volatility'. Although static herding model rejects the existence of herding in REITs markets, estimates of the regimes switching … model reveal substantial evidence of herding behaviours under the low volatility regime. Most interestingly we observe a … shift from anti-herding behaviour during high volatility regimes to herding behaviour under low volatility regime, with this …

forecast gold returns and its volatility, usinga method involving block means of residuals obtained from the popular …,can accurately forecast gold returns at short- to medium-term, and also time-varyingestimates of gold returns volatility to a lesser …

The aim of this study is to understand the effect of the recent novel coronavirus pandemic on investor herding behavior … diseases, we examine the association between pandemic-induced market uncertainty and herding behavior in a set of 49 global … models. Utilizing a time-varying variation of the static herding model, we first identify periods during which herding is …