Michel van der Wel

Erasmus University Rotterdam

Burg. Oudlaan 50

Rotterdam, NL 3062 PA

Netherlands

SCHOLARLY PAPERS

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Scholarly Papers (26)

1.
Downloads 4,033 ( 3,088)

Non-Standard Errors

Number of pages: 56 Posted: 23 Nov 2021 Last Revised: 21 Jan 2022
Albert J. Menkveld, Anna Dreber, Felix Holzmeister, Juergen Huber, Magnus Johannesson, Michael Kirchler, Michael Razen, Utz Weitzel, David Abad, Menachem (Meni) Abudy, Tobias Adrian, Yacine Ait-Sahalia, Olivier Akmansoy, Jamie Alcock, Vitali Alexeev, Arash Aloosh, Livia Amato, Diego Amaya, James Angel, Amadeus Bach, Edwin Baidoo, Gaetan Bakalli, Andrea Barbon, Oksana Bashchenko, Parampreet Christopher Bindra, Geir Hoidal Bjonnes, Jeff Black, Bernard S. Black, Santiago Bohorquez, Oleg Bondarenko, Charles S. Bos, Ciril Bosch-Rosa, Elie Bouri, Christian T. Brownlees, Anna Calamia, Viet Nga Cao, Gunther Capelle-Blancard, Laura Capera, Massimiliano Caporin, Allen Carrion, Tolga Caskurlu, Bidisha Chakrabarty, Mikhail Chernov, William M. Cheung, Ludwig B. Chincarini, Tarun Chordia, Sheung Chi Chow, Benjamin Clapham, Jean-Edouard Colliard, Carole Comerton-Forde, Edward Curran, Thong Dao, Wale Dare, Ryan J. Davies, Riccardo De Blasis, Gianluca De Nard, Fany Declerck, Oleg Deev, Hans Degryse, Solomon Deku, Christophe Desagre, Mathijs A. Van Dijk, Chukwuma Dim, Thomas Dimpfl, Yun Jiang Dong, Philip Drummond, Tom Dudda, Ariadna Dumitrescu, Teodor Dyakov, Anne Haubo Dyhrberg, Michał Dzieliński, Asli Eksi, Izidin El Kalak, Saskia ter Ellen, Nicolas Eugster, Martin D.D. Evans, Michael Farrell, Ester Félez-Viñas, Gerardo Ferrara, El Mehdi FERROUHI, Andrea Flori, Jonathan Fluharty-Jaidee, Sean Foley, Kingsley Y. L. Fong, Thierry Foucault, Tatiana Franus, Francesco A. Franzoni, Bart Frijns, Michael Frömmel, Servanna Fu, Sascha Füllbrunn, Baoqing Gan, Thomas Gehrig, Dirk Gerritsen, Javier Gil-Bazo, Lawrence R. Glosten, Thomas Gomez, Arseny Gorbenko, Ufuk Güçbilmez, Joachim Grammig, Vincent Gregoire, Björn Hagströmer, Julien Hambuckers, Erik Hapnes, Jeffrey H. Harris, Lawrence Harris, Simon Hartmann, Jean-Baptiste Hasse, Nikolaus Hautsch, Xuezhong He, Davidson Heath, Simon Hediger, Terrence Hendershott, Ann Marie Hibbert, Erik Hjalmarsson, Seth A. Hoelscher, Peter Hoffmann, Craig W. Holden, Alex R. Horenstein, Wenqian Huang, Da Huang, Christophe Hurlin, Alexey Ivashchenko, Subramanian R. Iyer, Hossein Jahanshahloo, Naji Jalkh, Charles M. Jones, Simon Jurkatis, Petri Jylha, Andreas Kaeck, Gabriel Kaiser, Arzé Karam, Egle Karmaziene, Bernhard Kassner, Markku Kaustia, Ekaterina Kazak, Fearghal Kearney, Vincent van Kervel, Saad Khan, Marta Khomyn, Tony Klein, Olga Klein, Alexander Klos, Michael Koetter, Jan Pieter Krahnen, Aleksey Kolokolov, Robert A. Korajczyk, Roman Kozhan, Amy Kwan, Quentin Lajaunie, FY Eric C Lam, Marie Lambert, Hugues Langlois, Jens Lausen, Tobias Lauter, Markus Leippold, Vladimir Levin, Yijie Li, (Michael) Hui Li, Chee Yoong Liew, Thomas Lindner, Oliver B. Linton, Jiacheng Liu, Anqi Liu, Guillermo Llorente, Matthijs Lof, Ariel Lohr, Francis A. Longstaff, Alejandro Lopez-Lira, Shawn Mankad, Nicola Mano, Alexis Marchal, Charles Martineau, Francesco Mazzola, Debrah Meloso, Roxana Mihet, Vijay Mohan, Sophie Moinas, David Moore, Liangyi Mu, Dmitriy Muravyev, Dermot Murphy, Gabor Neszveda, Christian Neumeier, Ulf Nielsson, Mahendrarajah Nimalendran, Sven Nolte, Lars L. Norden, Peter O'Neill, Khaled Obaid, Bernt Arne Ødegaard, Per Östberg, Marcus Painter, Stefan Palan, Imon Palit, Andreas Park, Roberto Pascual, Paolo Pasquariello, Lubos Pastor, Vinay Patel, Andrew J. Patton, Neil D. Pearson, Loriana Pelizzon, Matthias Pelster, Christophe Pérignon, Cameron Pfiffer, Richard Philip, Tomáš Plíhal, Puneet Prakash, Oliver-Alexander Press, Tina Prodromou, Tālis J. Putniņš, Gaurav