date. The construction of these measures is based on the theory of comonotonicity. Both types of herd behavior indices are …

explicit nature of the dynamics of the CBS we show that the introduction of herding modifies the random walk to an ARIMA($0 …

The sum of squared intraday returns provides an unbiased and almost error-free measure of ex-post volatility. In this … paper we develop a nonlinear Autoregressive Fractionally Integrated Moving Average (ARFIMA) model for realized volatility …, which accommodates level shifts, day-of-the-week effects, leverage effects and volatility level effects. Applying the model …

. The evolutionarymodel explains stylized facts, such as fat tails,volatility clustering and long memory, of real financial …