This paper suggests a dynamic measure of intentional herding, causing the excess volatility or even systemic risk in financial markets, which is based on a new concept of cumulative returns in the same direction as well as the collective behavior of all investors towards the market consensus....

Powell (1986) proposed a quantile regression estimator for censored regression models on the basis of equivariance of quantiles to monotone transformations. In this thesis, censored quantile regression models are generalized using two-parameter Box-Cox transformation to relax the conventional...