Estimating a Structural Model of Herd Behavior in Financial Markets /
We develop a new methodology to estimate the importance of herd behavior in financial markets: we build a structural model of informational herding that can be estimated with financial transaction data. In the model, rational herding arises because of information-event uncertainty. We estimate the m...
| المؤلف الرئيسي: | |
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| مؤلفون آخرون: | |
| التنسيق: | دورية |
| اللغة: | English |
| منشور في: |
Washington, D.C. :
International Monetary Fund,
2010.
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| سلاسل: | IMF Working Papers; Working Paper ;
No. 2010/288 |
| الوصول للمادة أونلاين: | Full text available on IMF |