Remco C. J. Zwinkels

VU University Amsterdam - Department of Finance and Financial Sector Management

Professor

De Boelelaan 1105

Amsterdam, NL-1081HV

Netherlands

http://research.vu.nl/en/persons/remco-zwinkels

SCHOLARLY PAPERS

54

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30

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49

Scholarly Papers (54)

1.

Non-Standard Errors

Number of pages: 56 Posted: 23 Nov 2021 Last Revised: 29 Nov 2021
Albert J. Menkveld, Anna Dreber, Felix Holzmeister, Juergen Huber, Magnus Johannesson, Michael Kirchler, Michael Razen, Utz Weitzel, David Abad, Menachem (Meni) Abudy, Tobias Adrian, Yacine Ait-Sahalia, Olivier Akmansoy, Jamie Alcock, Vitali Alexeev, Arash Aloosh, Livia Amato, Diego Amaya, James Angel, Amadeus Bach, Edwin Baidoo, Gaetan Bakalli, Andrea Barbon, Oksana Bashchenko, Parampreet Christopher Bindra, Geir Hoidal Bjonnes, Jeff Black, Bernard S. Black, Santiago Bohorquez, Oleg Bondarenko, Charles S. Bos, Ciril Bosch-Rosa, Elie Bouri, Christian T. Brownlees, Anna Calamia, Viet Nga Cao, Gunther Capelle-Blancard, Laura Capera, Massimiliano Caporin, Allen Carrion, Tolga Caskurlu, Bidisha Chakrabarty, Mikhail Chernov, William M. Cheung, Ludwig B. Chincarini, Tarun Chordia, Sheung Chi Chow, Benjamin Clapham, Jean-Edouard Colliard, Carole Comerton-Forde, Edward Curran, Thong Dao, Wale Dare, Ryan J. Davies, Riccardo De Blasis, Gianluca De Nard, Fany Declerck, Oleg Deev, Hans Degryse, Solomon Deku, Christophe Desagre, Mathijs A. Van Dijk, Chukwuma Dim, Thomas Dimpfl, Yun Jiang Dong, Philip Drummond, Tom Dudda, Ariadna Dumitrescu, Teodor Dyakov, Anne Haubo Dyhrberg, Michał Dzieliński, Asli Eksi, Izidin El Kalak, Saskia ter Ellen, Nicolas Eugster, Martin D.D. Evans, Michael Farrell, Ester Félez-Viñas, Gerardo Ferrara, El Mehdi FERROUHI, Andrea Flori, Jonathan Fluharty-Jaidee, Sean Foley, Kingsley Y. L. Fong, Thierry Foucault, Tatiana Franus, Francesco A. Franzoni, Bart Frijns, Michael Frömmel, Servanna Fu, Sascha Füllbrunn, Baoqing Gan, Thomas Gehrig, Dirk Gerritsen, Javier Gil-Bazo, Lawrence R. Glosten, Thomas Gomez, Arseny Gorbenko, Ufuk Güçbilmez, Joachim Grammig, Vincent Gregoire, Björn Hagströmer, Julien Hambuckers, Erik Hapnes, Jeffrey H. Harris, Lawrence Harris, Simon Hartmann, Jean-Baptiste Hasse, Nikolaus Hautsch, Xuezhong He, Davidson Heath, Simon Hediger, Terrence Hendershott, Ann Marie Hibbert, Erik Hjalmarsson, Seth A. Hoelscher, Peter Hoffmann, Craig W. Holden, Alex R. Horenstein, Wenqian Huang, Da Huang, Christophe Hurlin, Alexey Ivashchenko, Subramanian R. Iyer, Hossein Jahanshahloo, Naji Jalkh, Charles M. Jones, Simon Jurkatis, Petri Jylha, Andreas Kaeck, Gabriel Kaiser, Arzé Karam, Egle Karmaziene, Bernhard Kassner, Markku Kaustia, Ekaterina Kazak, Fearghal Kearney, Vincent van Kervel, Saad Khan, Marta Khomyn, Tony Klein, Olga Klein, Alexander Klos, Michael Koetter, Jan Pieter Krahnen, Aleksey Kolokolov, Robert A. Korajczyk, Roman Kozhan, Amy Kwan, Quentin Lajaunie, FY Eric C Lam, Marie Lambert, Hugues Langlois, Jens Lausen, Tobias Lauter, Markus Leippold, Vladimir Levin, Yijie Li, (Michael) Hui Li, Chee Yoong Liew, Thomas Lindner, Oliver B. Linton, Jiacheng Liu, Anqi Liu, Guillermo Llorente, Matthijs Lof, Ariel Lohr, Francis A. Longstaff, Alejandro Lopez-Lira, Shawn Mankad, Nicola Mano, Alexis Marchal, Charles Martineau, Francesco Mazzola, Debrah Meloso, Roxana Mihet, Vijay Mohan, Sophie Moinas, David Moore, Liangyi Mu, Dmitriy Muravyev, Dermot Murphy, Gabor Neszveda, Christian Neumeier, Ulf Nielsson, Mahendrarajah Nimalendran, Sven Nolte, Lars L. Norden, Peter O'Neill, Khaled Obaid, Bernt Arne Ødegaard, Per Östberg, Marcus Painter, Stefan Palan, Imon Palit, Andreas Park, Roberto Pascual, Paolo Pasquariello, Lubos Pastor, Vinay Patel, Andrew J. Patton, Neil D. Pearson, Loriana Pelizzon, Matthias Pelster, Christophe Pérignon, Cameron Pfiffer, Richard Philip, Tomáš Plíhal, Puneet Prakash, Oliver-Alexander Press, Tina Prodromou, Tālis J. Putniņš, Gaurav Raizada, David A. Rakowski, Angelo Ranaldo, Luca Regis, Stefan Reitz, Thomas Renault, Rex Wang Renjie, Roberto Renò, Steven Riddiough, Kalle Rinne, Paul Rintamäki, Ryan Riordan, Thomas Rittmannsberger, Iñaki Rodríguez-Longarela, Dominik Rösch, Lavinia Rognone, Brian Roseman, Ioanid Rosu, Saurabh Roy, Nicolas Rudolf, Stephen Rush, Khaladdin Rzayev, Aleksandra Rzeźnik, Anthony Sanford, Harikumar Sankaran, Asani Sarkar, Lucio Sarno, O. Scaillet, Stefan Scharnowski, Klaus Reiner Schenk-Hoppé, Andrea Schertler, Michael Schneider, Florian Schroeder, Norman Schürhoff, Philipp Schuster, Marco A. Schwarz, Mark S. Seasholes, Norman Seeger, Or Shachar, Andriy Shkilko, Jessica Shui, Mario Sikic, Giorgia Simion, Lee A. Smales, Paul Söderlind, Elvira Sojli, Konstantin Sokolov, Laima Spokeviciute, Denitsa Stefanova, Marti G. Subrahmanyam, Sebastian Neusüss, Barnabas Szaszi, Oleksandr Talavera, Yuehua Tang, Nicholas Taylor, Wing Wah Tham, Erik Theissen, Julian Thimme, Ian Tonks, Hai Tran, Luca Trapin, Anders B. Trolle, Giorgio Valente, Robert A. Van Ness, Aurelio Vasquez, Thanos Verousis, Patrick Verwijmeren, Anders Vilhelmsson, Grigory Vilkov, Vladimir Vladimirov, Sebastian Vogel, Stefan Voigt, Wolf Wagner, Thomas Walther, Patrick Weiss, Michel van der Wel, Ingrid M. Werner, P. Joakim Westerholm, Christian Westheide, Evert Wipplinger, Michael Wolf, Christian C. P. Wolff, Leonard Wolk, Wing Keung Wong, Jan Wrampelmeyer, Shuo Xia, Dacheng Xiu, Ke Xu, Caihong Xu, Pradeep K. Yadav, José Yagüe, Cheng Yan, Antti Yang, Woongsun Yoo, Wenjia Yu, Shihao Yu, Bart Z. Yueshen, Darya Yuferova, Marcin Zamojski, Abalfazl Zareei, Stefan Zeisberger, S. Sarah Zhang, Xiaoyu Zhang, Zhuo Zhong, Z. Ivy Zhou, Chen Zhou, Xingyu Sonya Zhu, Marius Zoican, Remco C. J. Zwinkels, Jian Chen, Teodor Duevski, Ge Gao, Roland Gemayel, Dudley Gilder, Paul Kuhle, Emiliano Pagnotta, Michele Pelli, Jantje Sönksen, Lu Zhang, Konrad Ilczuk, Dimitar Bogoev, Ya Qian, Hans C. Wika, Yihe Yu, Lu Zhao, Michael Mi, Li Bao, Andreea Vaduva, Prokopczuk Prokopczuk, Alejandro Avetikian and Zhen-Xing Wu
