Michel van der Wel

Erasmus University Rotterdam

Burg. Oudlaan 50

Rotterdam, NL 3062 PA

Netherlands

CREATES

School of Economics and Management

Building 1322, Bartholins Alle 10

DK-8000 Aarhus C

Denmark

ERIM

P.O. Box 1738

3000 DR Rotterdam

Netherlands

Tinbergen Institute

Burg. Oudlaan 50

Rotterdam, 3062 PA

Netherlands

SCHOLARLY PAPERS

22

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6,003

CITATIONS
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22

Scholarly Papers (22)

1.

Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson-Siegel Model with Time-Varying Parameters

Tinbergen Institute Discussion Paper No. 07-095/4, Journal of Business and Economic Statistics, Vol. 28, No. 3, pp. 329-343, 2010
Number of pages: 31 Posted: 10 Dec 2007 Last Revised: 15 Aug 2011
Siem Jan Koopman, Max Mallee and Michel van der Wel
Vrije Universiteit Amsterdam - School of Business and Economics, Vrije Universiteit Amsterdam, School of Business and Economics and Erasmus University Rotterdam
Downloads 946 (22,970)
Citation 23

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Generalized Autoregressive Conditional Heteroskedasticity model, Extended Kalman filter, Time-Varying Volatility, Yield Curve

2.

Common Factors in Commodity Futures Curves

Number of pages: 67 Posted: 01 Feb 2015 Last Revised: 13 Dec 2017
Dennis Karstanje, Michel van der Wel and Dick J. C. van Dijk
Erasmus University Rotterdam, Erasmus University Rotterdam and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 450 (62,028)
Citation 2

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Commodity futures prices, comovement, term structure, dynamic Nelson Siegel model

3.

Smooth Dynamic Factor Analysis with Application to the U.S. Term Structure of Interest Rates

Journal of Applied Econometrics, 29, p65-90, CREATES Research Paper 2009-39, Tinbergen Institute Discussion Paper 09-041/4
Number of pages: 56 Posted: 12 May 2009 Last Revised: 05 Aug 2014
Borus Jungbacker, Siem Jan Koopman and Michel van der Wel
VU University Amsterdam - Department of Economics, Vrije Universiteit Amsterdam - School of Business and Economics and Erasmus University Rotterdam
Downloads 399 (71,690)
Citation 8

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Fama-Bliss data set, Kalman filter, Maximum likelihood, Yield curve

4.

Customer Order Flow, Intermediaries, and Discovery of the Equilibrium Risk-free Rate

Journal of Financial and Quantitative Analysis (JFQA), 17, 821-849, EFA 2007 Ljubljana Meetings Paper, FRB of New York Staff Report No. 307
Number of pages: 44 Posted: 01 Mar 2007 Last Revised: 20 Nov 2012
Albert J. Menkveld, Asani Sarkar and Michel van der Wel
VU Amsterdam, Federal Reserve Bank of New York and Erasmus University Rotterdam
Downloads 391 (73,407)
Citation 11

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riskfree rate, macroeconomic announcements, customer order flow, intermediary, treasury futures

Estimating Dynamic Equilibrium Models Using Mixed Frequency Macro and Financial Data

Journal of Econometrics, 194:1, 2016, PDF includes Web Appendix
Number of pages: 106 Posted: 13 Mar 2011 Last Revised: 17 Dec 2016
Bent Jesper Christensen, Olaf Posch and Michel van der Wel
Aarhus University, Universität Hamburg, Department of Economics and Erasmus University Rotterdam
Downloads 309 (95,445)
Citation 3

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Structural estimation, AK-Vasicek model, Martingale estimating function

Estimating Dynamic Equilibrium Models Using Mixed Frequency Macro and Financial Data

CESifo Working Paper Series No. 5030
Number of pages: 66 Posted: 04 Nov 2014
Bent Jesper Christensen, Olaf Posch and Michel van der Wel
Aarhus University, Universität Hamburg, Department of Economics and Erasmus University Rotterdam
Downloads 27 (487,212)
Citation 3

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structural estimation, AK-Vasicek model, Martingale estimating function

6.

Intraday Price Discovery in Fragmented Markets

Journal of Financial Markets, Forthcoming, Tinbergen Institute Discussion Paper TI 14-027/III
Number of pages: 49 Posted: 27 Feb 2014 Last Revised: 17 Dec 2016
Sait Ozturk, Michel van der Wel and Dick J. C. van Dijk
Erasmus University Rotterdam (EUR), Erasmus University Rotterdam and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 316 (93,633)
Citation 5

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High-frequency data, Market microstructure, Price Discovery, Kalman filter

7.

Dynamic Factor Models for the Volatility Surface

Advances in Econometrics, 35, 2016
Number of pages: 51 Posted: 01 Feb 2015 Last Revised: 17 Dec 2016
Michel van der Wel, Sait Ozturk and Dick J. C. van Dijk
Erasmus University Rotterdam, Erasmus University Rotterdam (EUR) and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 303 (98,398)

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Dynamic Factor Models, Implied Volatility Surface, Kalman filter, Maximum likelihood

8.

