Measuring Comonotonicity in M-Dimensional Vectors
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Cited by:
- Daniël Linders & Jan Dhaene & Wim Schoutens, 2015.
"Option prices and model-free measurement of implied herd behavior in stock markets,"
International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 2(02), pages 1-35.
- Daniël Linders & Jan Dhaene & Wim Schoutens, 2015. "Option Prices and Model-free Measurement of Implied Herd Behavior in Stock Markets," Tinbergen Institute Discussion Papers 15-002/IV/DSF 83, Tinbergen Institute.
- Daniël Linders & Jan Dhaene & Wim Schoutens, 2015. "Option prices and model-free measurement of implied herd behavior in stock markets," Working Papers Department of Accountancy, Finance and Insurance (AFI), Leuven 485228, KU Leuven, Faculty of Economics and Business (FEB), Department of Accountancy, Finance and Insurance (AFI), Leuven.
- Rafał Wójcik & Charlie Wusuo Liu & Jayanta Guin, 2019. "Direct and Hierarchical Models for Aggregating Spatially Dependent Catastrophe Risks," Risks, MDPI, vol. 7(2), pages 1-22, May.
- Rafał Wójcik & Charlie Wusuo Liu, 2022. "Bivariate Copula Trees for Gross Loss Aggregation with Positively Dependent Risks," Risks, MDPI, vol. 10(8), pages 1-24, July.
- Ying Zhang & Chuancun Yin, 2014. "A new multivariate dependence measure based on comonotonicity," Papers 1410.7845, arXiv.org.
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