Michel van der Wel
Michel van der Wel is Professor at the Econometric Institute of the Erasmus University Rotterdam. His main research areas are financial econometrics, time series econometrics, term structure modeling, and the macro-finance interaction. His work has been published in journals in the fields of econometrics, economics and finance, such as the Journal of Business and Economic Statistics, Journal of Applied Econometrics, Journal of Economic Dynamics and Control and the Journal of Financial and Quantitative Analysis.
Christensen, B. J. & van der Wel, M. (2019). An asset pricing approach to testing general term structure models. Journal of Financial Economics, 134(1), 165-191. Advance online publication. https://doi.org/10.1016/j.jfineco.2019.03.010
Nibbering, D., Paap, R. & van der Wel, M. (2018). What do professional forecasters actually predict? International Journal of Forecasting, 34(2), 288-311. https://doi.org/10.1016/j.ijforecast.2017.12.004
Opschoor, A., van Dijk, D. & van der Wel, M. (2017). Combining density forecasts using focused scoring rules. Journal of Applied Econometrics, 32(7), 1298-1313. https://doi.org/10.1002/jae.2575
Ozturk, S. R., van der Wel, M. & van Dijk, D. (2017). Intraday price discovery in fragmented markets. Journal of Financial Markets, 32, 28-48. Advance online publication. https://doi.org/10.1016/j.finmar.2016.10.001
Wel, M. V. D., Ozturk, S. R. & Dijk, D. V. (2016). Dynamic Factor Models for the Volatility Surface. In E. Hillebrand & S. J. Koopman (Eds.), Advances in Econometrics (Vol. 35, pp. 127-174). Emerald Group Publishing. https://doi.org/10.1108/S0731-905320150000035004
Christensen, B. J., Posch, O. & Van Der Wel, M. (2016). Estimating dynamic equilibrium models using mixed frequency macro and financial data. Journal of Econometrics, 194(1), 116-137. https://doi.org/10.1016/j.jeconom.2016.04.005
van Dijk, D., Lumsdaine, R. L. & van der Wel, M. (2016). Market Set-up in Advance of Federal Reserve Policy Rate Decisions. The Economic Journal, 126(592), 618-653. https://doi.org/10.1111/ecoj.12372
Van Dijk, D., Koopman, S. J., Wel, M. V. D. & Wright, J. H. (2014). Forecasting interest rates with shifting endpoints. Journal of Applied Econometrics, 693-712. https://doi.org/10.1002/jae.2358
Opschoor, A., Taylor, N., van der Wel, M. & van Dijk, D. (2014). Order flow and volatility: An empirical investigation. Journal of Empirical Finance, 28, 185-201. https://doi.org/10.1016/j.jempfin.2014.07.002
Opschoor, A., van Dijk, D. & van der Wel, M. (2014). Predicting volatility and correlations with Financial Conditions Indexes. Journal of Empirical Finance, 29, 435-447. https://doi.org/10.1016/j.jempfin.2014.10.003
Jungbacker, B., Koopman, S. J. & Van der Wel, M. (2014). Smooth dynamic factor analysis with application to the us term structure of interest rates. Journal of Applied Econometrics, 29(1), 65-90. https://doi.org/10.1002/jae.2319
Karstanje, D., Sojli, E., Tham, W. W. & Wel, M. V. D. (2013). Economic valuation of liquidity timing. Journal of Banking & Finance, 37(12), 5073-5087. https://doi.org/10.1016/j.jbankfin.2013.09.010
