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Due to its simplicity and familiarity, the Gaussian copula is popular in calculating risk in collaterized debt obligations, but it imposes asymptotic independence such that extreme events appear to be unrelated. This restriction might be innocuous in normal times, but during extreme events, such...
Persistent link: https://www.econbiz.de/10011010055
contagion. We work in the copula framework, which offers a full description of the dependence structure. Importantly, we assess …We investigate the dependence structure between Polish and foreign financial assets, including stocks, bonds and … extent long-term sovereign bonds exhibit economically significant tail dependence, while short-term bonds appear relatively …
Persistent link: https://www.econbiz.de/10010748238
. Furthermore, analyzing contagion within the neighbourhoods, we find that agents tend to imitate similar types ((un)-generous or … element of contagion in trustors’ behaviour. …
Persistent link: https://www.econbiz.de/10011220553
formation of social ties due to matching individual traits; social contagion, also known as social influence; and the causal … imitation (a form of social contagion) can produce substantial correlations between an individual's enduring traits and his or …
Persistent link: https://www.econbiz.de/10009294312
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This paper investigates opinion dynamics and social in uence in directed communication networks. We study the theoretical properties of a boundedly rational model of opinion formation in which individuals aggregate the information they receive from their neighbors by using weights that are a...
Persistent link: https://www.econbiz.de/10011265894
How can minority cultures resist assimilation into a global monolith in an increasingly "small world"? Paradoxically, Axel rod found that local convergence can actually preserve global diversity if cultural influence is combined with homophily, the principle that "likes attract." However,...
Persistent link: https://www.econbiz.de/10009654076
We study how multiattribute product choices are affected by peer influence. We propose a two-stage conjoint-based approach to examine three behavioral mechanisms of peer influence. We find that when faced with information on peer choices, consumers update their attribute preferences in a...
Persistent link: https://www.econbiz.de/10009218474
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