management Ahmedabad.
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Journal ArticleDOI
Period specific volatility spillover based connectedness between oil and other commodity prices and their portfolio implications
TL;DR: In this paper, the authors analyzed the changing impact of oil price shocks on a bouquet of metal and agro prices and their implications for investment decisions, during different oil price regimes, separated by structural breaks.
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Empirical mode decomposition analysis of two different financial time series and their comparison
TL;DR: In this paper, the authors used the Hilbert-Huang empirical mode decomposition (EMD) technique to analyse two different financial time series, viz., the daily movement of NIFTY index value of National Stock Exchange, India, and that of Hong Kong AOI, Hong Kong Stock Exchange from July 1990 to January 2006.
Journal ArticleDOI
Using recurrence plot analysis to distinguish between endogenous and exogenous stock market crashes
TL;DR: In this paper, a new method for computing RQA measures with confidence intervals was proposed, and the analysis is made on Nifty, Hong Kong AOI and Dow Jones Industrial Average, taken over a time span of about 3 years for the endogenous crashes.
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The good, the bad and the ugly relation between oil and commodities: An analysis of asymmetric volatility connectedness and portfolio implications
TL;DR: The authors examined the direction and extent of asymmetric volatility connectedness between the oil and commodity markets, using five-minute interval data from the oil, natural gas, and 21 commodity futures markets.
Book ChapterDOI
Understanding the Interrelationship Between Commodity and Stock Indices Daily Movement Using ACE and Recurrence Analysis
TL;DR: In this article, the authors analyzed the complex dynamics of the daily variation of two indices of stock and commodity exchange respectively of India and the US market and found that the dynamics of Indian stock and commodities exchanges have a lagged correlation while those of US market have a lead correlation and a weaker correlation.