Details about Remco Zwinkels

Access statistics for papers by Remco Zwinkels.

Last updated 2020-06-08. Update your information in the RePEc Author Service.

Short-id: pzw9

Working Papers

2017

1. Comparing behavioural heterogeneity across asset classes
   Working Paper, Norges Bank View citations (6)

2016

2. Agreeing on disagreement: heterogeneity or uncertainty?
   Working Paper, Norges Bank View citations (3)
   See also Journal Article Agreeing on disagreement: Heterogeneity or uncertainty?, Journal of Financial Markets, Elsevier (2019) View citations (6) (2019)

2015

3. Investor Sentiment and Employment
   Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)

2014

4. Heterogeneous Expectations in Asset Pricing: Empirical Evidence from the S&P500
   Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (73)
   See also Journal Article Heterogeneous expectations in asset pricing: Empirical evidence from the S&P500, Journal of Economic Behavior & Organization, Elsevier (2014) View citations (72) (2014)

2013

5. Behavioural Real Estate
   Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (3)

2012

6. Sentiment Trades and Option Prices
   LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg

2010

7. Behavioral heterogeneity in the option market
   Post-Print, HAL View citations (61)
   Also in LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg (2009) View citations (1)
   See also Journal Article Behavioral heterogeneity in the option market, Journal of Economic Dynamics and Control, Elsevier (2010) View citations (61) (2010)
8. Modelling structural changes in the volatility process
   LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg
   See also Journal Article Modeling structural changes in the volatility process, Journal of Empirical Finance, Elsevier (2011) View citations (7) (2011)

2009

9. A Volatility Targeting GARCH model with Time-Varying Coefficients
   LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg
10. Dispersion of Beliefs in the Foreign Exchange Market
    LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2008) View citations (6)

Journal Articles

2020

1. Absence of speculation in the European sovereign debt markets
   Journal of Economic Behavior & Organization, 2020, 169, (C), 245-265 View citations (2)
2. Expected issuance fees and market liquidity
   Journal of Financial Markets, 2020, 48, (C) View citations (5)

2019

3. Agreeing on disagreement: Heterogeneity or uncertainty?
   Journal of Financial Markets, 2019, 44, (C), 17-30 View citations (6)
   See also Working Paper Agreeing on disagreement: heterogeneity or uncertainty?, Working Paper (2016) View citations (3) (2016)
4. Mortgage Insurance Adoption in the Netherlands
   Real Estate Economics, 2019, 47, (4), 977-1012 View citations (2)

2018

5. Time-varying arbitrage and dynamic price discovery
   Journal of Economic Dynamics and Control, 2018, 91, (C), 485-502 View citations (8)

2017

6. Excess stock return comovements and the role of investor sentiment
   Journal of International Financial Markets, Institutions and Money, 2017, 49, (C), 74-87 View citations (22)
7. Forecasting Crashes: Correlated Fund Flows and Skewness in Stock Returns
   Journal of Financial Econometrics, 2017, 15, (1), 36-61
8. Model Uncertainty and Exchange Rate Forecasting
   Journal of Financial and Quantitative Analysis, 2017, 52, (1), 341-363 View citations (19)

2016

9. On the Style-Based Feedback Trading of Mutual Fund Managers
   Journal of Financial and Quantitative Analysis, 2016, 51, (3), 771-800 View citations (13)
10. Time-varying importance of country and industry factors in European corporate bonds
    Journal of Empirical Finance, 2016, 38, (PA), 429-448 View citations (8)

2015

11. A tale of feedback trading by hedge funds
    Journal of Empirical Finance, 2015, 34, (C), 239-259 View citations (8)
12. Endogenous Price Bubbles in a Multi-Agent System of the Housing Market
    PLOS ONE, 2015, 10, (6), 1-10 View citations (16)
13. Fundamentals or trends? A long-term perspective on house prices
    Applied Economics, 2015, 47, (10), 1050-1059 View citations (20)

2014

14. An empirical examination of heterogeneity and switching in foreign exchange markets
    Journal of Economic Behavior & Organization, 2014, 107, (PB), 667-684 View citations (22)
15. Forecasting the US housing market
    International Journal of Forecasting, 2014, 30, (3), 415-425 View citations (40)
16. Heterogeneous expectations in asset pricing: Empirical evidence from the S&P500
    Journal of Economic Behavior & Organization, 2014, 105, (C), 1-16 View citations (72)
    See also Working Paper Heterogeneous Expectations in Asset Pricing: Empirical Evidence from the S&P500, Research Paper Series (2014) View citations (73) (2014)

2013

17. Carry trade and foreign exchange rate puzzles
    European Economic Review, 2013, 60, (C), 17-31 View citations (41)
18. Do foreign exchange fund managers behave like heterogeneous agents?
    Quantitative Finance, 2013, 13, (7), 1125-1134 View citations (7)
19. Dynamic expectation formation in the foreign exchange market
    Journal of International Money and Finance, 2013, 37, (C), 75-97 View citations (50)
20. Market timing ability and mutual funds: a heterogeneous agent approach
    Quantitative Finance, 2013, 13, (10), 1613-1620 View citations (10)

2012

21. A new measurement method of investor overconfidence
    Economics Letters, 2012, 114, (1), 69-71 View citations (9)
22. Explaining dispersion in foreign exchange expectations: A heterogeneous agent approach
    Journal of Economic Dynamics and Control, 2012, 36, (5), 719-735 View citations (52)

2011

23. Modeling structural changes in the volatility process
    Journal of Empirical Finance, 2011, 18, (3), 522-532 View citations (7)
    See also Working Paper Modelling structural changes in the volatility process, LSF Research Working Paper Series (2010) (2010)

2010

24. Behavioral heterogeneity in the option market
    Journal of Economic Dynamics and Control, 2010, 34, (11), 2273-2287 View citations (61)
    See also Working Paper Behavioral heterogeneity in the option market, Post-Print (2010) View citations (61) (2010)
25. Gravity equations: Workhorse or Trojan horse in explaining trade and FDI patterns across time and space?
    International Business Review, 2010, 19, (1), 102-115 View citations (50)
26. Heterogeneity of agents and exchange rate dynamics: Evidence from the EMS
    Journal of International Money and Finance, 2010, 29, (8), 1652-1669 View citations (70)
27. Oil price dynamics: A behavioral finance approach with heterogeneous agents
    Energy Economics, 2010, 32, (6), 1427-1434 View citations (80)

2009

28. A heterogeneous route to the European monetary system crisis
    Applied Economics Letters, 2009, 16, (9), 929-932 View citations (1)
29. Behavioural heterogeneity and shift-contagion: Evidence from the Asian crisis
    Journal of Economic Dynamics and Control, 2009, 33, (11), 1929-1944 View citations (64)

2008

30. The impact of horizontal and vertical FDI on host's country economic growth
    International Business Review, 2008, 17, (4), 452-472 View citations (75)