De Boelelaan 1105
Amsterdam, 1081 HV
Gustav Mahlerplein 117
Amsterdam, 1082 MS
Vrije Universiteit Amsterdam, School of Business and Economics
Tinbergen Institute - Tinbergen Institute Amsterdam (TIA)
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Risk management, foreign exchange risk, foreign currency derivative use, European multinational firms, optimal hedging theories
exchange risk, Asian multinational firms, hedging policies, intervaling, longterm exposure
Market Crashes, Bivariate Extreme Value Analysis, Extreme Co-movements, heavy tails, Value-at-Risk, tail beta, extreme dependence
European non-financial firms, risk management, foreign currency derivatives, exchange risk exposure, optimal hedging theories
Behavioral Finance, Excess Comovement; Investor Sentiment; International Equity Markets
Behavioral Finance, Excess Comovement, Investor Sentiment, International Equity Markets
foreign exchange risk, survey-based exchange rate expectations, heterogeneity, U.S. multinational firms
Asset Pricing, Financial crises, Econometric models, Behavioral finance
: Heterogeneous expectations; The European Monetary System; Non-linear modelling; Agent-based finance
Exchange rate expectations, heterogeneity, dispersion of beliefs, bounded rationality, tail behaviour, survey data
Chartists, exchange rate expectations, fundamentalists, heterogeneity, dispersion of beliefs, bounded rationality, survey data
heterogeneous expectations, contagion, Asian crisis, dynamic models
Pension funds, Portfolio choice, Home bias
heterogeneous agents, currency trading, style investing
foreign exchange expectations, investor sentiment, market anomalies, survey data
market integration, corporate bond markets, factor decomposition, Sovereign debt crisis
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This is a CEPR Discussion Paper. CEPR charges a fee of $5.00 for this paper.
File name: SSRN-id771464.
Interest rate expectations, EMS, expectations hypothesis, rationality, survey data, term structure, time-varying term premia
Feedback strategies, herding, institutional investors.
File name: DP6738.
exchange rates, expectations, heterogeneity, survey data
File name: obes.
Expectations, Heterogeneous Agent Models, Bounded Rationality, Asset Price Dynamics
sovereign bonds; market microstructure; market liquidity; issuance fee
Corporate bonds; Dynamic portfolio strategies; Country and industry factors; Mean-variance model
Exchange rates, Investor attention, Model selection, Scapegoat theory, Google Trends
foreign exchange markets, disagreement, heterogeneous expectations, uncertainty
Heterogeneous expectations, The European Monetary System, Non-linear modelling, Agent-based finance
Interest rate expectations, expectations hypothesis, rationality, survey data, term structure, time-varying term premia
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