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...

Полное описание

Библиографические подробности
Главный автор: Guarino, Antonio
Другие авторы: Cipriani, Marco
Формат: Журнал
Язык:English
Опубликовано: Washington, D.C. : International Monetary Fund, 2010.
Серии:IMF Working Papers; Working Paper ; No. 2010/288
Online-ссылка:Full text available on IMF