Vrije Universiteit Amsterdam, Stockholm School of Economics - Department of Economics, University of Innsbruck - Department of Economics, University of Innsbruck, Stockholm School of Economics - Department of Economics, University of Innsbruck, University of Innsbruck, VU University Amsterdam, Universidad de Alicante, Bar-Ilan University - Graduate School of Business Administration, International Monetary Fund (IMF), Princeton University - Department of Economics, CNRS, University of Oxford, University of Technology Sydney, Neoma Business School, University of Chicago - Booth School of Business, Wilfrid Laurier University, Georgetown University - Department of Finance, University of Mannheim, Tennessee Technological University, Auburn University, University of St. Gallen, Swiss Finance Institute - HEC Lausanne, University of Innsbruck, BI Norwegian Business School, University of Memphis, Northwestern University, Universidad EAFIT, University of Illinois at Chicago - Department of Finance, VU University Amsterdam, Technische Universität Berlin, Lebanese American University, Universitat Pompeu Fabra - Faculty of Economic and Business Sciences, Toulouse Business School - TBS Education, Monash University, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), Vrije Universiteit Amsterdam, University of Padua - Department of Statistical Sciences, University of Memphis - Fogelman College of Business and Economics, University of Amsterdam Business School, Saint Louis University - Richard A. Chaifetz School of Business, UCLA Anderson, Waseda University, University of San Francisco, Emory University - Department of Finance, Australian National University (ANU), Goethe University Frankfurt Faculty of Economics and Business Administration, HEC Paris - Finance Department, University of Melbourne - Department of Finance, Macquarie University - Faculty of Business and Economics, Nottingham Trent University, University of Liège - HEC Liège, Babson College - Finance Division, Lum University Giuseppe Degennaro, University of Zurich - Department of Banking and Finance, Universite de Toulouse 1 Capitole, Masaryk University, KU Leuven - Faculty of Business and Economics (FEB), Nottingham Trent University - Nottingham Business School, Catholic University of Louvain (UCL) - Louvain Finance (LFIN), Erasmus University Rotterdam (EUR), Frankfurt School of Finance & Management, University of Hohenheim, Queen's University (Canada), Queen's School of Business, Students, Monash University, Technische Universität Dresden, ESADE Business School, EDHEC Business School, The University of Sydney - Discipline of Finance, Stockholm Business School, Stockholm University, Salisbury University - Perdue School of Business, Cardiff Business School, Norges Bank, University of Queensland - Business School, Georgetown University - Department of Economics, University of Virginia - Darden School of Business, University of Technology Sydney, Bank of England, Ibn Tofail University, Politecnico di Milano, West Virginia University, Macquarie University, University of New South Wales - School of Banking and Finance, HEC Paris - Finance Department, City, University of London - Bayes Business School, Universita della Svizzera italiana (USI Lugano), Open University of the Netherlands - School of Management, Ghent University - Department of Financial Economics, University of Essex, Radboud University Nijmegen - Institute for Management Research, University of Technology Sydney, University of Vienna, Utrecht University - School of Economics, Universitat Pompeu Fabra, Columbia University, Utrecht University, Monash University - Department of Banking and Finance, University of Glasgow - Adam Smith Business School, University of Tuebingen, HEC Montreal - Department of Finance, Stockholm University - Stockholm Business School, University of Liège - HEC Management School, Aalto University, American University - Department of Finance and Real Estate, University of Southern California - Marshall School of Business - Finance and Business Economics Department, Vienna University of Economics and Business, Aix-Marseille University - Aix-Marseille School of Economics, University of Vienna - Department of Statistics and Operations Research, Xi'an Jiaotong-Liverpool University (XJTLU), University of Utah - David Eccles School of Business, University of Zurich - Department of Banking and Finance, University of California, Berkeley - Haas School of Business, West Virginia University - Department of Finance, University of Gothenburg - Centre for Finance, Missouri State University - College of Business, European Central Bank (ECB), Indiana University - Kelley School of Business - Department of Finance, University of Miami - School of Business Administration - Department of Economics, Bank for International Settlements, University of Utah - David Eccles School of Business, University of Orleans, Vrije Universiteit Amsterdam, University of New Mexico, Cardiff University, Saint Joseph University, Columbia University, Bank of England, Aalto University, University of Sussex, Universite du Luxembourg, Durham University, Vrije Universiteit Amsterdam, Ludwig-Maximilians-Universität München, Aalto University, University of Manchester, Queen's University Belfast - Queen's Management School, Pontifical Catholic University of Chile, Queen's University - Smith School of Business, University of Technology Sydney (UTS), Queen's University Belfast - Queen's Management School, University of Warwick - Warwick Business School, University of Kiel - Institute for Quantitative Business and Economics Research (QBER), Halle Institute for Economic Research, Goethe University Frankfurt, University of Manchester - Manchester Business School, Northwestern University - Kellogg School of Management, University of Warwick - Warwick Business School, University of Sydney Business School, Université Paris Dauphine, Hong Kong Institute for Monetary and Financial Research, University of Liège - HEC Liège, HEC Paris - Finance Department, Goethe University Frankfurt - Faculty of Economics and Business Administration, Leibniz University Hannover, University of Zurich, Universite du Luxembourg, S&P Global Ratings, La Trobe University, UCSI University, Malaysia, Vienna University of Economics and Business, University of Cambridge, Purdue University, The University of Sydney, Universidad Autonoma de Madrid, Aalto University, Arizona State University (ASU) - Finance Department, University of California, Los Angeles (UCLA) - Finance Area, University of Florida - Department of Finance, Insurance and Real Estate, Cornell University, Swiss Finance Institute - USI Lugano, EPFL, University of Toronto - Rotman School of Management and UTSC Management, Erasmus University