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...
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| Format: | Revista |
| Idioma: | English |
| Publicat: |
Washington, D.C. :
International Monetary Fund,
2010.
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| Col·lecció: | IMF Working Papers; Working Paper ;
No. 2010/288 |
| Accés en línia: | Full text available on IMF |