Stochastic modelling of herd behaviour indices

DOI10.1080/14697688.2015.1007075zbMath1398.91521OpenAlexW2058695886MaRDI QIDQ4683112

Florence Guillaume, Daniël Linders

Publication date: 19 September 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://hdl.handle.net/10067/1239120151162165141

zbMATH Keywords

comonotonicitymean-reverting processesherd behaviour modellingtime-dependent diffusion processes

Mathematics Subject Classification ID

Diffusion processes (60J60) Portfolio theory (91G10)

Cites Work

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• The concept of comonotonicity in actuarial science and finance: applications.
• A framework for robust measurement of implied correlation
• A Theory of the Term Structure of Interest Rates
• FIX: The Fear Index—Measuring Market Fear
• Ordered random vectors and equality in distribution
• An Overview of Comonotonicity and Its Applications in Finance and Insurance
• Upper and lower bounds for sums of random variables

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