Details about Michel van der Wel
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
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Working Papers
2021
- Modelling Sovereign Credit Ratings: Evaluating the Accuracy and Driving Factors using Machine Learning Techniques
Papers, arXiv.org View citations (1)
2020
- 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.
2018
- Structural Estimation of Dynamic Macroeconomic Models using Higher-Frequency Financial Data
2018 Meeting Papers, Society for Economic Dynamics
2017
- A Bayesian Infinite Hidden Markov Vector Autoregressive Model
Tinbergen Institute Discussion Papers, Tinbergen Institute
- What Do Professional Forecasters Actually Predict?
Tinbergen Institute Discussion Papers, Tinbergen Institute 
See also Journal Article What do professional forecasters actually predict?, International Journal of Forecasting, Elsevier (2018) View citations (1) (2018)
2015
- Dynamic Factor Models for the Volatility Surface
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
- Why do Pit-Hours outlive the Pit?
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
2014
- Estimating Dynamic Equilibrium Models Using Mixed Frequency Macro and Financial Data
CESifo Working Paper Series, CESifo 
See also Journal Article Estimating dynamic equilibrium models using mixed frequency macro and financial data, Journal of Econometrics, Elsevier (2016) View citations (12) (2016)
- Improving Density Forecasts and Value-at-Risk Estimates by Combining Densities
Tinbergen Institute Discussion Papers, Tinbergen Institute
- Intraday Price Discovery in Fragmented Markets
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (4)
See also Journal Article Intraday price discovery in fragmented markets, Journal of Financial Markets, Elsevier (2017) View citations (16) (2017)
- Market Set-Up in Advance of Federal Reserve Policy Decisions
NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)
2013
- Economic Valuation of Liquidity Timing
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (11)
See also Journal Article Economic valuation of liquidity timing, Journal of Banking & Finance, Elsevier (2013) View citations (10) (2013)
- Predicting Covariance Matrices with Financial Conditions Indexes
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
2012
- Forecasting Interest Rates with Shifting Endpoints
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (7)
- Measuring Convergence using Dynamic Equilibrium Models: Evidence from Chinese Provinces
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
- On the Effects of Private Information on Volatility
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (1)
Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2011)
2011
- Dynamic Factor Analysis in The Presence of Missing Data
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (4)
- Estimating Dynamic Equilibrium Models using Macro and Financial Data
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (5)
- Forecasting the U.S. Term Structure of Interest Rates using a Macroeconomic Smooth Dynamic Factor Model
Tinbergen Institute Discussion Papers, Tinbergen Institute 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) View citations (12) (2013)
- Maximum likelihood estimation for dynamic factor models with missing data
Post-Print, HAL 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) View citations (55) (2011)
2010
- Dynamic Factor Models with Smooth Loadings for Analyzing the Term Structure of Interest Rates
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
2009
- Are Market Makers Uninformed and Passive? Signing Trades in The Absence of Quotes
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
Also in Staff Reports, Federal Reserve Bank of New York (2009) View citations (1)
- 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 View citations (1)
2008
- Customer flow, intermediaries, and the discovery of the equilibrium riskfree rate
CFS Working Paper Series, Center for Financial Studies (CFS) View citations (1)
2007
- Analyzing the Term Structure of Interest Rates using the Dynamic Nelson-Siegel Model with Time-Varying Parameters
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (4)
- Macro News, Riskfree Rates, and the Intermediary
Tinbergen Institute Discussion Papers, Tinbergen Institute
- Macro news, risk-free rates, and the intermediary: customer orders for thirty-year Treasury futures
Staff Reports, Federal Reserve Bank of New York
Undated
- 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
Journal Articles
2019
- An asset pricing approach to testing general term structure models
Journal of Financial Economics, 2019, 134, (1), 165-191 View citations (2)
2018
- What do professional forecasters actually predict?
International Journal of Forecasting, 2018, 34, (2), 288-311 View citations (1)
See also Working Paper What Do Professional Forecasters Actually Predict?, Tinbergen Institute Discussion Papers (2017) (2017)
2017
- Intraday price discovery in fragmented markets
Journal of Financial Markets, 2017, 32, (C), 28-48 View citations (16)
See also Working Paper Intraday Price Discovery in Fragmented Markets, Tinbergen Institute Discussion Papers (2014) View citations (4) (2014)
2016
- Estimating dynamic equilibrium models using mixed frequency macro and financial data
Journal of Econometrics, 2016, 194, (1), 116-137 View citations (12)
See also Working Paper Estimating Dynamic Equilibrium Models Using Mixed Frequency Macro and Financial Data, CESifo Working Paper Series (2014) (2014)
- Market Set‐up in Advance of Federal Reserve Policy Rate Decisions
Economic Journal, 2016, (592), 618-653 View citations (3)
2014
- Order flow and volatility: An empirical investigation
Journal of Empirical Finance, 2014, 28, (C), 185-201 View citations (14)
- Predicting volatility and correlations with Financial Conditions Indexes
Journal of Empirical Finance, 2014, 29, (C), 435-447 View citations (20)
2013
- Economic valuation of liquidity timing
Journal of Banking & Finance, 2013, 37, (12), 5073-5087 View citations (10)
See also Working Paper Economic Valuation of Liquidity Timing, Tinbergen Institute Discussion Papers (2013) View citations (11) (2013)
- Forecasting the US term structure of interest rates using a macroeconomic smooth dynamic factor model
International Journal of Forecasting, 2013, 29, (4), 676-694 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) View citations (4) (2011)
2012
- Customer Order Flow, Intermediaries, and Discovery of the Equilibrium Risk-Free Rate
Journal of Financial and Quantitative Analysis, 2012, 47, (4), 821-849 View citations (16)
2011
- Maximum likelihood estimation for dynamic factor models with missing data
Journal of Economic Dynamics and Control, 2011, 35, (8), 1358-1368 View citations (55)
See also Working Paper Maximum likelihood estimation for dynamic factor models with missing data, Post-Print (2011) View citations (55) (2011)
2010
- 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 View citations (82)
Chapters
2016
- Dynamic Factor Models for the Volatility Surface☆
A chapter in Dynamic Factor Models, 2016, vol. 35, pp 127-174
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