The primary purpose of this paper is to explore the herding behavior in the Chinese stock market during COVID-19 and the asymmetry of that behavior using the daily returns of A- and B-shares from 2 January 2019, to 15 October 2021. The study uses the cross-sectional absolute deviation model to...

In this paper we propose a Libor model with a high-dimensional specially structured system of driving CIR volatility processes. A stable calibration prodecure which takes into account a given local correlation structure is presented. The calibration algorithm is FFT based, so fast and easy to...