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Home | People | Michel van der Wel
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Michel van der Wel

Research Fellow

University
Erasmus University Rotterdam
Research field
Econometrics
Interests
Econometrics, Finance, Financial Econometrics, Market Microstructure, Time Series Econometrics

Key publications

List of publications

Christensen,B.J. and van der Wel,M.. 2019. An Asset Pricing Approach to Testing General Term Structure Models. Journal of Financial Economics, to appear

Nibbering,D. and Paap,R. and van der Wel,M.. 2018. What do professional forecasters actually predict?. International Journal of Forecasting, 34, 288--311

Opschoor,A. and van Dijk,D.J.C. and van der Wel,M.. 2017. Combining Density Forecasts using Focused Scoring Rules. Journal of Applied Econometrics, 32, 1298--1313

Ozturk,S.R. and van der Wel,M. and van Dijk,D.J.C.. 2017. Intraday price discovery in fragmented markets. Journal of Financial Markets, 32, 28--48

Christensen,B.J. and Posch,O. and van der Wel,M.. 2016. Estimating Dynamic Equilibrium Models using Macro and Financial Data. Journal of Econometrics, 194, 116--137

Lumsdaine,R.L. and van Dijk,D.J.C. and van der Wel,M.. 2016. Market Set-Up in Advance of Federal Reserve Policy Decisions. Economic Journal, 126, 618--653

van Dijk,D.J.C. and Lumsdaine,R.L. and van der Wel,M.. 2016. Market set-up in advance of Federal Reserve policy rate decisions. Economic Journal, 126, 618--653

B.M.J.P. Jungbacker and S.J. Koopman and van der Wel, M.. 2014. Smooth Dynamic Factor Analysis with Application to the U.S. Term Structure of Interest Rates. Journal of Applied Econometrics, 29, 65--90, 0883-7252

van Dijk,D.J.C. and Koopman,S.J. and van der Wel,M. and Wright,J. 2014. Forecasting interest rates with shifting endpoints. Journal of Applied Econometrics, 29, 693--712

A. Opschoor and van Dijk, D. and van der Wel, M.. 2014. Predicting volatility and correlations with Financial Conditions Indexes. Journal of Empirical Finance, 29, 435--447, 0927-5398

Opschoor,A. and van der Wel,M. and van Dijk,D.J.C. and Taylor,N.. 2014. Order Flow and Volatility: An Empirical Investigation. Journal of Empirical Finance, 28, 185--201

Karstanje,D. and Sojli,E. and Tham,W.W. and van der Wel,M.. 2013. Economic Valuation of Liquidity Timing. Journal of Banking and Finance, 37, 5073--5087

Koopman,S.J. and van der Wel,M.. 2013. Forecasting the U.S. Term Structure of Interest Rates Using a Macroeconomic Smooth Dynamic Factor Model. International Journal of Forecasting, 29, 676--694

A.J. Menkveld and A. Sarkar and van der Wel, M.. 2012. Customer Order Flow, Intermediaries, and Discovery of the Equilibrium Risk-Free Rate. Journal of Financial and Quantitative Analysis, 47, 821--849, 0022-1090

Jungbacker,B. and Koopman,S.J. and van der Wel,M.. 2011. Maximum Likelihood Estimation for Dynamic Factor Models with Missing Data. Journal of Economic Dynamics and Control, 35, 1358--1368

Koopman,S.J. and Mallee,M.I.P and van der Wel,M.. 2010. Analyzing the Term Structure of Interest Rates using the Dynamic Nelson-Siegel Model with Time-Varying Parameters. Journal of Business and Economic Statistics, 28, 329--343