Rotterdam (EUR), Toulouse Business School - TBS Education, Swiss Finance Institute - HEC Lausanne, RMIT University, Universite de Toulouse 1 Capitole, Loyola Marymount University, Queen's University Belfast, Michigan State University - Department of Finance, University of Illinois at Chicago, John von Neumann University, Justus Liebig University Giessen, Copenhagen Business School, University of Florida - Department of Finance, Insurance and Real Estate, Radboud University, Stockholm University - Stockholm Business School, Financial Conduct Authority, California State University-East Bay, University of Stavanger, University of Zurich - Department of Banking and Finance, Saint Louis University - Department of Finance, University of Graz, RMIT University - Blockchain Innovation Hub, University of Toronto at Mississauga, Universidad de las Islas Baleares, University of Michigan, Stephen M. Ross School of Business, University of Chicago - Booth School of Business, University of Technology Sydney (UTS), Duke University - Department of Economics, University of Illinois at Urbana-Champaign - Department of Finance, Goethe University Frankfurt - Faculty of Economics and Business Administration, Paderborn University, HEC Paris - Finance Department, University of Oregon - Department of Finance, University of Sydney Business School, Masaryk University - Faculty of Economics and Administration, Missouri State University, Copenhagen Business School, The University of Wollongong, University of Technology Sydney (UTS), Indian Institute of Management, Ahmedabad, University of Texas at Arlington, University of St. Gallen, University of Turin, University of Kiel, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), Vrije Universiteit Amsterdam, University of Verona - Department of Economics, University of Toronto, Universite du Luxembourg - Department of Finance, Aalto University, Queen's University - Smith School of Business, University of Innsbruck, Stockholm University - Stockholm Business School, State University of New York at Buffalo - School of Management, University of Manchester - Alliance Manchester Business School, Norwegian School of Economics (NHH), HEC Paris - Finance Department, University of Massachusetts Amherst, University of Lausanne, Bowling Green State University - Department of Finance, University of Edinburgh, York University, University of Maryland, New Mexico State University, Federal Reserve Bank of New York, University of Cambridge - Judge Business School, Swiss Finance Institute - University of Geneva, University of Mannheim, University of Manchester - Department of Economics, University of Graz, Deutsche Bundesbank, Macquarie University, Swiss Finance Institute - HEC Lausanne, University of Stuttgart, Heinrich Heine University Dusseldorf - Duesseldorf Institute for Competition Economics (DICE), Arizona State University (ASU), Vrije Universiteit Amsterdam, Federal Reserve Bank of New York, Wilfrid Laurier University - Lazaridis School of Business and Economics, Federal Housing Finance Agency, University of Zurich, Vienna University of Economics and Business, University of Western Australia, University of St. Gallen, UNSW Australia Business School, School of Banking and Finance, University of Memphis - Fogelman College of Business and Economics, Cardiff University, Universite du Luxembourg, New York University (NYU) - Leonard N. Stern School of Business, Aalto University, Eötvös Loránd University, University of Birmingham, University of Florida - Department of Finance, University of Bristol - School of Economics, Finance and Management, University of New South Wales (UNSW), University of Mannheim - Finance Area, Karlsruhe Institute of Technology, University of Bristol, Loyola Marymount University - Department of Finance, University of Bologna, Copenhagen Business School, Hong Kong Institute for Monetary and Financial Research (HKIMR), University of Mississippi - Department of Finance, Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration, University of Essex, Erasmus University Rotterdam (EUR), Lund University - Department of Economics, Frankfurt School of Finance & Management, University of Amsterdam Business School, Erasmus University Rotterdam (EUR), University of Copenhagen, Erasmus University Rotterdam (EUR), Utrecht University - School of Economics, Vienna Graduate School of Finance (VGSF), Erasmus University Rotterdam, The Ohio State University - Fisher College of Business, University of Sydney Business School, University of Vienna - Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, University of Zurich - Department of Economics, University of Luxembourg, Vrije Universiteit Amsterdam, Auburn University, Vrije Universiteit Amsterdam, School of Business and Economics, Halle Institute for Economic Research, University of Chicago - Booth School of Business, University of Victoria, Stockholm University - Stockholm Business School, University of Oklahoma Price College of Business, University of Murcia, University of Essex - Essex Business School, Erasmus University Rotterdam, Central Michigan University, Aalto University, Vrije Universiteit Amsterdam, INSEAD - Finance, Norwegian School of Economics (NHH) - Department of Finance, University of Gothenburg, Centre for Finance, Stockholm University, Radboud University, Institute for Management Research, University of Manchester - Alliance Manchester Business School, Vrije Universiteit Amsterdam, University of Melbourne - Department of Finance, University of Wollongong - School of Accounting, Economics & Finance, Erasmus University Rotterdam (EUR), Stockholm School of Economics, University of Toronto at Mississauga - Department of Management, VU University Amsterdam - Department of Finance and Financial Sector Management, Queen's University, HEC Paris, University of Birmingham, King's College London, Cardiff University, Universidad Autonoma de Madrid, Singapore Management University, University of Zurich - Department of Banking and Finance, University of Tübingen, University of Luxembourg, affiliation not provided to SSRN, EDF Energy, United Kingdom, Aalto University, Norges Bank, University at Buffalo, SUNY, Southwestern University of Finance and Economics (SWUFE), The University of Sydney, University of Toulouse Capitole, UC3M, Leibniz University Hannover, Pontifical Catholic University of Chile and Aalto University
Downloads 2,564 (7,123)