Raizada, David A. Rakowski, Angelo Ranaldo, Luca Regis, Stefan Reitz, Thomas Renault, Rex Wang Renjie, Roberto Renò, Steven Riddiough, Kalle Rinne, Paul Rintamäki, Ryan Riordan, Thomas Rittmannsberger, Iñaki Rodríguez-Longarela, Dominik Rösch, Lavinia Rognone, Brian Roseman, Ioanid Rosu, Saurabh Roy, Nicolas Rudolf, Stephen Rush, Khaladdin Rzayev, Aleksandra Rzeźnik, Anthony Sanford, Harikumar Sankaran, Asani Sarkar, Lucio Sarno, O. Scaillet, Stefan Scharnowski, Klaus Reiner Schenk-Hoppé, Andrea Schertler, Michael Schneider, Florian Schroeder, Norman Schürhoff, Philipp Schuster, Marco A. Schwarz, Mark S. Seasholes, Norman Seeger, Or Shachar, Andriy Shkilko, Jessica Shui, Mario Sikic, Giorgia Simion, Lee A. Smales, Paul Söderlind, Elvira Sojli, Konstantin Sokolov, Laima Spokeviciute, Denitsa Stefanova, Marti G. Subrahmanyam, Sebastian Neusüss, Barnabas Szaszi, Oleksandr Talavera, Yuehua Tang, Nicholas Taylor, Wing Wah Tham, Erik Theissen, Julian Thimme, Ian Tonks, Hai Tran, Luca Trapin, Anders B. Trolle, Giorgio Valente, Robert A. Van Ness, Aurelio Vasquez, Thanos Verousis, Patrick Verwijmeren, Anders Vilhelmsson, Grigory Vilkov, Vladimir Vladimirov, Sebastian Vogel, Stefan Voigt, Wolf Wagner, Thomas Walther, Patrick Weiss, Michel van der Wel, Ingrid M. Werner, P. Joakim Westerholm, Christian Westheide, Evert Wipplinger, Michael Wolf, Christian C. P. Wolff, Leonard Wolk, Wing Keung Wong, Jan Wrampelmeyer, Shuo Xia, Dacheng Xiu, Ke Xu, Caihong Xu, Pradeep K. Yadav, José Yagüe, Cheng Yan, Antti Yang, Woongsun Yoo, Wenjia Yu, Shihao Yu, Bart Z. Yueshen, Darya Yuferova, Marcin Zamojski, Abalfazl Zareei, Stefan Zeisberger, S. Sarah Zhang, Xiaoyu Zhang, Zhuo Zhong, Z. Ivy Zhou, Chen Zhou, Xingyu Sonya Zhu, Marius Zoican, Remco C. J. Zwinkels, Jian Chen, Teodor Duevski, Ge Gao, Roland Gemayel, Dudley Gilder, Paul Kuhle, Emiliano Pagnotta, Michele Pelli, Jantje Sönksen, Lu Zhang, Konrad Ilczuk, Dimitar Bogoev, Ya Qian, Hans C. Wika, Yihe Yu, Lu Zhao, Michael Mi, Li Bao, Andreea Vaduva, Prokopczuk Prokopczuk, Alejandro Avetikian and Zhen-Xing Wu
Vrije Universiteit Amsterdam, Stockholm School of Economics - Department of Economics, University of Innsbruck - Department of Economics, University of Innsbruck, Stockholm School of Economics - Department of Economics, University of Innsbruck, University of Innsbruck, VU University Amsterdam, Universidad de Alicante, Bar-Ilan University - Graduate School of Business Administration, International Monetary Fund (IMF), Princeton University - Department of Economics, CNRS, University of Oxford, University of Technology Sydney, Neoma Business School, University of Chicago - Booth School of Business, Wilfrid Laurier University, Georgetown University - Department of Finance, University of Mannheim, Tennessee Technological University, Auburn University, University of St. Gallen, Swiss Finance Institute - HEC Lausanne, University of Innsbruck, BI Norwegian Business School, University of Memphis, Northwestern University, Universidad EAFIT, University of Illinois at Chicago - Department of Finance, VU University Amsterdam, Technische Universität Berlin, Lebanese American University, Universitat Pompeu Fabra - Faculty of Economic and Business Sciences, Toulouse Business School - TBS Education, Monash University, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), Vrije Universiteit Amsterdam, University of Padua - Department of Statistical Sciences, University of Memphis - Fogelman College of Business and Economics, University of Amsterdam Business School, Saint Louis University - Richard A. Chaifetz School of Business, UCLA Anderson, Waseda University, University of San Francisco, Emory University - Department of Finance, Australian National University (ANU), Goethe University Frankfurt Faculty of Economics and Business Administration, HEC