View : 139 Download: 0

Measuring herd behavior: Properties and pitfalls

Title
Measuring herd behavior: Properties and pitfalls
Authors
Lee W.Ahn J.Y.
Ewha Authors
안재윤
SCOPUS Author ID
안재윤scopus
Issue Date
2017
Journal Title
Dependence Modeling
ISSN
2300-2298JCR Link
Citation
Dependence Modeling vol. 5, no. 1, pp. 316 - 329
Keywords
ComonotonicityCopulaHerd behaviorHerd behavior index
Publisher
De Gruyter Open Ltd
Indexed
SCOPUS scopus
Document Type
Article
Abstract
Herd behavior is an important economic phenomenon, especially in the context of the recent financial crises. Prior studies propose several measures to quantify herd behavior. In this paper, we show that these measures reffiect different perspectives on this behavior, and hence, their interpretation requires great care. Taking a critical attitude toward existing herd behavior measures, we study their properties and pitfalls in detail. © 2017 Piotr Jaworski, published by De Gruyter Open. This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivs 3.0 License.
DOI
10.1515/demo-2017-0019
Appears in Collections:
자연과학대학 > 통계학전공 > Journal papers
Files in This Item:
There are no files associated with this item.
Export
RIS (EndNote)
XLS (Excel)
XML


qrcode

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.

BROWSE