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Michel van der Wel
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Year
Analyzing the term structure of interest rates using the dynamic Nelson–Siegel model with time-varying parameters
SJ Koopman, MIP Mallee, M Van der Wel
Journal of Business & Economic Statistics 28 (3), 329-343, 2010
2342010
Maximum likelihood estimation for dynamic factor models with missing data
B Jungbacker, SJ Koopman, M Van der Wel
Journal of Economic Dynamics and Control 35 (8), 1358-1368, 2011
113*2011
Forecasting interest rates with shifting endpoints
D Van Dijk, SJ Koopman, M Van der Wel, JH Wright
Journal of Applied Econometrics 29 (5), 693-712, 2014
742014
Smooth Dynamic Factor Analysis with Application to the US Term Structure of Interest Rates
B Jungbacker, SJ Koopman, M Wel
Journal of Applied Econometrics, 2013
74*2013
Intraday Price Discovery in Fragmented Markets
S Ozturk, M Van der Wel, D Van Dijk
Tinbergen Institute Discussion Papers, 2014
69*2014
Forecasting the US term structure of interest rates using a macroeconomic smooth dynamic factor model
SJ Koopman, M Van der Wel
International Journal of Forecasting 29 (4), 676-694, 2013
572013
Customer order flow, intermediaries, and discovery of the equilibrium risk-free rate
AJ Menkveld, A Sarkar, M Wel
Journal of Financial and Quantitative Analysis 47 (04), 821-849, 2012
57*2012
Combining density forecasts using focused scoring rules
A Opschoor, D van Dijk, M van der Wel
Journal of Applied Econometrics 32 (7), 1298-1313, 2017
562017
Non-standard errors
AJ Menkveld, A Dreber, F Holzmeister, J Huber, M Johannesson, ...
412022
Predicting volatility and correlations with Financial Conditions Indexes
A Opschoor, D van Dijk, M van der Wel
Journal of Empirical Finance 29, 435-447, 2014
322014
Order flow and volatility: An empirical investigation
A Opschoor, N Taylor, M van der Wel, D van Dijk
Journal of Empirical Finance 28, 185-201, 2014
272014
Common Factors in Commodity Futures Curves
D Karstanje, M Van der Wel, DJC Van Dijk
Available at SSRN 2558014, 2015
262015
Economic valuation of liquidity timing
D Karstanje, E Sojli, WW Tham, M van der Wel
Journal of Banking & Finance 37 (12), 5073-5087, 2013
232013
Estimating dynamic equilibrium models using mixed frequency macro and financial data
BJ Christensen, O Posch, M van der Wel
Journal of Econometrics 194 (1), 116-137, 2016
22*2016
An Asset Pricing Approach to Testing General Term Structure Models
BJ Christensen, M van der Wel
212016
Market Set-Up in Advance of Federal Reserve Policy Decisions
D van Dijk, RL Lumsdaine, M Van der Wel
National Bureau of Economic Research, 2014
14*2014
Are market makers uninformed and passive? Signing trades in the absence of quotes
M Van der Wel, AJ Menkveld, A Sarkar
Signing Trades in the Absence of Quotes (September 1, 2009). FRB of New York …, 2009
14*2009
Riskfree Rate Dynamics: Information
M VAN DER WEL
Trading, and State Space Modeling, 0
14
Modelling sovereign credit ratings: Evaluating the accuracy and driving factors using machine learning techniques
BHL Overes, M van der Wel
Computational Economics 61 (3), 1273-1303, 2023
122023
What do Professional Forecasters actually predict?
D Nibbering, R Paap, M Van der Wel
Tinbergen Institute Discussion Papers, 2015
82015
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