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Details about Michel van der Wel

E-mail:
Homepage:https://personal.eur.nl/vanderwel
Workplace:Econometrisch Instituut (Econometric Institute), Faculteit der Economische Wetenschappen (Erasmus School of Economics), Erasmus Universiteit Rotterdam (Erasmus University of Rotterdam), (more information at EDIRC)
Center for Research in Econometric Analysis of Time Series (CREATES), Institut for Økonomi (Department of Economics and Business Economics), Aarhus Universitet (Aarhus University), (more information at EDIRC)
Erasmus Research Institute of Management (ERIM), Erasmus Universiteit Rotterdam (Erasmus University of Rotterdam), (more information at EDIRC)
Tinbergen Instituut (Tinbergen Institute), (more information at EDIRC)

Access statistics for papers by Michel van der Wel.

Last updated 2021-04-10. Update your information in the RePEc Author Service.

Short-id: pva361


Jump to Journal Articles Chapters

Working Papers

2021

  1. Modelling Sovereign Credit Ratings: Evaluating the Accuracy and Driving Factors using Machine Learning Techniques
    Papers, arXiv.org Downloads View citations (1)

2020

  1. Connecting Silos: On linking macroeconomics and finance, and the role of econometrics therein
    ERIM Inaugural Address Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam. Downloads

2018

  1. Structural Estimation of Dynamic Macroeconomic Models using Higher-Frequency Financial Data
    2018 Meeting Papers, Society for Economic Dynamics Downloads

2017

  1. A Bayesian Infinite Hidden Markov Vector Autoregressive Model
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
  2. What Do Professional Forecasters Actually Predict?
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    See also Journal Article What do professional forecasters actually predict?, International Journal of Forecasting, Elsevier (2018) Downloads View citations (1) (2018)

2015

  1. Dynamic Factor Models for the Volatility Surface
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads
  2. Why do Pit-Hours outlive the Pit?
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (1)

2014

  1. Estimating Dynamic Equilibrium Models Using Mixed Frequency Macro and Financial Data
    CESifo Working Paper Series, CESifo Downloads
    See also Journal Article Estimating dynamic equilibrium models using mixed frequency macro and financial data, Journal of Econometrics, Elsevier (2016) Downloads View citations (12) (2016)
  2. Improving Density Forecasts and Value-at-Risk Estimates by Combining Densities
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
  3. Intraday Price Discovery in Fragmented Markets
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (4)
    See also Journal Article Intraday price discovery in fragmented markets, Journal of Financial Markets, Elsevier (2017) Downloads View citations (16) (2017)
  4. Market Set-Up in Advance of Federal Reserve Policy Decisions
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (2)

2013

  1. Economic Valuation of Liquidity Timing
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (11)
    See also Journal Article Economic valuation of liquidity timing, Journal of Banking & Finance, Elsevier (2013) Downloads View citations (10) (2013)
  2. Predicting Covariance Matrices with Financial Conditions Indexes
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (1)

2012

  1. Forecasting Interest Rates with Shifting Endpoints
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (7)
  2. Measuring Convergence using Dynamic Equilibrium Models: Evidence from Chinese Provinces
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads
  3. On the Effects of Private Information on Volatility
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (1)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2011) Downloads

2011

  1. Dynamic Factor Analysis in The Presence of Missing Data
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (4)
  2. Estimating Dynamic Equilibrium Models using Macro and Financial Data
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (5)
  3. Forecasting the U.S. Term Structure of Interest Rates using a Macroeconomic Smooth Dynamic Factor Model
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (4)
    See also Journal Article Forecasting the US term structure of interest rates using a macroeconomic smooth dynamic factor model, International Journal of Forecasting, Elsevier (2013) Downloads View citations (12) (2013)
  4. Maximum likelihood estimation for dynamic factor models with missing data
    Post-Print, HAL Downloads View citations (55)
    See also Journal Article Maximum likelihood estimation for dynamic factor models with missing data, Journal of Economic Dynamics and Control, Elsevier (2011) Downloads View citations (55) (2011)

2010

  1. Dynamic Factor Models with Smooth Loadings for Analyzing the Term Structure of Interest Rates
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (1)

