Bayesian analysis of herding behaviour: an application to Spanish equity mutual funds
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Publication:4620126
DOI10.1002/asmb.2087zbMath1420.91442MaRDI QIDQ4620126
Laura Andreu, Pilar Gargallo, Manuel Salvador, José Luis Sarto
Publication date: 8 February 2019
Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)
Full work available at URL: http://zaguan.unizar.es/record/32734
Bayesian inference; MCMC; weighted likelihood; Fama and French three-factor model; herding behaviour; equity mutual funds; style exposures
62P05: Applications of statistics to actuarial sciences and financial mathematics
62F15: Bayesian inference
91G20: Derivative securities (option pricing, hedging, etc.)