政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/76091
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 11 |  Items with full text/Total items : 88987/118697 (75%)
Visitors : 23581740      Online Users : 653
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/76091


    Title: Asymmetric volatility, volatility clustering, and herding agents with a borrowing constraint
    Authors: Yamamoto, Ryuichi
    山本竜市
    Contributors: 國貿系
    Keywords: Asymmetric volatility;Econophysicss;Empirical research;Nearest neighbors;Simulation analysis;Spin models;Stock market;Volatility clustering;Spin dynamics;Simulators
    Date: 2010-03
    Issue Date: 2015-06-29 17:12:33 (UTC+8)
    Abstract: Recent empirical research has documented asymmetric volatility and volatility clustering in stock markets. We conjecture that a limit of arbitrage due to a borrowing constraint and herding behavior by investors are related to these phenomena. This study conducts simulation analyses on a spin model where borrowing constrained agents imitate their nearest neighbors but switch their strategies to a different one intermittently. We show that herding matters for volatility clustering while a borrowing constraint intensifies the asymmetry of volatility through the herding effect. © 2009 Elsevier B.V. All rights reserved.
    Relation: Physica A: Statistical Mechanics and its Applications, 389(6), 1208-1214
    Data Type: article
    DOI link: http://dx.doi.org/10.1016/j.physa.2009.11.038
    DOI: 10.1016/j.physa.2009.11.038
    Appears in Collections:[Department of International Business ] Periodical Articles

    Files in This Item:

    File Description SizeFormat
    1208-1214.pdf388KbAdobe PDF545View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告
    1.本網站之數位內容為國立政治大學所收錄之機構典藏,無償提供學術研究與公眾教育等公益性使用,惟仍請適度,合理使用本網站之內容,以尊重著作權人之權益。商業上之利用,則請先取得著作權人之授權。
    2.本網站之製作,已盡力防止侵害著作權人之權益,如仍發現本網站之數位內容有侵害著作權人權益情事者,請權利人通知本網站維護人員(nccur@nccu.edu.tw),維護人員將立即採取移除該數位著作等補救措施。
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback