The herd behavior index: a new measure for the implied degree of co-movement in stock markets (Q414600)
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scientific article; zbMATH DE number 6033256
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| English | The herd behavior index: a new measure for the implied degree of co-movement in stock markets |
scientific article; zbMATH DE number 6033256 |
Statements
The herd behavior index: a new measure for the implied degree of co-movement in stock markets (English)
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11 May 2012
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comonotonicity
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herd behavior
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systemic risk
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correlation
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VIX volatility index
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0.8215588927268982
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0.77471923828125
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0.7369387149810791
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0.7311611771583557
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0.7307635545730591
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