The herd behavior index: a new measure for the implied degree of co-movement in stock markets

DOI10.1016/j.insmatheco.2012.01.005zbMath1237.91237OpenAlexW3125638283MaRDI QIDQ414600

Wim Schoutens, David Vyncke, Daniël Linders, Jan Dhaene

Publication date: 11 May 2012

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://biblio.ugent.be/publication/3099691

zbMATH Keywords

correlationcomonotonicityherd behaviorsystemic riskVIX volatility index

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Measures of association (correlation, canonical correlation, etc.) (62H20) Statistical methods; economic indices and measures (91B82)

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Cites Work

• Unnamed Item
• Characterizing a comonotonic random vector by the distribution of the sum of its components
• Static super-replicating strategies for a class of exotic options
• The concept of comonotonicity in actuarial science and finance: theory.
• The concept of comonotonicity in actuarial science and finance: applications.
• Bounds for sums of random variables when the marginal distributions and the variance of the sum are given
• FIX: The Fear Index—Measuring Market Fear
• Static-arbitrage upper bounds for the prices of basket options
• Moment swaps
• An Overview of Comonotonicity and Its Applications in Finance and Insurance

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