The herd behavior index: a new measure for the implied degree of co-movement in stock markets
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Publication:414600
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
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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