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non-standard errors, multi-analyst approach, liquidity

2.

Behavioural Real Estate

Journal of Real Estate Literature, Forthcoming
Number of pages: 40 Posted: 04 Jul 2013 Last Revised: 06 May 2016
Diego A. Salzman and Remco C. J. Zwinkels
The Research Laboratory for Behavioral Finance and VU University Amsterdam - Department of Finance and Financial Sector Management
Downloads 1,294 (19,799)
Citation 5

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real estate markets, market participants, behavioural decision making

3.

Chasing Trends in the U.S. Housing Market

Number of pages: 46 Posted: 20 Jan 2010 Last Revised: 02 Mar 2011
Roy Kouwenberg, Roy Kouwenberg and Remco C. J. Zwinkels
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)Mahidol University - College of Management and VU University Amsterdam - Department of Finance and Financial Sector Management
Downloads 963 (30,511)
Citation 9

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Housing market, behavioral finance, heterogeneous agents, bubbles

4.

Timing is Money: The Factor Timing Ability of Hedge Fund Managers

Number of pages: 40 Posted: 18 Jul 2016 Last Revised: 12 Feb 2020
Bart Osinga, Marc Schauten and Remco C. J. Zwinkels
KAS Bank N.V., Vrije Universiteit Amsterdam and VU University Amsterdam - Department of Finance and Financial Sector Management
Downloads 601 (57,598)

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Hedge funds, market timing, factor investing, factor timing

5.

Empirical Behavioral Finance

Journal of Economic Behavior and Organization, Vol. 107 (Part B), pp. 421-427, November 2014
Number of pages: 14 Posted: 03 Nov 2014 Last Revised: 06 Dec 2014
Doron Kliger, Martijn J. van den Assem and Remco C. J. Zwinkels
University of Haifa, Vrije Universiteit Amsterdam and VU University Amsterdam - Department of Finance and Financial Sector Management
Downloads 564 (62,417)

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behavioral finance, special issue, diversification heuristic, 1/n rule

6.

Can the Market Divide and Multiply? A Case of 807 Percent Mispricing

Review of Behavioral Finance, forthcoming
Number of pages: 15 Posted: 21 Jun 2018 Last Revised: 13 Dec 2020
Vrije Universiteit Amsterdam, University of Essex - Department of Economics, VU University Amsterdam - Department of Finance and Financial Sector Management and Vrije Universiteit Amsterdam
Downloads 469 (78,402)

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law of one price, market efficiency, mispricing, limits to arbitrage, short-sale constraints

7.

Carbon Beta: A Market-Based Measure of Climate Risk

Number of pages: 42 Posted: 18 Nov 2021
Joop Huij, Dries Laurs, Philip A. Stork and Remco C. J. Zwinkels
Erasmus University - Rotterdam School of Management, Vrije Universiteit Amsterdam, Vrije Universiteit Amsterdam, School of Business and Economics and VU University Amsterdam - Department of Finance and Financial Sector Management
Downloads 414 (93,671)

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Climate change, carbon risk, climate finance, asset pricing

8.

Empirical Validation of Agent-Based Models

In: C. Hommes and B. LeBaron (eds), Handbook of Computational Economics 4, pp: 437-488.
Number of pages: 115 Posted: 05 Mar 2017 Last Revised: 12 Nov 2018
Thomas Lux and Remco C. J. Zwinkels
University of Kiel - Institute of Economics and VU University Amsterdam - Department of Finance and Financial Sector Management
Downloads 361 (106,209)
Citation 14

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agent-based models, heterogeneous agent models, empirical methods

A Volatility Targeting GARCH Model with Time-Varying Coefficients

Number of pages: 23 Posted: 17 Feb 2009
Bart Frijns, Thorsten Lehnert and Remco C. J. Zwinkels
Open University of the Netherlands - School of Management, University of Luxembourg and VU University Amsterdam - Department of Finance and Financial Sector Management
Downloads 220 (176,771)

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GARCH, time varying coefficients, multinomial logit

A Volatility Targeting GARCH Model with Time-Varying Coefficients

Journal of Empirical Finance, Vol. 18, 2011
Number of pages: 23 Posted: 24 Aug 2009 Last Revised: 06 May 2016
Bart Frijns, Thorsten Lehnert and Remco C. J. Zwinkels
Open University of the Netherlands - School of Management, University of Luxembourg and VU University Amsterdam - Department of Finance and Financial Sector Management
Downloads 133 (273,764)

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GARCH, time varying coefficients, multinomial logit

10.

Company Name Fluency and Stock Returns

Number of pages: 30 Posted: 22 Feb 2018 Last Revised: 21 Sep 2021
Maurizio Montone, Martijn J. van den Assem and Remco C. J. Zwinkels
Utrecht University, Vrije Universiteit Amsterdam and VU University Amsterdam - Department of Finance and Financial Sector Management
Downloads 334 (115,861)

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Fluency; Investor Recognition; Asymmetric Information; Stock Returns

11.

Model Uncertainty and Exchange Rate Forecasting

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 52 Posted: 09 Jul 2013 Last Revised: 01 Feb 2016
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)Mahidol University - College of Management, Erasmus University Rotterdam (EUR), Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and VU University Amsterdam - Department of Finance and Financial Sector Management
Downloads 315 (123,347)
Citation 2

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exchange rate forecasting, model uncertainty, model averaging

12.

On the Style-Based Feedback Trading of Mutual Fund Managers

Journal of Financial and Quantitative Analysis (JFQA), 02/2013
Number of pages: 49 Posted: 20 Jul 2012 Last Revised: 01 Feb 2016
Bart Frijns, Aaron B. Gilbert and Remco C. J. Zwinkels
Open University of the Netherlands - School of Management, Auckland University of Technology - Faculty of Business & Law and VU University Amsterdam - Department of Finance and Financial Sector Management
Downloads 292 (133,719)
Citation 3

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Mutual Fund Managers, Style Switching, Feedback Trading

Excess Stock Return Comovements and the Role of Investor Sentiment

Number of pages: 25 Posted: 08 Jul 2011 Last Revised: 19 Aug 2012
Bart Frijns, Willem F. C. Verschoor and Remco C. J. Zwinkels
Open University of the Netherlands - School of Management, Vrije Universiteit Amsterdam, School of Business and Economics and VU University Amsterdam - Department of Finance and Financial Sector Management
Downloads 241 (161,833)

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Behavioral Finance, Excess Comovement; Investor Sentiment; International Equity Markets

Excess Stock Return Comovements and the Role of Investor Sentiment

25th Australasian Finance and Banking Conference 2012
Number of pages: 25 Posted: 19 Aug 2012
Bart Frijns, Willem F. C. Verschoor and Remco C. J. Zwinkels
Open University of the Netherlands - School of Management, Vrije Universiteit Amsterdam, School of Business and Economics and VU University Amsterdam - Department of Finance and Financial Sector Management
Downloads 32 (586,012)
Citation 1

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Behavioral Finance, Excess Comovement, Investor Sentiment, International Equity Markets

14.

Exploring Style Herding by Mutual Funds

Number of pages: 38 Posted: 15 Jun 2017 Last Revised: 15 May 2020
Caterina Santi and Remco C. J. Zwinkels
University of Liège - HEC Liège and VU University Amsterdam - Department of Finance and Financial Sector Management
Downloads 267 (146,689)
Citation 1

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herding, mutual funds, style investing, asset pricing

15.

Investor Sentiment and Employment

Journal of Financial and Quantitative Analysis, Volume 55, Issue 5, August 2020, pp. 1581-1618.
Number of pages: 50 Posted: 14 Jun 2014 Last Revised: 20 Feb 2021
Maurizio Montone and Remco C. J. Zwinkels
Utrecht University and VU University Amsterdam - Department of Finance and Financial Sector Management
Downloads 260 (150,638)
Citation 1

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Investor sentiment; Labor market; Financial development, Financial crises

16.

Expected Issuance Fees and Market Liquidity

Number of pages: 41 Posted: 02 Oct 2017 Last Revised: 12 Nov 2018
ABN AMRO - ABN-Amro Bank, The Netherlands, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Vrije Universiteit Amsterdam, School of Business and Economics and VU University Amsterdam - Department of Finance and Financial Sector Management
Downloads 246 (159,142)

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sovereign bonds; market microstructure; market liquidity; issuance fee

17.

The Impact of Horizontal and Vertical FDI on Host's Country Economic Growth

International Business Review, 17 (2008)
Number of pages: 21 Posted: 30 May 2014
Sjoerd Beugelsdijk, Roger Smeets and Remco C. J. Zwinkels
University of Groningen, Rutgers, The State University of New Jersey - Management & Global Business and VU University Amsterdam - Department of Finance and Financial Sector Management
Downloads 239 (163,627)
Citation 1

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18.

Risk, Return, and Sentiment in a Virtual Asset Market

Number of pages: 45 Posted: 23 Feb 2021 Last Revised: 10 Apr 2021
Maurizio Montone and Remco C. J. Zwinkels
Utrecht University and VU University Amsterdam - Department of Finance and Financial Sector Management
Downloads 225 (173,400)

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Asset pricing; Market efficiency; Natural experiment

19.

Volatility Expectations and Disagreement

Number of pages: 48 Posted: 24 Dec 2011 Last Revised: 22 Apr 2020
Ronald Huisman, Nico van der Sar and Remco C. J. Zwinkels
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and VU University Amsterdam - Department of Finance and Financial Sector Management
Downloads 224 (174,145)
Citation 2

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volatility forecasting, disagreement, survey data

20.

Heterogeneous Expectations in Asset Pricing: Empirical Evidence from the S&P 500

Journal of Economic Behavior and Organization, Vol. 105, 2014
Number of pages: 33 Posted: 07 Dec 2009 Last Revised: 06 May 2016
Carl Chiarella, Xuezhong He and Remco C. J. Zwinkels
University of Technology, Sydney - UTS Business School, Finance Discipline Group, Xi'an Jiaotong-Liverpool University (XJTLU) and VU University Amsterdam - Department of Finance and Financial Sector Management
Downloads 208 (186,638)
Citation 4

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asset pricing, heterogeneous agents, technical analysis

21.

Inattentive Search for Currency Fundamentals

Number of pages: 40 Posted: 18 Aug 2017 Last Revised: 07 Aug 2018
Erasmus University Rotterdam (EUR), Vrije Universiteit Amsterdam, Vrije Universiteit Amsterdam, School of Business and Economics and VU University Amsterdam - Department of Finance and Financial Sector Management
Downloads 194 (198,871)
Citation 1

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exchange rate forecasting, forex investment strategies

22.

Behavioral Heterogeneity in Return Expectations across Equity Style Portfolios

Revised version forthcoming in International Review of Finance
Number of pages: 35 Posted: 16 Oct 2018 Last Revised: 11 Jun 2020
Philip A. Stork, Milan Vidojevic and Remco C. J. Zwinkels
Vrije Universiteit Amsterdam, School of Business and Economics, VU University Amsterdam - Finance and VU University Amsterdam - Department of Finance and Financial Sector Management
Downloads 185 (207,593)

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behavioral finance, heterogeneous agent models, style investing, asset pricing

23.

Chasing Absolute Returns: A Tale of Feedback Trading by Hedge Funds

Journal of Empirical Finance, Vol. 34, 2015
Number of pages: 49 Posted: 20 Feb 2011 Last Revised: 01 Feb 2016
Marc Schauten, Robin Willemstein and Remco C. J. Zwinkels
Vrije Universiteit Amsterdam, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and VU University Amsterdam - Department of Finance and Financial Sector Management
Downloads 173 (219,940)

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hedge funds, style analysis, feedback trading, time variation

24.

Heterogeneity of Agents and Exchange Rate Dynamics: Evidence from the EMS

Journal of International Money and Finance, Vol. 29, No. 8, 2010
Number of pages: 41 Posted: 22 Mar 2006 Last Revised: 06 May 2016
Eelke de Jong, Willem F. C. Verschoor and Remco C. J. Zwinkels
Radboud University Nijmegen - Department of Economics, Vrije Universiteit Amsterdam, School of Business and Economics and VU University Amsterdam - Department of Finance and Financial Sector Management
Downloads 172 (221,073)
Citation 2

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: Heterogeneous expectations; The European Monetary System; Non-linear modelling; Agent-based finance

25.

A Holistic Approach to the Predictive Power of Expected Volatility

Journal of Financial Research, Vol. 38, No. 4, 2015
Number of pages: 54 Posted: 06 Feb 2012 Last Revised: 01 Feb 2016
Gherben van der Holst and Remco C. J. Zwinkels
Duyfken Trading Knowledge and VU University Amsterdam - Department of Finance and Financial Sector Management
Downloads 166 (227,811)

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Cross-sectional returns, idiosyncratic volatility, GARCH, implied volatility

26.

Forecasting Crashes: Correlated Fund Flows and the Skewness in Stock Returns

Number of pages: 38 Posted: 18 Oct 2014
Xun Gong, Melissa Lin and Remco C. J. Zwinkels
Tinbergen Institute, Erasmus University Rotterdam and VU University Amsterdam - Department of Finance and Financial Sector Management
Downloads 163 (231,349)
Citation 1

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skewness, mutual funds, capital flow

27.

Time-Varying Importance of Country and Industry Factors in European Corporate Bonds

Journal of Empirical Finance, Forthcoming
Number of pages: 53 Posted: 21 Feb 2014 Last Revised: 01 Feb 2016
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Erasmus University Rotterdam (EUR) - Department of Business Economics, Vrije Universiteit Amsterdam, School of Business and Economics and VU University Amsterdam - Department of Finance and Financial Sector Management
Downloads 156 (240,031)
Citation 2

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market integration, corporate bond markets, factor decomposition, Sovereign debt crisis

28.

Behavioral Heterogeneity in the Option Market

Journal of Economic Dynamics and Control, Vol. 34, No. 11, 2010
Number of pages: 28 Posted: 04 Mar 2007 Last Revised: 06 May 2016
Bart Frijns, Thorsten Lehnert and Remco C. J. Zwinkels
Open University of the Netherlands - School of Management, University of Luxembourg and VU University Amsterdam - Department of Finance and Financial Sector Management
Downloads 153 (243,813)
Citation 1

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Heterogeneous Agents, Option Markets, Fundamentalists, Chartists

29.

Dispersion of Beliefs and Market Volatility in the Foreign Exchange Market

EFA 2006 Zurich Meetings
Number of pages: 33 Posted: 08 Mar 2006
VU University Amsterdam - Department of Finance and Financial Sector Management, Dutch Central Bank (DNB), University of Luxembourg and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 146 (253,366)

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Exchange rate expectations, heterogeneity, dispersion of beliefs, bounded rationality, tail behaviour, survey data

30.

A Critical Review of the Fair Value Settlement Procedure for Stock Options

Applied Finance Letters, Vol. 4, No. 1&2, pp. 20-25, 2015
Number of pages: 15 Posted: 05 Jul 2013 Last Revised: 20 Jan 2016
Oege Pennin, Martijn J. van den Assem and Remco C. J. Zwinkels
Rabobank International, Netherlands, Vrije Universiteit Amsterdam and VU University Amsterdam - Department of Finance and Financial Sector Management
Downloads 145 (254,780)

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fair value, intrinsic value, stock option, implied volatility, option pricing, takeover

31.

Chartists, Fundamentalists, and Dispersion in the Foreign Exchange Market

Number of pages: 34 Posted: 16 Mar 2009
Dutch Central Bank (DNB), University of Luxembourg, VU University Amsterdam - Department of Finance and Financial Sector Management and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 143 (257,645)

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Chartists, exchange rate expectations, fundamentalists, heterogeneity, dispersion of beliefs, bounded rationality, survey data

32.

Beating the Benchmark: Bond Portfolios based on Country and Industry Factors

Number of pages: 29 Posted: 18 Aug 2017 Last Revised: 08 Jan 2021
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Vrije Universiteit Amsterdam, School of Business and Economics, Erasmus University Rotterdam (EUR) - Department of Business Economics and VU University Amsterdam - Department of Finance and Financial Sector Management
Downloads 142 (259,046)

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Corporate bonds; Dynamic portfolio strategies; Country and industry factors; Mean-variance model

33.

Overconfidence and Demand for Mortgage Insurance

Real Estate Economics, Forthcoming
Number of pages: 52 Posted: 25 Nov 2011 Last Revised: 02 Mar 2017
Ruben Cox and Remco C. J. Zwinkels
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and VU University Amsterdam - Department of Finance and Financial Sector Management
Downloads 122 (290,796)

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mortgage insurance, diversification, overconfidence, household finance, wealth risks

Comparing Behavioural Heterogeneity Across Asset Classes

Number of pages: 43 Posted: 01 Apr 2017 Last Revised: 15 Sep 2017
Saskia ter Ellen, Cars H. Hommes and Remco C. J. Zwinkels
Norges Bank, Government of Canada - Bank of Canada and VU University Amsterdam - Department of Finance and Financial Sector Management
Downloads 88 (364,827)
Citation 1

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financial markets, heterogeneous expectations, market stability

Comparing Behavioural Heterogeneity Across Asset Classes

Norges Bank Working Paper 12/17
Number of pages: 43 Posted: 08 Sep 2017
Saskia ter Ellen, Cars H. Hommes and Remco C. J. Zwinkels
Norges Bank, Government of Canada - Bank of Canada and VU University Amsterdam - Department of Finance and Financial Sector Management
Downloads 31 (592,101)
Citation 1

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Financial Markets, Heterogeneous Expectations, Market Stability

35.

Fundamentals or Trends? A Long-Term Perspective on House Prices

Applied Economics, Vol. 47, No. 10, 2015
Number of pages: 28 Posted: 05 Jul 2013 Last Revised: 01 Feb 2016
Piet M. A. Eichholtz, Ronald Huisman and Remco C. J. Zwinkels
University of Maastricht - Limburg Institute of Financial Economics (LIFE), Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and VU University Amsterdam - Department of Finance and Financial Sector Management
Downloads 112 (308,965)
Citation 3

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36.

Market Timing Ability and Mutual Funds: A Heterogeneous Agent Approach

Quantitative Finance, Forthcoming
Number of pages: 31 Posted: 08 Dec 2011 Last Revised: 13 Jun 2014
Bart Frijns, Aaron B. Gilbert and Remco C. J. Zwinkels
Open University of the Netherlands - School of Management, Auckland University of Technology - Faculty of Business & Law and VU University Amsterdam - Department of Finance and Financial Sector Management
Downloads 112 (308,965)

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mutual funds, market timing, heterogeneous agents models

37.

Do Foreign Exchange Fund Managers Behave Like Positive Feedback Traders?

Quantitative Finance 13: 1125-1134, 2013
Number of pages: 27 Posted: 23 Nov 2011 Last Revised: 01 Feb 2016
Remco C. J. Zwinkels and Willem F. C. Verschoor
VU University Amsterdam - Department of Finance and Financial Sector Management and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 95 (344,694)

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heterogeneous agents, currency trading, style investing

38.

Behavioural Heterogeneity and Shift-Contagion: Evidence from the Asian Crisis

Journal of Economic Dynamics and Control, Vol. 33, No. 11, 2009
Number of pages: 33 Posted: 15 Feb 2008 Last Revised: 06 May 2016
Eelke de Jong, Willem F. C. Verschoor and Remco C. J. Zwinkels
Radboud University Nijmegen - Department of Economics, Vrije Universiteit Amsterdam, School of Business and Economics and VU University Amsterdam - Department of Finance and Financial Sector Management
Downloads 94 (346,998)
Citation 3

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heterogeneous expectations, contagion, Asian crisis, dynamic models

39.

Dynamic Expectation Formation in the Foreign Exchange Market

Journal of International Money and Finance, Vol. 37, 2013
Number of pages: 41 Posted: 12 May 2011 Last Revised: 01 Feb 2016
Saskia ter Ellen, Willem F. C. Verschoor and Remco C. J. Zwinkels
Norges Bank, Vrije Universiteit Amsterdam, School of Business and Economics and VU University Amsterdam - Department of Finance and Financial Sector Management
Downloads 92 (351,783)
Citation 1

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foreign exchange expectations, investor sentiment, market anomalies, survey data

40.

Wall Street Watches Washington: Asset-Pricing Implications of Policy Uncertainty

Number of pages: 41 Posted: 03 Aug 2020
ralph verhoeks, Willem F. C. Verschoor and Remco C. J. Zwinkels
Vrije Universiteit Amsterdam, Vrije Universiteit Amsterdam, School of Business and Economics and VU University Amsterdam - Department of Finance and Financial Sector Management
Downloads 89 (359,168)

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attention, earnings announcements, economic policy uncertainty, analyst forecasts

41.

Time-Varying Arbitrage and Dynamic Price Discovery

Number of pages: 43 Posted: 24 Jul 2016 Last Revised: 19 Dec 2016
Bart Frijns and Remco C. J. Zwinkels
Open University of the Netherlands - School of Management and VU University Amsterdam - Department of Finance and Financial Sector Management
Downloads 84 (372,151)
Citation 1

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Time-Varying Arbitrage; Price discovery; Heterogeneous Agent Models

42.

