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Michel van der Wel

This is information that was supplied by Michel van der Wel in registering through RePEc. If you are Michel van der Wel , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name:Michel
Middle Name:
Last Name:van der Wel
Suffix:
RePEc Short-ID:pva361
http://people.few.eur.nl/vanderwel
Rotterdam, Netherlands
http://www.econometric-institute.org/

: 010 - 40 81278
010 - 40 89162
Burgemeester Oudlaan 50, 3062 PA Rotterdam
RePEc:edi:eieurnl (more details at EDIRC)
Rotterdam, Netherlands
http://www.erim.eur.nl/

: 31-10-408 1182
31-10-408 9020
RSM Erasmus University & Erasmus School of Economics, PoBox 1738, 3000 DR Rotterdam
RePEc:edi:erimanl (more details at EDIRC)
Amsterdam, Netherlands
http://www.tinbergen.nl/

: +31 (0)20 598 4580

Gustav Mahlerplein 117, 1082 MS Amsterdam
RePEc:edi:tinbenl (more details at EDIRC)
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  1. Sait R. Ozturk & Michel van der Wel & Dick van Dijk, 2015. "Why do Pit-Hours outlive the Pit?," Tinbergen Institute Discussion Papers 15-082/III, Tinbergen Institute.
  2. Michel van der Wel & Sait R. Ozturk & Dick van Dijk, 2015. "Dynamic Factor Models for the Volatility Surface," CREATES Research Papers 2015-13, Department of Economics and Business Economics, Aarhus University.
  3. Didier Nibbering & Richard Paap & Michel van der Wel, 2015. "What do Professional Forecasters actually predict?," Tinbergen Institute Discussion Papers 15-095/III, Tinbergen Institute, revised 14 Oct 2015.
  4. Dick van Dijk & Robin L. Lumsdaine & Michel van der Wel, 2014. "Market Set-Up in Advance of Federal Reserve Policy Decisions," NBER Working Papers 19814, National Bureau of Economic Research, Inc.
  5. Sait Ozturk & Michel van der Wel, 2014. "Intraday Price Discovery in Fragmented Markets," Tinbergen Institute Discussion Papers 14-027/III, Tinbergen Institute.
  6. Anne Opschoor & Dick van Dijk & Michel van der Wel, 2014. "Improving Density Forecasts and Value-at-Risk Estimates by Combining Densities," Tinbergen Institute Discussion Papers 14-090/III, Tinbergen Institute.
  7. Bent Jesper Christensen & Olaf Posch & Michel van der Wel, 2014. "Estimating Dynamic Equilibrium Models Using Mixed Frequency Macro and Financial Data," CESifo Working Paper Series 5030, CESifo Group Munich.
  8. Anne Opschoor & Dick van Dijk & Michel van der Wel, 2013. "Predicting Covariance Matrices with Financial Conditions Indexes," Tinbergen Institute Discussion Papers 13-113/III, Tinbergen Institute.
  9. Dennis Karstanje & Elvira Sojli & Wing Wah Tham & Michel van der Wel, 2013. "Economic Valuation of Liquidity Timing," Tinbergen Institute Discussion Papers 13-156/IV/DSF64, Tinbergen Institute.
  10. Dick van Dijk & Siem Jan Koopman & Michel van der Wel & Jonathan H. Wright, 2012. "Forecasting Interest Rates with Shifting Endpoints," Tinbergen Institute Discussion Papers 12-076/4, Tinbergen Institute.
  11. Anne Opschoor & Michel van der Wel & Dick van Dijk & Nick Taylor, 2012. "On the Effects of Private Information on Volatility," CREATES Research Papers 2012-08, Department of Economics and Business Economics, Aarhus University.
  12. Lei Pan & Olaf Posch & Michel van der Wel, 2012. "Measuring Convergence using Dynamic Equilibrium Models: Evidence from Chinese Provinces," CREATES Research Papers 2012-26, Department of Economics and Business Economics, Aarhus University.
  13. Siem Jan Koopman & Michel van der Wel, 2011. "Forecasting the U.S. Term Structure of Interest Rates using a Macroeconomic Smooth Dynamic Factor Model," Tinbergen Institute Discussion Papers 11-063/4, Tinbergen Institute.
  14. Bent Jesper Christensen & Olaf Posch & Michel van der Wel, 2011. "Estimating Dynamic Equilibrium Models using Macro and Financial Data," CREATES Research Papers 2011-21, Department of Economics and Business Economics, Aarhus University.
  15. B. Jungbacker & S.J. Koopman & M. Van Der Wel, 2011. "Maximum likelihood estimation for dynamic factor models with missing data," Post-Print hal-00828980, HAL.
  16. Michel van der Wel & Albert Menkveld & Asani Sarkar, 2009. "Are Market Makers Uninformed and Passive? Signing Trades in The Absence of Quotes," Tinbergen Institute Discussion Papers 09-046/3, Tinbergen Institute.
  17. Michel Van der Wel & Albert J. Menkveld & Asani Sarkar, 2009. "Are market makers uninformed and passive? Signing trades in the absence of quotes," Staff Reports 395, Federal Reserve Bank of New York.
  18. B. Jungbacker & S.J. Koopman & M. van der Wel, 2009. "Dynamic Factor Analysis in The Presence of Missing Data," Tinbergen Institute Discussion Papers 09-010/4, Tinbergen Institute, revised 11 Mar 2011.
