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Persistent link: https://www.econbiz.de/10011418887
Persistent link: https://www.econbiz.de/10011333475
In this paper, we introduce two classes of indices which can be used to measure the market perception concerning the degree of dependency that exists between a set of random variables, representing different stock prices at a fixed future date. The construction of these measures is based on the...
Persistent link: https://www.econbiz.de/10010464790
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
In this paper, we introduce two classes of indices which can be used to measure the market perception concerning the degree of dependency that exists between a set of random variables, representing different stock prices at a fixed future date.The construction of these measures is based on the...
Persistent link: https://www.econbiz.de/10013026459
In this paper, we introduce two classes of indices which can be used to measure the market perception concerning the degree of dependency that exists between a set of random variables, representing different stock prices at a fixed future date. The construction of these measures is based on the...
Persistent link: https://www.econbiz.de/10013039909
Persistent link: https://www.econbiz.de/10009544167