The Herd Behavior Index: A new measure for the implied degree of co-movement in stock markets-Reference-Cited by-同舟云学术

The Herd Behavior Index: A new measure for the implied degree of co-movement in stock markets

Published:2012-05 Issue:3 Volume:50 Page:357-370
ISSN:0167-6687
Container-title:Insurance: Mathematics and Economics
language:en
Short-container-title:Insurance: Mathematics and Economics

Author:

Dhaene Jan,Linders Daniël,Schoutens Wim,Vyncke David

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference18 articles.

1. Towards a theory of volatility trading;Carr,2001

2. A tale of two indices;Carr;The Journal of Derivatives,2006

3. Static super-replicating strategies for a class of exotic options;Chen;Insurance: Mathematics & Economics,2008

4. Characterizing a comonotonic random vector by the distribution of the sum of its components;Cheung;Insurance: Mathematics & Economics,2010

5. Cheung, K.C., Vanduffel, S., 2011. Bounds for sums of random variables when the marginal distributions and the variance of the sum are given. Scandinavian Actuarial Journal (in press).

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