We examine the existence of herding and anti-herding (positive herding) behavior in major European benchmarking stock market indices. Following the recent events that unfolded in the Eurozone sovereign debt crisis our analysis is further expanded on two subsamples namely north and south European...

Typical issues of multivariate GARCH models are dimensionality, which is time consuming, both in terms of computations and their programming, and the availability of very few distributional schemes, since linear correlations are a natural dependence measure, only if the joint distribution of the...