Paris - Finance Department, University of Melbourne - Department of Finance, Macquarie University - Faculty of Business and Economics, Nottingham Trent University, University of Liège - HEC Liège, Babson College - Finance Division, Lum University Giuseppe Degennaro, University of Zurich - Department of Banking and Finance, Universite de Toulouse 1 Capitole, Masaryk University, KU Leuven - Faculty of Business and Economics (FEB), Nottingham Trent University - Nottingham Business School, Catholic University of Louvain (UCL) - Louvain Finance (LFIN), Erasmus University Rotterdam (EUR), Frankfurt School of Finance & Management, University of Hohenheim, Queen's University (Canada), Queen's School of Business, Students, Monash University, Technische Universität Dresden, ESADE Business School, EDHEC Business School, The University of Sydney - Discipline of Finance, Stockholm Business School, Stockholm University, Salisbury University - Perdue School of Business, Cardiff Business School, Norges Bank, University of Queensland - Business School, Georgetown University - Department of Economics, University of Virginia - Darden School of Business, University of Technology Sydney, Bank of England, Ibn Tofail University, Politecnico di Milano, affiliation not provided to SSRN, Macquarie University, University of New South Wales - School of Banking and Finance, HEC Paris - Finance Department, City, University of London - Bayes Business School, Universita della Svizzera italiana (USI Lugano), Open University of the Netherlands - School of Management, Ghent University - Department of Financial Economics, University of Essex, Radboud University Nijmegen - Institute for Management Research, University of Technology Sydney, University of Vienna, Utrecht University - School of Economics, Universitat Pompeu Fabra, Columbia University, Utrecht University, Monash University - Department of Banking and Finance, University of Glasgow - Adam Smith Business School, University of Tuebingen, HEC Montreal - Department of Finance, Stockholm University - Stockholm Business School, University of Liège - HEC Liège, Aalto University, American University - Department of Finance and Real Estate, University of Southern California - Marshall School of Business - Finance and Business Economics Department, Vienna University of Economics and Business, Aix-Marseille University - Aix-Marseille School of Economics, University of Vienna - Department of Statistics and Operations Research, Xi'an Jiaotong-Liverpool University (XJTLU), University of Utah - David Eccles School of Business, University of Zurich - Department of Banking and Finance, University of California, Berkeley - Haas School of Business, West Virginia University - Department of Finance, University of Gothenburg - Centre for Finance, Missouri State University - College of Business, European Central Bank (ECB), Indiana University - Kelley School of Business - Department of Finance, University of Miami - School of Business Administration - Department of Economics, Bank for International Settlements, University of Utah - David Eccles School of Business, University of Orleans, Vrije Universiteit Amsterdam, University of New Mexico, Cardiff University, Saint Joseph University, Columbia University, Bank of England, Aalto University, University of Sussex, Universite du Luxembourg, Durham University, Vrije Universiteit Amsterdam, Ludwig-Maximilians-Universität München, Aalto University, University of Manchester, Queen's University Belfast - Queen's Management School, Pontifical Catholic University of Chile, Queen's University - Smith School of Business, University of Technology Sydney (UTS), Queen's University Belfast - Queen's Management School, University of Warwick - Warwick Business School, University of Kiel - Institute for Quantitative Business and Economics Research (QBER), Halle Institute for Economic Research, Goethe University Frankfurt, University of Manchester - Manchester Business School, Northwestern University - Kellogg School of Management, University of Warwick - Warwick Business School, University of Sydney Business School, Université Paris Dauphine, Hong Kong Institute for Monetary and Financial Research, University of Liège - HEC Liège, HEC Paris - Finance Department, Goethe University Frankfurt - Faculty of Economics and Business Administration, Leibniz University Hannover, University of Zurich, Universite du Luxembourg, S&P Global Ratings, La Trobe University, UCSI University, Malaysia, Vienna University of Economics and Business, University of Cambridge, Purdue University, The University of Sydney, Universidad Autonoma de Madrid, Aalto University, Arizona State University (ASU) - Finance Department, University of California, Los Angeles (UCLA) - Finance Area, University of Florida - Department of Finance, Insurance and Real Estate, Cornell University, Swiss Finance Institute - USI Lugano, EPFL, University of Toronto - Rotman School of Management and UTSC Management, Erasmus University Rotterdam (EUR), Toulouse Business School - TBS Education, Swiss Finance Institute - HEC Lausanne, RMIT University, Universite de Toulouse 1 Capitole, Loyola Marymount University, Queen's University Belfast, Michigan State University - Department of Finance, University of Illinois at Chicago, John von Neumann University, Justus Liebig University Giessen, Copenhagen Business School, University of Florida - Department of Finance, Insurance and Real Estate, Radboud University, Stockholm University - Stockholm Business School, Financial Conduct Authority, California State University-East Bay, University of Stavanger, University of Zurich - Department of Banking and Finance, Saint Louis University - Department of Finance, University of Graz, RMIT University - Blockchain Innovation Hub, University of Toronto at Mississauga, Universidad de las Islas Baleares, University of Michigan, Stephen M. Ross School of Business, University of Chicago - Booth School of Business, University of Technology Sydney (UTS), Duke University - Department of Economics, University of Illinois at Urbana-Champaign - Department of Finance, Goethe University Frankfurt - Faculty of Economics and Business Administration, Paderborn University, HEC Paris - Finance Department, University of Oregon - Department of Finance, University of Sydney Business School, Masaryk University - Faculty of Economics and Administration, Missouri State University, Copenhagen Business School, The University of Wollongong, University of Technology Sydney (UTS), Indian Institute of Management, Ahmedabad, University of Texas at Arlington, University of St. Gallen, University of Turin, University of Kiel, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), Vrije Universiteit Amsterdam, University of Verona - Department of Economics, University of Toronto, Universite du Luxembourg - Department of Finance, Aalto University, Queen's University - Smith School of Business, University of Innsbruck, Stockholm University - Stockholm Business School, State University of New York at Buffalo - School of Management, University of Manchester - Alliance Manchester Business School, Oklahoma State University - Department of Finance, HEC Paris - Finance Department, University of Massachusetts Amherst, University of Lausanne, Bowling Green State University - Department of Finance, University of Edinburgh, York University, University of Maryland, New Mexico State University, Federal Reserve Bank of New York, University of Cambridge - Judge Business School, Swiss Finance Institute - University of Geneva, University of Mannheim, University of Manchester - Department of Economics, University of Graz, Deutsche Bundesbank, Macquarie University, Swiss Finance Institute - HEC Lausanne, University of Stuttgart, Heinrich Heine University Dusseldorf - Duesseldorf Institute for Competition Economics (DICE), Arizona State University (ASU), Vrije Universiteit Amsterdam, Federal Reserve Bank of New York, Wilfrid Laurier University - Lazaridis School of Business and Economics, Federal Housing Finance Agency, University of Zurich, Vienna University of Economics and Business, University of Western Australia, University of St. Gallen, UNSW Australia Business School, School of Banking and Finance, University of Memphis - Fogelman College of Business and Economics, Cardiff University, Universite du Luxembourg, New York University (NYU) - Leonard N. Stern School of Business, Aalto University, Eötvös Loránd University, University of Birmingham, University of Florida - Department of Finance, University of Bristol - School of Economics, Finance and Management, University of New South Wales (UNSW), University of Mannheim - Finance Area, Karlsruhe Institute of Technology, University of Bristol, Loyola Marymount University - Department of Finance, University of Bologna, Copenhagen Business School, Hong Kong Institute for Monetary and Financial Research (HKIMR), University of Mississippi - Department of Finance, Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration, University of Essex, Erasmus University Rotterdam (EUR), Lund University - Department of Economics, Frankfurt School of Finance & Management, University of Amsterdam Business School, Erasmus University Rotterdam (EUR), University of Copenhagen, Erasmus University Rotterdam (EUR), Utrecht University - School of Economics, Vienna Graduate School of Finance (VGSF), Erasmus University Rotterdam, The Ohio State University - Fisher College of Business, University of Sydney Business School, University of Vienna - Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, University of Zurich - Department of Economics, University of Luxembourg, Vrije Universiteit Amsterdam, Auburn University, Vrije Universiteit Amsterdam, School of Business and Economics, Halle Institute for Economic Research, University of Chicago - Booth School of Business, University of Victoria, Stockholm University - Stockholm Business School, University of Oklahoma Price College of Business, University of Murcia, University of Essex - Essex Business School, Erasmus University Rotterdam, Central Michigan University, Aalto University, Vrije Universiteit Amsterdam, INSEAD - Finance, Norwegian School of Economics (NHH) - Department of Finance, University of Gothenburg, Centre for Finance, Stockholm University, Radboud University, Institute for Management Research, University of Manchester - Alliance Manchester Business School, Vrije Universiteit Amsterdam, University of Melbourne - Department of Finance, University of Wollongong - School of Accounting, Economics & Finance, Erasmus University Rotterdam (EUR), Bank for International Settlements (BIS), University of Toronto at Mississauga - Department of Management, VU University Amsterdam - Department of Finance and Financial Sector Management, Queen's University, HEC Paris, University of Birmingham, King's College London, Cardiff University, Universidad Autonoma de Madrid, Singapore Management University, University of Zurich - Department of Banking and Finance, University of Tübingen, University of Luxembourg, affiliation not provided to SSRN, EDF Energy, United Kingdom, Aalto University, Norges Bank, University at Buffalo, SUNY, Southwestern University of Finance and Economics (SWUFE), The University of Sydney, University of Toulouse Capitole, UC3M, Leibniz University Hannover, Pontifical Catholic University of Chile and Zhongnan University of Economics and Law - School of Finance
Downloads 4,033 (3,175)

