Remco C. J. Zwinkels

Vrije Universiteit Amsterdam

Professor

De Boelelaan 1105

Amsterdam, NL-1081HV

Netherlands

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

Tinbergen Institute - Tinbergen Institute Amsterdam (TIA)

Fellow

Gustav Mahlerplein 117

Amsterdam, 1082 MS

Netherlands

SCHOLARLY PAPERS

47

DOWNLOADS
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CITATIONS
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28

Scholarly Papers (47)

1.

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 Vrije Universiteit Amsterdam
Downloads 958 (22,507)

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real estate markets, market participants, behavioural decision making

2.

Chasing Trends in the U.S. Housing Market

Number of pages: 46 Posted: 20 Jan 2010 Last Revised: 02 Mar 2011
Roy Kouwenberg and Remco C. J. Zwinkels
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Vrije Universiteit Amsterdam
Downloads 936 (23,272)
Citation 2

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Housing market, behavioral finance, heterogeneous agents, bubbles

3.

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, VU Amsterdam - School of Business and Economics and Vrije Universiteit Amsterdam
Downloads 458 (60,588)

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

4.

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

Number of pages: 47 Posted: 18 Jul 2016 Last Revised: 27 Jul 2017
Bart Osinga, Marc Schauten and Remco C. J. Zwinkels
KAS Bank N.V., Vrije Universiteit Amsterdam and Vrije Universiteit Amsterdam
Downloads 390 (73,450)

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Hedge funds, market timing, factor investing, factor timing

5.

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

Number of pages: 13 Posted: 21 Jun 2018 Last Revised: 09 May 2019
Vrije Universiteit Amsterdam, VU Amsterdam - School of Business and Economics, VU Amsterdam - School of Business and Economics and Vrije Universiteit Amsterdam
Downloads 342 (85,579)

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

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
Auckland University of Technology - Faculty of Business & Law, University of Luxembourg and Vrije Universiteit Amsterdam
Downloads 205 (145,376)

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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
Auckland University of Technology - Faculty of Business & Law, University of Luxembourg and Vrije Universiteit Amsterdam
Downloads 106 (251,530)

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GARCH, time varying coefficients, multinomial logit

7.

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), Erasmus University Rotterdam (EUR), Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Vrije Universiteit Amsterdam
Downloads 296 (100,299)
Citation 1

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exchange rate forecasting, model uncertainty, model averaging

8.

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
Auckland University of Technology - Faculty of Business & Law, Auckland University of Technology - Faculty of Business & Law and Vrije Universiteit Amsterdam
Downloads 268 (111,584)

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Mutual Fund Managers, Style Switching, Feedback Trading

9.

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 Vrije Universiteit Amsterdam
Downloads 259 (115,613)

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agent-based models, heterogeneous agent models, empirical methods

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
Auckland University of Technology - Faculty of Business & Law, Vrije Universiteit Amsterdam, School of Business and Economics and Vrije Universiteit Amsterdam
Downloads 224 (133,462)

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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
Auckland University of Technology - Faculty of Business & Law, Vrije Universiteit Amsterdam, School of Business and Economics and Vrije Universiteit Amsterdam
Downloads 20 (529,010)

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

11.

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 Vrije Universiteit Amsterdam
Downloads 212 (141,051)

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sovereign bonds; market microstructure; market liquidity; issuance fee

12.

Volatility, Investor Uncertainty, and Dispersion

Number of pages: 35 Posted: 24 Dec 2011 Last Revised: 03 Mar 2012
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 Vrije Universiteit Amsterdam
Downloads 207 (144,266)

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volatility, uncertainty, dispersion, survey data

13.

Company Name Fluency and Stock Returns

Number of pages: 40 Posted: 22 Feb 2018 Last Revised: 23 Feb 2019
Maurizio Montone, Martijn J. van den Assem and Remco C. J. Zwinkels
Luxembourg School of Finance, VU Amsterdam - School of Business and Economics and Vrije Universiteit Amsterdam
Downloads 198 (150,326)

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Fluency; Investor Recognition; Asymmetric Information; Stock Returns

14.

Investor Sentiment and Employment

Journal of Financial and Quantitative Analysis, forthcoming
Number of pages: 50 Posted: 14 Jun 2014 Last Revised: 17 Feb 2019
Maurizio Montone and Remco C. J. Zwinkels
Luxembourg School of Finance and Vrije Universiteit Amsterdam
Downloads 191 (155,481)

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Investor sentiment; Labor market; Financial development, Financial crises

15.

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, University of Technology Sydney (UTS) - Finance Discipline Group, Business School and Vrije Universiteit Amsterdam
Downloads 188 (157,713)

Abstract:

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asset pricing, heterogeneous agents, technical analysis

16.

Behavioral Heterogeneity in Return Expectations across Equity Style Portfolios

Number of pages: 35 Posted: 16 Oct 2018
Philip A. Stork, Milan Vidojevic and Remco C. J. Zwinkels
Vrije Universiteit Amsterdam, School of Business and Economics, VU University Amsterdam, Finance and Vrije Universiteit Amsterdam
Downloads 162 (180,733)

Abstract:

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

17.

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 Vrije Universiteit Amsterdam
Downloads 161 (180,733)

Abstract:

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hedge funds, style analysis, feedback trading, time variation

18.

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 Vrije Universiteit Amsterdam
Downloads 159 (182,752)

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exchange rate forecasting, forex investment strategies

19.

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 Vrije Universiteit Amsterdam
Downloads 159 (182,752)

Abstract:

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

20.

