This paper proposes a new panel model of cross-sectional dependence. The model has a number of potential structural … interpretations that relate to economic phenomena such as herding in financial markets. On an econometric level it provides a flexible … approach to the modelling of interactions across panel units and can generate endogenous cross-sectional dependence that can …

rational explanation of the strong home bias observed in US investors' asset allocation, based on regime switching, skew and …