The herd behavior index: a new measure for the implied degree of co-movement in stock markets (Q414600): Difference between revisions

From MaRDI portal
Added link to MaRDI item.
ReferenceBot (talk | contribs)
Changed an Item
 
(2 intermediate revisions by 2 users not shown)
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W3125638283 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q2771113 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Static super-replicating strategies for a class of exotic options / rank
 
Normal rank
Property / cites work
 
Property / cites work: Characterizing a comonotonic random vector by the distribution of the sum of its components / rank
 
Normal rank
Property / cites work
 
Property / cites work: Bounds for sums of random variables when the marginal distributions and the variance of the sum are given / rank
 
Normal rank
Property / cites work
 
Property / cites work: An Overview of Comonotonicity and Its Applications in Finance and Insurance / rank
 
Normal rank
Property / cites work
 
Property / cites work: The concept of comonotonicity in actuarial science and finance: applications. / rank
 
Normal rank
Property / cites work
 
Property / cites work: The concept of comonotonicity in actuarial science and finance: theory. / rank
 
Normal rank
Property / cites work
 
Property / cites work: FIX: The Fear Index—Measuring Market Fear / rank
 
Normal rank
Property / cites work
 
Property / cites work: Static-arbitrage upper bounds for the prices of basket options / rank
 
Normal rank
Property / cites work
 
Property / cites work: Moment swaps / rank
 
Normal rank

Latest revision as of 05:09, 5 July 2024

scientific article
Language Label Description Also known as
English
The herd behavior index: a new measure for the implied degree of co-movement in stock markets
scientific article

    Statements

    The herd behavior index: a new measure for the implied degree of co-movement in stock markets (English)
    0 references
    0 references
    0 references
    0 references
    0 references
    11 May 2012
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    comonotonicity
    0 references
    herd behavior
    0 references
    systemic risk
    0 references
    correlation
    0 references
    VIX volatility index
    0 references
    0 references