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文章基本信息

  • 标题:Measuring herd behavior: properties and pitfalls
  • 本地全文:下载
  • 作者:Woojoo Lee ; Jae Youn Ahn
  • 期刊名称:Dependence Modeling
  • 电子版ISSN:2300-2298
  • 出版年度:2017
  • 卷号:5
  • 期号:1
  • 页码:316-329
  • DOI:10.1515/demo-2017-0019
  • 出版社:Walter de Gruyter GmbH
  • 摘要:

    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 reflect 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.

  • 关键词:herd behavior ; herd behavior index ; comonotonicity ; copula
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