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non-standard errors, multi-analyst approach, liquidity

2.

Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson-Siegel Model with Time-Varying Parameters

Tinbergen Institute Discussion Paper No. 07-095/4, Journal of Business and Economic Statistics, Vol. 28, No. 3, pp. 329-343, 2010
Number of pages: 31 Posted: 10 Dec 2007 Last Revised: 15 Aug 2011
Siem Jan Koopman, Max Mallee and Michel van der Wel
Vrije Universiteit Amsterdam - School of Business and Economics, Vrije Universiteit Amsterdam, School of Business and Economics and Erasmus University Rotterdam
Downloads 1,020 (28,754)
Citation 14

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Generalized Autoregressive Conditional Heteroskedasticity model, Extended Kalman filter, Time-Varying Volatility, Yield Curve

3.

Common Factors in Commodity Futures Curves

Number of pages: 67 Posted: 01 Feb 2015 Last Revised: 13 Dec 2017
Dennis Karstanje, Michel van der Wel and Dick J. C. van Dijk
Erasmus University Rotterdam, Erasmus University Rotterdam and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 628 (55,799)
Citation 4

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Commodity futures prices, comovement, term structure, dynamic Nelson Siegel model

4.

Forecasting Bond Risk Premia using Stationary Yield Factors

Number of pages: 38 Posted: 13 Apr 2021
Tobias Hoogteijling, Martin Martens and Michel van der Wel
Robeco Asset Management, Robeco Asset Management and Erasmus University Rotterdam
Downloads 505 (73,322)

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Yield curve, Bond risk premia, Forecasting, PCA, Machine learning

5.

Customer Order Flow, Intermediaries, and Discovery of the Equilibrium Risk-free Rate

Journal of Financial and Quantitative Analysis (JFQA), 17, 821-849, EFA 2007 Ljubljana Meetings Paper, FRB of New York Staff Report No. 307
Number of pages: 44 Posted: 01 Mar 2007 Last Revised: 20 Nov 2012
Albert J. Menkveld, Asani Sarkar and Michel van der Wel
Vrije Universiteit Amsterdam, Federal Reserve Bank of New York and Erasmus University Rotterdam
Downloads 436 (87,302)
Citation 9

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riskfree rate, macroeconomic announcements, customer order flow, intermediary, treasury futures

6.

Smooth Dynamic Factor Analysis with Application to the U.S. Term Structure of Interest Rates

Journal of Applied Econometrics, 29, p65-90, CREATES Research Paper 2009-39, Tinbergen Institute Discussion Paper 09-041/4
Number of pages: 56 Posted: 12 May 2009 Last Revised: 05 Aug 2014
Borus Jungbacker, Siem Jan Koopman and Michel van der Wel
VU University Amsterdam - Department of Economics, Vrije Universiteit Amsterdam - School of Business and Economics and Erasmus University Rotterdam
Downloads 432 (88,197)
Citation 2

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Fama-Bliss data set, Kalman filter, Maximum likelihood, Yield curve

Estimating Dynamic Equilibrium Models Using Mixed Frequency Macro and Financial Data

Journal of Econometrics, 194:1, 2016, PDF includes Web Appendix
Number of pages: 106 Posted: 13 Mar 2011 Last Revised: 17 Dec 2016
Bent Jesper Christensen, Olaf Posch and Michel van der Wel
Aarhus University, Universität Hamburg, Department of Economics and Erasmus University Rotterdam
Downloads 329 (119,312)
Citation 3

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Structural estimation, AK-Vasicek model, Martingale estimating function

Estimating Dynamic Equilibrium Models Using Mixed Frequency Macro and Financial Data

CESifo Working Paper Series No. 5030
Number of pages: 66 Posted: 04 Nov 2014
Bent Jesper Christensen, Olaf Posch and Michel van der Wel
Aarhus University, Universität Hamburg, Department of Economics and Erasmus University Rotterdam
Downloads 34 (583,802)
Citation 2

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structural estimation, AK-Vasicek model, Martingale estimating function

8.

Dynamic Factor Models for the Volatility Surface

Advances in Econometrics, 35, 2016
Number of pages: 51 Posted: 01 Feb 2015 Last Revised: 17 Dec 2016
Michel van der Wel, Sait Ozturk and Dick J. C. van Dijk
Erasmus University Rotterdam, Erasmus University Rotterdam (EUR) and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 333 (118,502)

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Dynamic Factor Models, Implied Volatility Surface, Kalman filter, Maximum likelihood

9.

Intraday Price Discovery in Fragmented Markets

Journal of Financial Markets, Forthcoming, Tinbergen Institute Discussion Paper TI 14-027/III
Number of pages: 49 Posted: 27 Feb 2014 Last Revised: 17 Dec 2016
Sait Ozturk, Michel van der Wel and Dick J. C. van Dijk
Erasmus University Rotterdam (EUR), Erasmus University Rotterdam and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 327 (120,836)
Citation 1

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High-frequency data, Market microstructure, Price Discovery, Kalman filter

10.

Are Market Makers Uninformed and Passive? Signing Trades in the Absence of Quotes

FRB of New York Staff Report No. 395
Number of pages: 39 Posted: 28 May 2009
Michel van der Wel, Albert J. Menkveld and Asani Sarkar
Erasmus University Rotterdam, Vrije Universiteit Amsterdam and Federal Reserve Bank of New York
Downloads 326 (121,231)
Citation 1

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market makers, liquidity supply, signing trades, inventory, information, Treasury futures markets

11.

