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

DOI10.1016/j.insmatheco.2012.01.005zbMath1237.91237MaRDI 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

correlation; comonotonicity; herd behavior; systemic risk; VIX volatility index

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G70: Statistical methods; risk measures

62H20: Measures of association (correlation, canonical correlation, etc.)

91B82: Statistical methods; economic indices and measures

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Cites Work