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van der Wel, Michel's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
2,265 |
Total
Citations
19 |
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1.
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Koopman, Siem Jan
VU University Amsterdam Mallee, Max
VU University Amsterdam - Faculty of Economics and Business Administration van der Wel, Michel
Erasmus University Rotterdam
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10 Dec 07
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Last Revised:
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15 Aug 11
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601
(19,895)
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10
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Generalized Autoregressive Conditional Heteroskedasticity model, Extended Kalman filter, Time-Varying Volatility, Yield Curve
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2.
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Menkveld, Albert J.
VU University Amsterdam Sarkar, Asani
Federal Reserve Bank of New York van der Wel, Michel
Erasmus University Rotterdam
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01 Mar 07
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Last Revised:
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20 Nov 12
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294
(49,316)
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3
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riskfree rate, macroeconomic announcements, customer order flow, intermediary, treasury futures
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3.
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Jungbacker, Borus
VU University Amsterdam - Department of Economics Koopman, Siem Jan
VU University Amsterdam van der Wel, Michel
Erasmus University Rotterdam
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| Posted: |
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12 May 09
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Last Revised:
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20 Nov 12
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286
(50,958)
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Fama-Bliss data set, Kalman filter, Maximum likelihood, Yield curve
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4.
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Jungbacker, Borus
VU University Amsterdam - Department of Economics Koopman, Siem Jan
VU University Amsterdam van der Wel, Michel
Erasmus University Rotterdam
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12 Feb 09
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Last Revised:
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15 Aug 11
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174
(85,517)
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3
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High-dimensional vector series, Kalman filtering and smoothing, Unbalanced panels of time series
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5.
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van der Wel, Michel
Erasmus University Rotterdam Menkveld, Albert J.
VU University Amsterdam Sarkar, Asani
Federal Reserve Bank of New York
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171
(86,938)
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2
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market makers, liquidity supply, signing trades, inventory, information, Treasury futures markets
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6.
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Opschoor, Anne
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) van der Wel, Michel
Erasmus University Rotterdam van Dijk, Dick J. C.
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute Taylor, Nicholas
Cardiff University - Cardiff Business School
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23 May 11
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Last Revised:
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28 Nov 12
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155
(95,092)
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Information, macroeconomic announcements, order flow, treasury futures
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7.
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Christensen, Bent Jesper
University of Aarhus - Department of Economics Posch, Olaf
Universität Hamburg, Department of Economics van der Wel, Michel
Erasmus University Rotterdam
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| Posted: |
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13 Mar 11
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Last Revised:
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12 Jun 11
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134
(107,868)
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1
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Structural estimation, AK-Vasicek model, Martingale estimating function
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8.
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Karstanje, Dennis
Erasmus University Rotterdam Sojli, Elvira
RSM Erasmus University Tham, Wing Wah
Erasmus School of Economics - Econometric Institute van der Wel, Michel
Erasmus University Rotterdam
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123
(115,718)
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liquidity, forecasting, expected returns, economic valuation
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9.
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Koopman, Siem Jan
VU University Amsterdam van der Wel, Michel
Erasmus University Rotterdam
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| Posted: |
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12 Apr 11
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Last Revised:
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10 Dec 12
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121
(117,267)
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Fama-Bliss data set, Kalman filter, Maximum likelihood, Yield curve
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10.
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van Dijk, Dick J. C.
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute Koopman, Siem Jan
VU University Amsterdam van der Wel, Michel
Erasmus University Rotterdam Wright, Jonathan H.
Board of Governors of the Federal Reserve System - Trade and Financial Studies Section
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| Posted: |
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27 Jul 12
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Last Revised:
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17 Apr 13
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100
(135,182)
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Non-stationarity, survey forecasts, term structure of interest rates, forecasting, yield curve
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11.
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Christensen, Bent Jesper
University of Aarhus - Department of Economics van der Wel, Michel
Erasmus University Rotterdam
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| Posted: |
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26 Mar 10
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Last Revised:
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15 Mar 11
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81
(155,113)
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Arbitrage, Bond Aging Effect, Dynamic Factor Model, Macroeconomic Conditioning Variables, Nonlinear Drift Restriction, State Space Model, Time-Varying Risk Premia, Yield Curve Model
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12.
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Pan, Lei
Wageningen University and Research Center (WUR) - Development Economics Group Posch, Olaf
Universität Hamburg, Department of Economics van der Wel, Michel
Erasmus University Rotterdam
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25
(258,101)
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Economic convergence, Dynamic stochastic equilibrium models, Solow model, Structural estimation
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Records 1 -
12
of 12 matches
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