Measuring herd behavior: properties and pitfalls

DOI10.1515/demo-2017-0019zbMath1393.62045OpenAlexW2783437023MaRDI QIDQ1648669

Jae Youn Ahn, Woo-Joo Lee

Publication date: 27 June 2018

Published in: Dependence Modeling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/demo-2017-0019

zbMATH Keywords

copulacomonotonicityherd behaviorherd behavior index

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Cites Work

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• Characterization of upper comonotonicity via tail convex order
• Negative dependence concept in copulas and the marginal free herd behavior index
• Financial interpretation of herd behavior index and its statistical estimation
• A framework for robust measurement of implied correlation
• Characterization of comonotonicity using convex order
• Advances in Complete Mixability
• Joint Mixability
• Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling

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