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 Vrije Universiteit Amsterdam
Downloads 157 (184,657)
Citation 1

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21.

Exploring Style Herding by Mutual Funds

Number of pages: 35 Posted: 15 Jun 2017 Last Revised: 18 Nov 2018
Caterina Santi and Remco C. J. Zwinkels
Cork University Business School and Vrije Universiteit Amsterdam
Downloads 154 (187,721)

Abstract:

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herding, mutual funds, style investing, asset pricing

22.

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 Vrije Universiteit Amsterdam
Downloads 154 (187,721)
Citation 7

Abstract:

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

23.

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 Vrije Universiteit Amsterdam
Downloads 149 (192,946)

Abstract:

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skewness, mutual funds, capital flow

24.

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
Auckland University of Technology - Faculty of Business & Law, University of Luxembourg and Vrije Universiteit Amsterdam
Downloads 146 (196,143)
Citation 4

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Heterogeneous Agents, Option Markets, Fundamentalists, Chartists

25.

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 Vrije Universiteit Amsterdam
Downloads 145 (197,267)

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

26.

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, VU Amsterdam - School of Business and Economics and Vrije Universiteit Amsterdam
Downloads 138 (205,283)

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

27.

Dispersion of Beliefs and Market Volatility in the Foreign Exchange Market

EFA 2006 Zurich Meetings
Number of pages: 33 Posted: 08 Mar 2006
Vrije Universiteit Amsterdam, Dutch Central Bank (DNB), University of Luxembourg - Luxembourg School of Finance and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 137 (206,467)

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

28.

Chartists, Fundamentalists, and Dispersion in the Foreign Exchange Market

Number of pages: 34 Posted: 16 Mar 2009
Dutch Central Bank (DNB), University of Luxembourg - Luxembourg School of Finance, Vrije Universiteit Amsterdam and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 135 (208,927)

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

29.

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
Auckland University of Technology - Faculty of Business & Law, Auckland University of Technology - Faculty of Business & Law and Vrije Universiteit Amsterdam
Downloads 104 (253,451)

Abstract:

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mutual funds, market timing, heterogeneous agents models

30.

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 Vrije Universiteit Amsterdam
Downloads 99 (262,095)

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31.

Optimal Portfolio Choice in Corporate Bond Markets

Number of pages: 43 Posted: 18 Aug 2017 Last Revised: 12 Nov 2018
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 Vrije Universiteit Amsterdam
Downloads 97 (265,560)

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

32.

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 Vrije Universiteit Amsterdam
Downloads 96 (267,365)

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

33.

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 Vrije Universiteit Amsterdam
Downloads 89 (280,584)
Citation 4

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heterogeneous expectations, contagion, Asian crisis, dynamic models

34.

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
Vrije Universiteit Amsterdam and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 86 (286,654)

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heterogeneous agents, currency trading, style investing

35.

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 Vrije Universiteit Amsterdam
Downloads 82 (295,095)

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

36.

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
Auckland University of Technology - Faculty of Business & Law and Vrije Universiteit Amsterdam
Downloads 75 (310,976)

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Time-Varying Arbitrage; Price discovery; Heterogeneous Agent Models

37.

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 Vrije Universiteit Amsterdam
Downloads 71 (320,726)

Abstract:

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foreign exchange markets, disagreement, heterogeneous expectations, uncertainty

38.

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 Vrije Universiteit Amsterdam
Downloads 70 (323,195)

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Exchange rate, Heterogeneous agents, Transmission of news, Dynamics

39.

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, University of Amsterdam - Amsterdam School of Economics (ASE) and Vrije Universiteit Amsterdam
Downloads 69 (325,676)

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financial markets, heterogeneous expectations, market stability

40.

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 Vrije Universiteit Amsterdam
Downloads 64 (338,896)

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heterogeneity, discrete choice, foreign exchange, survey expectations

41.

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 Vrije Universiteit Amsterdam
Downloads 46 (394,535)

Abstract:

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foreign exchange markets, disagreement, heterogeneous expectations, uncertainty

42.

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
Auckland University of Technology - Faculty of Business & Law and Vrije Universiteit Amsterdam
Downloads 42 (408,882)

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Credit risk, sovereign bonds, CDS, heterogeneous agent models

43.

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
Vrije Universiteit Amsterdam and University of Groningen
Downloads 36 (432,347)
Citation 5

Abstract:

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Gravity equation, Trade, FDI, Time series

44.

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 Liege - HEC Management School, Vrije Universiteit Amsterdam, School of Business and Economics and Vrije Universiteit Amsterdam
Downloads 30 (458,355)

Abstract:

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45.

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, University of Amsterdam - Amsterdam School of Economics (ASE) and Vrije Universiteit Amsterdam
Downloads 28 (468,042)

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Financial Markets, Heterogeneous Expectations, Market Stability

46.

Dispersion of Beliefs in the Foreign Exchange Market

CEPR Discussion Paper No. DP6738
Number of pages: 46 Posted: 11 Jun 2008
Dutch Central Bank (DNB), Vrije Universiteit Amsterdam, School of Business and Economics, University of Luxembourg - Luxembourg School of Finance and Vrije Universiteit Amsterdam
Downloads 3 (615,137)
Citation 4
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exchange rates, expectations, heterogeneity, survey data

47.

Heterogeneity of Agents and Exchange Rate Dynamics

Posted: 07 Mar 2008
Remco C. J. Zwinkels, Eelke de Jong and Willem F. C. Verschoor
Vrije Universiteit Amsterdam, 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