  19. Borus Jungbacker & Siem Jan Koopman & Michel van der Wel, 2009. "Smooth Dynamic Factor Analysis with an Application to the U.S. Term Structure of Interest Rates," CREATES Research Papers 2009-39, Department of Economics and Business Economics, Aarhus University.
  20. Menkveld, Albert J. & Sarkar, Asani & van der Wel, Michel, 2008. "Customer flow, intermediaries, and the discovery of the equilibrium riskfree rate," CFS Working Paper Series 2008/47, Center for Financial Studies (CFS).
  21. Siem Jan Koopman & Max I.P. Mallee & Michel van der Wel, 2007. "Analyzing the Term Structure of Interest Rates using the Dynamic Nelson-Siegel Model with Time-Varying Parameters," Tinbergen Institute Discussion Papers 07-095/4, Tinbergen Institute.
  22. Albert J. Menkveld & Asani Sarkar & Michel van der Wel, 2007. "Macro News, Riskfree Rates, and the Intermediary," Tinbergen Institute Discussion Papers 07-086/2, Tinbergen Institute.
  23. Albert J. Menkveld & Asani Sarkar & Michel Van der Wel, 2007. "Macro news, risk-free rates, and the intermediary: customer orders for thirty-year Treasury futures," Staff Reports 307, Federal Reserve Bank of New York.
  24. Bent Jesper Christensen & Michel van der Wel, . "An Asset Pricing Approach to Testing General Term Structure Models including Heath-Jarrow-Morton Specifications and Affine Subclasses," CREATES Research Papers 2010-14, Department of Economics and Business Economics, Aarhus University.
  25. Borus Jungbacker & Siem Jan Koopman & Michel van der Wel, 0000. "Dynamic Factor Models with Smooth Loadings for Analyzing the Term Structure of Interest Rates," Tinbergen Institute Discussion Papers 09-041/4, Tinbergen Institute, revised 17 Sep 2010.
  1. Dick van Dijk & Robin L. Lumsdaine & Michel van der Wel, 2016. "Market Set‐up in Advance of Federal Reserve Policy Rate Decisions," Economic Journal, Royal Economic Society, vol. 0(592), pages 618-653, 05.
  2. Opschoor, Anne & Taylor, Nick & van der Wel, Michel & van Dijk, Dick, 2014. "Order flow and volatility: An empirical investigation," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 185-201.
  3. Opschoor, Anne & van Dijk, Dick & van der Wel, Michel, 2014. "Predicting volatility and correlations with Financial Conditions Indexes," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 435-447.
  4. Koopman, Siem Jan & van der Wel, Michel, 2013. "Forecasting the US term structure of interest rates using a macroeconomic smooth dynamic factor model," International Journal of Forecasting, Elsevier, vol. 29(4), pages 676-694.
  5. Karstanje, Dennis & Sojli, Elvira & Tham, Wing Wah & van der Wel, Michel, 2013. "Economic valuation of liquidity timing," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5073-5087.
  6. Menkveld, Albert J. & Sarkar, Asani & Wel, Michel van der, 2012. "Customer Order Flow, Intermediaries, and Discovery of the Equilibrium Risk-Free Rate," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 47(04), pages 821-849, August.
  7. Jungbacker, B. & Koopman, S.J. & van der Wel, M., 2011. "Maximum likelihood estimation for dynamic factor models with missing data," Journal of Economic Dynamics and Control, Elsevier, vol. 35(8), pages 1358-1368, August.
  8. Koopman, Siem Jan & Mallee, Max I. P. & Van der Wel, Michel, 2010. "Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson–Siegel Model With Time-Varying Parameters," Journal of Business & Economic Statistics, American Statistical Association, vol. 28(3), pages 329-343.
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 13 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (7) 2008-02-23 2009-02-28 2009-09-19 2009-10-31 2011-06-25 2014-11-17 2015-04-25. Author is listed
  2. NEP-MST: Market Microstructure (6) 2007-12-01 2009-07-03 2009-10-31 2012-03-14 2015-04-25 2015-07-11. Author is listed
  3. NEP-MAC: Macroeconomics (5) 2008-02-23 2008-02-23 2014-01-24 2015-04-25 2015-08-25. Author is listed
  4. NEP-FOR: Forecasting (4) 2011-04-23 2014-11-17 2015-04-25 2015-08-25. Author is listed
  5. NEP-ETS: Econometric Time Series (3) 2009-02-28 2009-09-19 2015-03-13
  6. NEP-MON: Monetary Economics (2) 2008-02-23 2014-01-24
  7. NEP-RMG: Risk Management (2) 2014-11-17 2015-04-25
  8. NEP-BAN: Banking (1) 2015-04-25
  9. NEP-CBA: Central Banking (1) 2011-06-25
  10. NEP-CTA: Contract Theory & Applications (1) 2012-03-14
  11. NEP-DGE: Dynamic General Equilibrium (1) 2012-06-13
  12. NEP-FMK: Financial Markets (1) 2015-04-25
  13. NEP-ICT: Information & Communication Technologies (1) 2012-03-14
  14. NEP-TRA: Transition Economics (1) 2012-06-13

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