DSpace at EWHA: Measuring herd behavior: Properties and pitfalls

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DC Field	Value	Language
dc.contributor.author	안재윤	*
dc.date.accessioned	2018-11-22T16:30:33Z	-
dc.date.available	2018-11-22T16:30:33Z	-
dc.date.issued	2017	*
dc.identifier.issn	2300-2298	*
dc.identifier.other	OAK-23828	*
dc.identifier.uri	https://dspace.ewha.ac.kr/handle/2015.oak/246972	-
dc.description.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.	*
dc.language	English	*
dc.publisher	De Gruyter Open Ltd	*
dc.subject	Comonotonicity	*
dc.subject	Copula	*
dc.subject	Herd behavior	*
dc.subject	Herd behavior index	*
dc.title	Measuring herd behavior: Properties and pitfalls	*
dc.type	Article	*
dc.relation.issue	1	*
dc.relation.volume	5	*
dc.relation.index	SCOPUS	*
dc.relation.startpage	316	*
dc.relation.lastpage	329	*
dc.relation.journaltitle	Dependence Modeling	*
dc.identifier.doi	10.1515/demo-2017-0019	*
dc.identifier.scopusid	2-s2.0-85044151861	*
dc.author.google	Lee W.	*
dc.author.google	Ahn J.Y.	*
dc.contributor.scopusid	안재윤(36472886700)	*
dc.date.modifydate	20260702140301	*