2009

  1. Are Market Makers Uninformed and Passive? Signing Trades in The Absence of Quotes
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (1)
    Also in Staff Reports, Federal Reserve Bank of New York (2009) Downloads View citations (1)
  2. Smooth Dynamic Factor Analysis with an Application to the U.S. Term Structure of Interest Rates
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (1)

2008

  1. Customer flow, intermediaries, and the discovery of the equilibrium riskfree rate
    CFS Working Paper Series, Center for Financial Studies (CFS) Downloads View citations (1)

2007

  1. Analyzing the Term Structure of Interest Rates using the Dynamic Nelson-Siegel Model with Time-Varying Parameters
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (4)
  2. Macro News, Riskfree Rates, and the Intermediary
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
  3. Macro news, risk-free rates, and the intermediary: customer orders for thirty-year Treasury futures
    Staff Reports, Federal Reserve Bank of New York Downloads

Undated

  1. An Asset Pricing Approach to Testing General Term Structure Models including Heath-Jarrow-Morton Specifications and Affine Subclasses
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads

Journal Articles

2019

  1. An asset pricing approach to testing general term structure models
    Journal of Financial Economics, 2019, 134, (1), 165-191 Downloads View citations (2)

2018

  1. What do professional forecasters actually predict?
    International Journal of Forecasting, 2018, 34, (2), 288-311 Downloads View citations (1)
    See also Working Paper What Do Professional Forecasters Actually Predict?, Tinbergen Institute Discussion Papers (2017) Downloads (2017)

2017

  1. Intraday price discovery in fragmented markets
    Journal of Financial Markets, 2017, 32, (C), 28-48 Downloads View citations (16)
    See also Working Paper Intraday Price Discovery in Fragmented Markets, Tinbergen Institute Discussion Papers (2014) Downloads View citations (4) (2014)

2016

  1. Estimating dynamic equilibrium models using mixed frequency macro and financial data
    Journal of Econometrics, 2016, 194, (1), 116-137 Downloads View citations (12)
    See also Working Paper Estimating Dynamic Equilibrium Models Using Mixed Frequency Macro and Financial Data, CESifo Working Paper Series (2014) Downloads (2014)
  2. Market Set‐up in Advance of Federal Reserve Policy Rate Decisions
    Economic Journal, 2016, (592), 618-653 Downloads View citations (3)

2014

  1. Order flow and volatility: An empirical investigation
    Journal of Empirical Finance, 2014, 28, (C), 185-201 Downloads View citations (14)
  2. Predicting volatility and correlations with Financial Conditions Indexes
    Journal of Empirical Finance, 2014, 29, (C), 435-447 Downloads View citations (20)

2013

  1. Economic valuation of liquidity timing
    Journal of Banking & Finance, 2013, 37, (12), 5073-5087 Downloads View citations (10)
    See also Working Paper Economic Valuation of Liquidity Timing, Tinbergen Institute Discussion Papers (2013) Downloads View citations (11) (2013)
  2. Forecasting the US term structure of interest rates using a macroeconomic smooth dynamic factor model
    International Journal of Forecasting, 2013, 29, (4), 676-694 Downloads View citations (12)
    See also Working Paper Forecasting the U.S. Term Structure of Interest Rates using a Macroeconomic Smooth Dynamic Factor Model, Tinbergen Institute Discussion Papers (2011) Downloads View citations (4) (2011)

2012

  1. Customer Order Flow, Intermediaries, and Discovery of the Equilibrium Risk-Free Rate
    Journal of Financial and Quantitative Analysis, 2012, 47, (4), 821-849 Downloads View citations (16)

2011

  1. Maximum likelihood estimation for dynamic factor models with missing data
    Journal of Economic Dynamics and Control, 2011, 35, (8), 1358-1368 Downloads View citations (55)
    See also Working Paper Maximum likelihood estimation for dynamic factor models with missing data, Post-Print (2011) Downloads View citations (55) (2011)

2010

  1. Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson–Siegel Model With Time-Varying Parameters
    Journal of Business & Economic Statistics, 2010, 28, (3), 329-343 Downloads View citations (82)

Chapters

2016

  1. Dynamic Factor Models for the Volatility Surface☆
    A chapter in Dynamic Factor Models, 2016, vol. 35, pp 127-174 Downloads
 
Page updated 2025-02-13