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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
Email:
Homepage:http://people.few.eur.nl/vanderwel
Postal Address:
Phone:
(in no particular order)
Location: Rotterdam, Netherlands
Homepage: http://www.econometric-institute.org/
Email:
Phone: 010 - 40 81278
Fax: 010 - 40 89162
Postal: Burgemeester Oudlaan 50, 3062 PA Rotterdam
Handle: RePEc:edi:eieurnl (more details at EDIRC)
Location: Rotterdam, Netherlands
Homepage: http://www.erim.eur.nl/
Email:
Phone: 31-10-408 1182
Fax: 31-10-408 9020
Postal: RSM Erasmus University & Erasmus School of Economics, PoBox 1738, 3000 DR Rotterdam
Handle: RePEc:edi:erimanl (more details at EDIRC)
Location: Amsterdam, Netherlands
Homepage: http://www.tinbergen.nl/
Email:
Phone: +31 (0)20 525 1600
Fax: +31 (0)20 551 3555
Postal: Gustav Mahlerplein 117, 1082 MS Amsterdam
Handle: RePEc:edi:tinbenl (more details at EDIRC)
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  1. 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.
  2. Lei Pan & Olaf Posch & Michel van der Wel, 2012. "Measuring Convergence using Dynamic Equilibrium Models: Evidence from Chinese Provinces," CREATES Research Papers 2012-26, School of Economics and Management, University of Aarhus.
  3. 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, School of Economics and Management, University of Aarhus.
  4. Bent Jesper Christensen & Olaf Posch & Michel van der Wel, 2011. "Estimating Dynamic Equilibrium Models using Macro and Financial Data," CREATES Research Papers 2011-21, School of Economics and Management, University of Aarhus.
  5. 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.
  6. 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, School of Economics and Management, University of Aarhus.
  7. 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).
  8. 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.
    RePEc:dgr:uvatin:20090010 is not listed on IDEAS
    RePEc:dgr:uvatin:20120076 is not listed on IDEAS
    RePEc:dgr:uvatin:20070086 is not listed on IDEAS
    RePEc:dgr:uvatin:20070095 is not listed on IDEAS
    RePEc:dgr:uvatin:20090041 is not listed on IDEAS
    RePEc:dgr:uvatin:20090046 is not listed on IDEAS
  9. 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, School of Economics and Management, University of Aarhus.
    RePEc:dgr:uvatin:20110063 is not listed on IDEAS
    RePEc:dgr:uvatin:20110077 is not listed on IDEAS
  1. 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.
  2. 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.
  3. 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.
  4. 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.
  5. 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.
13 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CBA: Central Banking (1) 2011-06-25
  2. NEP-CTA: Contract Theory & Applications (1) 2012-03-14
  3. NEP-DGE: Dynamic General Equilibrium (1) 2012-06-13
  4. NEP-ECM: Econometrics (5) 2008-02-23 2009-02-28 2009-09-19 2009-10-31 2011-06-25. Author is listed
  5. NEP-ETS: Econometric Time Series (2) 2009-02-28 2009-09-19
  6. NEP-FOR: Forecasting (2) 2011-04-23 2012-08-23
  7. NEP-ICT: Information & Communication Technologies (1) 2012-03-14
  8. NEP-MAC: Macroeconomics (3) 2008-02-23 2008-02-23 2014-01-24
  9. NEP-MON: Monetary Economics (2) 2008-02-23 2014-01-24
  10. NEP-MST: Market Microstructure (5) 2007-12-01 2008-02-23 2009-07-03 2009-10-31 2012-03-14. Author is listed
  11. NEP-TRA: Transition Economics (1) 2012-06-13

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