Bayesian analysis of herding behaviour: an application to Spanish equity mutual funds

DOI10.1002/ASMB.2087zbMath1420.91442OpenAlexW1998620438MaRDI 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

zbMATH Keywords

Bayesian inferenceMCMCweighted likelihoodFama and French three-factor modelherding behaviourequity mutual fundsstyle exposures

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Derivative securities (option pricing, hedging, etc.) (91G20)

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