Narrow search
Showing 1 - 3 of 3
Cover Image
The Herd Behavior Index: A new measure for the implied degree of co-movement in stock markets
Dhaene, Jan; Linders, Daniël; Schoutens, Wim; Vyncke, David - In: Insurance: Mathematics and Economics 50 (2012) 3, pp. 357-370
We introduce a new and easy-to-calculate measure for the expected degree of herd behavior or co-movement between stock prices. This forward looking measure is model-independent and based on observed option data. It is baptized the Herd Behavior Index (HIX).
Persistent link: https://www.econbiz.de/10011046664
Cover Image
Bounds for present value functions with stochastic interest rates and stochastic volatility
De Schepper, Ann; Goovaerts, Marc; Dhaene, Jan; Kaas, Rob; … - In: Insurance: Mathematics and Economics 31 (2002) 1, pp. 87-103
Persistent link: https://www.econbiz.de/10005365497
Cover Image
The Herd Behavior Index : A New Measure for the Implied Degree of Co-Movement in Stock Markets
Dhaene, Jan - 2012
We introduce a new and easy-to-calculate measure for the expected degree of herd behavior or co-movement between stock prices. This forward looking measure is model-independent and based on observed option data. It is baptized the Herd Behavior Index (HIX).The degree of co-movement in a stock...
Persistent link: https://www.econbiz.de/10013114109