Measuring herd behavior: properties and pitfalls

DOI10.1515/demo-2017-0019zbMath1393.62045OpenAlexW2783437023MaRDI QIDQ1648669

Jae Youn Ahn, Woo-Joo Lee

Publication date: 27 June 2018

Published in: Dependence Modeling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/demo-2017-0019

zbMATH Keywords

copulacomonotonicityherd behaviorherd behavior index

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

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