Economic Valuation of Liquidity Timing

Journal of Banking and Finance, 37, p5073-5087
Number of pages: 46 Posted: 28 Feb 2013 Last Revised: 05 Aug 2014
Dennis Karstanje, Elvira Sojli, Wing Wah Tham and Michel van der Wel
Erasmus University Rotterdam, UNSW Australia Business School, School of Banking and Finance, University of New South Wales (UNSW) and Erasmus University Rotterdam
Downloads 321 (123,298)
Citation 1

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liquidity, forecasting, expected returns, economic valuation

12.

Maximum Likelihood Estimation for Dynamic Factor Models with Missing Data

Tinbergen Discussion Paper No. 09-010/4, Journal of Economic Dynamics and Control, Vol. 35, No. 8, pp. 1358-1368, 2011
Number of pages: 20 Posted: 12 Feb 2009 Last Revised: 15 Aug 2011
Borus Jungbacker, Siem Jan Koopman and Michel van der Wel
VU University Amsterdam - Department of Economics, Vrije Universiteit Amsterdam - School of Business and Economics and Erasmus University Rotterdam
Downloads 319 (124,106)
Citation 2

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High-dimensional vector series, Kalman filtering and smoothing, Unbalanced panels of time series

13.

Order Flow and Volatility: An Empirical Investigation

Journal of Empirical Finance, Vol. 28, 2014, Tinbergen Institute Discussion Paper No. 2011-077/4
Number of pages: 40 Posted: 23 May 2011 Last Revised: 16 Dec 2016
Vrije Universiteit Amsterdam, University of Bristol - School of Economics, Finance and Management, Erasmus University Rotterdam and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 315 (125,764)
Citation 4

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Information, order flow, macroeconomic announcements, treasury futures

14.

Forecasting Interest Rates with Shifting Endpoints

Journal of Applied Econometrics, 29, p693-712, Tinbergen Institute Discussion Paper 12-076/4
Number of pages: 78 Posted: 27 Jul 2012 Last Revised: 05 Aug 2014
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute, Vrije Universiteit Amsterdam - School of Business and Economics, Erasmus University Rotterdam and Johns Hopkins University - Department of Economics
Downloads 306 (129,725)
Citation 10

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Non-stationarity, survey forecasts, term structure of interest rates, forecasting, yield curve

15.

Predicting Volatility and Correlations with Financial Conditions Indexes

Journal of Empirical Finance, Vol. 29, 2014, Tinbergen Institute Discussion Paper 13-113/III
Number of pages: 26 Posted: 10 Aug 2013 Last Revised: 17 Dec 2016
Anne Opschoor, Dick J. C. van Dijk and Michel van der Wel
Vrije Universiteit Amsterdam, Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute and Erasmus University Rotterdam
Downloads 277 (144,015)
Citation 1

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Dynamic correlations, Volatility modeling, Financial Conditions Indexes, Bank holding companies

16.

Combining Density Forecasts using Focused Scoring Rules

Tinbergen Institute Discussion Paper 14-090/III
Number of pages: 35 Posted: 22 Jul 2014 Last Revised: 14 Jan 2017
Anne Opschoor, Dick J. C. van Dijk and Michel van der Wel
Vrije Universiteit Amsterdam, Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute and Erasmus University Rotterdam
Downloads 275 (145,063)
Citation 5

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Density forecast evaluation, Volatility modeling, Censored likelihood, Value-at-Risk

17.

An Asset Pricing Approach to Testing General Term Structure Models

Number of pages: 78 Posted: 26 Mar 2010 Last Revised: 24 May 2018
Bent Jesper Christensen and Michel van der Wel
Aarhus University and Erasmus University Rotterdam
Downloads 246 (162,161)
Citation 1

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Arbitrage, Bond Aging Effect, Dynamic Factor Model, Macroeconomic Conditioning Variables, Nonlinear Drift Restriction, State Space Model, Time-Varying Risk Premia, Yield Curve Model

18.

Forecasting the U.S. Term Structure of Interest Rates Using a Macroeconomic Smooth Dynamic Factor Model

International Journal of Forecasting, 29, p676-694
Number of pages: 38 Posted: 12 Apr 2011 Last Revised: 05 Aug 2014
Siem Jan Koopman and Michel van der Wel
Vrije Universiteit Amsterdam - School of Business and Economics and Erasmus University Rotterdam
Downloads 226 (175,988)
Citation 4

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Fama-Bliss data set, Kalman filter, Maximum likelihood, Yield curve

19.