Agreeing on Disagreement: Heterogeneity or Uncertainty?

Journal of Financial Markets, Forthcoming
Number of pages: 34 Posted: 24 Feb 2016 Last Revised: 21 Feb 2019
Saskia ter Ellen, Willem F. C. Verschoor and Remco C. J. Zwinkels
Norges Bank, Vrije Universiteit Amsterdam, School of Business and Economics and VU University Amsterdam - Department of Finance and Financial Sector Management
Downloads 78 (388,658)
Citation 2

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foreign exchange markets, disagreement, heterogeneous expectations, uncertainty

43.

Heterogeneous Agents and Non-Normal Fundamentals

Number of pages: 18 Posted: 22 Mar 2006
Marianna Grimaldi and Remco C. J. Zwinkels
Monetary Policy Division Sveriges Riksbank and VU University Amsterdam - Department of Finance and Financial Sector Management
Downloads 72 (406,499)

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Exchange rate, Heterogeneous agents, Transmission of news, Dynamics

44.

An Empirical Examination of Heterogeneity and Switching in Foreign Exchange Markets

Journal of Economic Behavior and Organization, Forthcoming
Number of pages: 38 Posted: 23 Nov 2011 Last Revised: 02 Mar 2017
David Goldbaum and Remco C. J. Zwinkels
University of Technology Sydney and VU University Amsterdam - Department of Finance and Financial Sector Management
Downloads 68 (419,180)
Citation 1

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heterogeneity, discrete choice, foreign exchange, survey expectations

45.

Expectation Formation in Financial Markets: Heterogeneity and Sentiment

Number of pages: 26 Posted: 27 Nov 2019
Bart Frijns, Thanh Huynh and Remco C. J. Zwinkels
Open University of the Netherlands - School of Management, Monash University - Department of Banking and Finance and VU University Amsterdam - Department of Finance and Financial Sector Management
Downloads 64 (432,620)

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46.

Agreeing on Disagreement: Heterogeneity or Uncertainty?

Norges Bank Working Paper 4/2016, 29th Australasian Finance and Banking Conference 2016
Number of pages: 28 Posted: 26 Aug 2016 Last Revised: 03 Aug 2018
Saskia ter Ellen, Willem F. C. Verschoor and Remco C. J. Zwinkels
Norges Bank, Vrije Universiteit Amsterdam, School of Business and Economics and VU University Amsterdam - Department of Finance and Financial Sector Management
Downloads 61 (443,039)

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foreign exchange markets, disagreement, heterogeneous expectations, uncertainty

47.

Managerial Sentiment and Employment

Number of pages: 32 Posted: 19 Mar 2021
Maurizio Montone, Yuhao Zhu and Remco C. J. Zwinkels
Utrecht University, Erasmus University Rotterdam (EUR) and VU University Amsterdam - Department of Finance and Financial Sector Management
Downloads 58 (453,987)

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Managerial sentiment, Employment, Investment opportunities, Investor sentiment

48.

Speculation in European Sovereign Debt Markets

Number of pages: 41 Posted: 02 Feb 2016 Last Revised: 11 Mar 2016
Bart Frijns and Remco C. J. Zwinkels
Open University of the Netherlands - School of Management and VU University Amsterdam - Department of Finance and Financial Sector Management
Downloads 55 (465,246)
Citation 5

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Credit risk, sovereign bonds, CDS, heterogeneous agent models

49.

Gravity Equations; Workhorse or Trojan Horse in Explaining Trade and FDI Patterns Across Time and Space?

International Business Review, Forthcoming
Number of pages: 29 Posted: 14 Jun 2014
Remco C. J. Zwinkels and Sjoerd Beugelsdijk
VU University Amsterdam - Department of Finance and Financial Sector Management and University of Groningen
Downloads 47 (498,027)
Citation 1

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Gravity equation, Trade, FDI, Time series

50.

Cracks in the Crystal Ball: What Happens to Firms’ Foreign Exchange Rate Exposure When Forecasters Don't Agree About the Future

Number of pages: 16 Posted: 17 Mar 2014
HEC Management School University of Liège, University of Liège - HEC Management School, Vrije Universiteit Amsterdam, School of Business and Economics and VU University Amsterdam - Department of Finance and Financial Sector Management
Downloads 34 (560,774)

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51.

Does U.S. Investor Sentiment Attract Foreign Investors?

Number of pages: 9 Posted: 28 May 2021 Last Revised: 21 Sep 2021
Maurizio Montone, Valerio Potì and Remco C. J. Zwinkels
Utrecht University, University College Dublin and VU University Amsterdam - Department of Finance and Financial Sector Management
Downloads 29 (589,049)

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Investor sentiment, Foreign direct investments, Financial development, Educational attaiment

52.

Dispersion of Beliefs in the Foreign Exchange Market

Number of pages: 46 Posted: 11 Jun 2008
Dutch Central Bank (DNB), Vrije Universiteit Amsterdam, School of Business and Economics, University of Luxembourg and VU University Amsterdam - Department of Finance and Financial Sector Management
Downloads 3 (780,170)
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exchange rates, expectations, heterogeneity, survey data

53.

Mortgage Insurance Adoption in the Netherlands

Real Estate Economics, Vol. 47, Issue 4, pp. 977-1012, 2019
Number of pages: 36 Posted: 04 Jun 2020
Ruben Cox and Remco C. J. Zwinkels
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and VU University Amsterdam - Department of Finance and Financial Sector Management
Downloads 0 (818,422)
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54.

Heterogeneity of Agents and Exchange Rate Dynamics

Posted: 07 Mar 2008
Remco C. J. Zwinkels, Eelke de Jong and Willem F. C. Verschoor
VU University Amsterdam - Department of Finance and Financial Sector Management, Radboud University Nijmegen - Department of Economics and Vrije Universiteit Amsterdam, School of Business and Economics

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Heterogeneous expectations, The European Monetary System, Non-linear modelling, Agent-based finance