Financial interpretation of herd behavior index and its statistical estimation
From MaRDI portal
Publication:2355272
DOI10.1016/j.jkss.2014.09.005zbMath1320.62213OpenAlexW1975574441MaRDI QIDQ2355272
Publication date: 21 July 2015
Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jkss.2014.09.005
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (1)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- The herd behavior index: a new measure for the implied degree of co-movement in stock markets
- An introduction to copulas.
- The concept of comonotonicity in actuarial science and finance: theory.
- Generalized autoregressive conditional heteroscedasticity
- A multivariate dependence measure for aggregating risks
- Characterization of upper comonotonicity via tail convex order
- On the multidimensional extension of countermonotonicity and its applications
- A framework for robust measurement of implied correlation
- Characterization of comonotonicity using convex order
- Risk Measures and Comonotonicity: A Review
- Realized Volatility: A Review
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Asymptotic Statistics
- Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
- Some Concepts of Dependence
This page was built for publication: Financial interpretation of herd behavior index and its statistical estimation