Market Set-Up in Advance of Federal Reserve Policy Rate Decisions

Economic Journal, 126, 2016
Number of pages: 56 Posted: 17 Dec 2013 Last Revised: 17 Dec 2016
Dick J. C. van Dijk, Robin L. Lumsdaine and Michel van der Wel
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute, American University - Department of Finance and Real Estate and Erasmus University Rotterdam
Downloads 212 (186,801)

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FOMC, announcements, federal funds rate, anticipatory signals

20.

Measuring Convergence Using Dynamic Equilibrium Models: Evidence from Chinese Provinces

Number of pages: 30 Posted: 31 May 2012
Lei Pan, Olaf Posch and Michel van der Wel
Wageningen UR - Development Economics Group, Universität Hamburg, Department of Economics and Erasmus University Rotterdam
Downloads 111 (318,455)
Citation 1

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Economic convergence, Dynamic stochastic equilibrium models, Solow model, Structural estimation

21.

A Bayesian Infinite Hidden Markov Vector Autoregressive Model

Tinbergen Institute Discussion Paper 16-107/III
Number of pages: 49 Posted: 08 Dec 2016 Last Revised: 22 Oct 2017
Didier Nibbering, Richard Paap and Michel van der Wel
Erasmus University Rotterdam (EUR) - Department of Econometrics, Erasmus University Rotterdam (EUR) - Department of Econometrics and Erasmus University Rotterdam
Downloads 99 (341,771)

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Time-Varying Parameter Vector Autoregressive Model, Semi-parametric Bayesian Inference, Dirichlet Process Mixture Model, Hidden Markov Chain, Monetary Policy Analysis, Real-time Forecasting

22.

What Do Professional Forecasters Actually Predict?

Tinbergen Institute Discussion Paper 15-095/III
Number of pages: 51 Posted: 08 Aug 2015 Last Revised: 22 Oct 2017
Didier Nibbering, Richard Paap and Michel van der Wel
Erasmus University Rotterdam (EUR) - Department of Econometrics, Erasmus University Rotterdam (EUR) - Department of Econometrics and Erasmus University Rotterdam
Downloads 91 (360,578)

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forecast evaluation, Survey of Professional Forecasters, expert forecast, trend-cycle decomposition, state space modeling, Baxter-King filter

23.

Why Do the Pit Hours Outlive the Pit?

Tinbergen Institute Discussion Paper 15-082/III
Number of pages: 49 Posted: 07 Jul 2015 Last Revised: 21 May 2016
Sait Ozturk, Michel van der Wel and Dick J. C. van Dijk
Erasmus University Rotterdam (EUR), Erasmus University Rotterdam and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 91 (360,578)
Citation 2

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Afterhours Trading, Market microstructure, Kalman filter

24.

Global Evidence on Unspanned Macro Risks in Dynamic Term Structure Models

Number of pages: 47 Posted: 28 May 2021 Last Revised: 30 Jun 2021
Michel van der Wel and Yaoyuan Zhang
Erasmus University Rotterdam and HKU Business School
Downloads 53 (480,854)

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Yield curve, Term structure models, Macro-finance, Unspanned macro risks, International markets

25.

Heterogeneous Macro and Financial Effects of ECB Asset Purchase Programs

Tinbergen Institute Discussion Paper 2021-109/III
Number of pages: 75 Posted: 05 Jan 2022 Last Revised: 18 Jan 2022
Terri van der Zwan, Erik Kole and Michel van der Wel
Erasmus University Rotterdam (EUR), Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute and Erasmus University Rotterdam
Downloads 17 (688,697)

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Unconventional monetary policy, financial markets, heterogeneity, structural vector autoregression

26.

Market Set-Up in Advance of Federal Reserve Policy Decisions

NBER Working Paper No. w19814
Number of pages: 49 Posted: 18 Jan 2014 Last Revised: 21 Feb 2021
Dick J. C. van Dijk, Robin L. Lumsdaine and Michel van der Wel
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute, American University - Department of Finance and Real Estate and Erasmus University Rotterdam
Downloads 11 (727,830)

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