Order Flow and Volatility: An Empirical Investigation

Journal of Empirical Finance, Vol. 28, 2014, Tinbergen Institute Discussion Paper No. 2011-077/4
Number of pages: 40 Posted: 23 May 2011 Last Revised: 16 Dec 2016
Vrije Universiteit Amsterdam, University of Bristol - School of Economics, Finance and Management, Erasmus University Rotterdam and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 300 (99,066)
Citation 4

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Information, order flow, macroeconomic announcements, treasury futures

9.

Economic Valuation of Liquidity Timing

Journal of Banking and Finance, 37, p5073-5087
Number of pages: 46 Posted: 28 Feb 2013 Last Revised: 05 Aug 2014
Dennis Karstanje, Elvira Sojli, Wing Wah Tham and Michel van der Wel
Erasmus University Rotterdam, UNSW Business School, School of Banking and Finance, University of New South Wales (UNSW) and Erasmus University Rotterdam
Downloads 299 (99,412)
Citation 2

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liquidity, forecasting, expected returns, economic valuation

10.

Maximum Likelihood Estimation for Dynamic Factor Models with Missing Data

Tinbergen Discussion Paper No. 09-010/4, Journal of Economic Dynamics and Control, Vol. 35, No. 8, pp. 1358-1368, 2011
Number of pages: 20 Posted: 12 Feb 2009 Last Revised: 15 Aug 2011
Borus Jungbacker, Siem Jan Koopman and Michel van der Wel
VU University Amsterdam - Department of Economics, Vrije Universiteit Amsterdam - School of Business and Economics and Erasmus University Rotterdam
Downloads 296 (100,527)
Citation 18

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High-dimensional vector series, Kalman filtering and smoothing, Unbalanced panels of time series

11.

Forecasting Interest Rates with Shifting Endpoints

Journal of Applied Econometrics, 29, p693-712, Tinbergen Institute Discussion Paper 12-076/4
Number of pages: 78 Posted: 27 Jul 2012 Last Revised: 05 Aug 2014
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute, Vrije Universiteit Amsterdam - School of Business and Economics, Erasmus University Rotterdam and Johns Hopkins University - Department of Economics
Downloads 286 (104,335)
Citation 9

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Non-stationarity, survey forecasts, term structure of interest rates, forecasting, yield curve

12.

Combining Density Forecasts using Focused Scoring Rules

Tinbergen Institute Discussion Paper 14-090/III
Number of pages: 35 Posted: 22 Jul 2014 Last Revised: 14 Jan 2017
Anne Opschoor, Dick J. C. van Dijk and Michel van der Wel
Vrije Universiteit Amsterdam, Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute and Erasmus University Rotterdam
Downloads 263 (113,959)
Citation 3

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Density forecast evaluation, Volatility modeling, Censored likelihood, Value-at-Risk

13.

Are Market Makers Uninformed and Passive? Signing Trades in the Absence of Quotes

FRB of New York Staff Report No. 395
Number of pages: 39 Posted: 28 May 2009
Michel van der Wel, Albert J. Menkveld and Asani Sarkar
Erasmus University Rotterdam, VU Amsterdam and Federal Reserve Bank of New York
Downloads 259 (115,845)

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market makers, liquidity supply, signing trades, inventory, information, Treasury futures markets

14.

Predicting Volatility and Correlations with Financial Conditions Indexes

Journal of Empirical Finance, Vol. 29, 2014, Tinbergen Institute Discussion Paper 13-113/III
Number of pages: 26 Posted: 10 Aug 2013 Last Revised: 17 Dec 2016
Anne Opschoor, Dick J. C. van Dijk and Michel van der Wel
Vrije Universiteit Amsterdam, Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute and Erasmus University Rotterdam
Downloads 239 (125,718)
Citation 3

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Dynamic correlations, Volatility modeling, Financial Conditions Indexes, Bank holding companies

15.

Forecasting the U.S. Term Structure of Interest Rates Using a Macroeconomic Smooth Dynamic Factor Model

International Journal of Forecasting, 29, p676-694
Number of pages: 38 Posted: 12 Apr 2011 Last Revised: 05 Aug 2014
Siem Jan Koopman and Michel van der Wel
Vrije Universiteit Amsterdam - School of Business and Economics and Erasmus University Rotterdam
Downloads 203 (147,225)
Citation 7

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Fama-Bliss data set, Kalman filter, Maximum likelihood, Yield curve

Market Set-Up in Advance of Federal Reserve Policy Rate Decisions

Economic Journal, 126, 2016
Number of pages: 56 Posted: 17 Dec 2013 Last Revised: 17 Dec 2016
Dick J. C. van Dijk, Robin L. Lumsdaine and Michel van der Wel
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute, American University - Department of Finance and Real Estate and Erasmus University Rotterdam
Downloads 201 (148,384)
Citation 1

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FOMC, announcements, federal funds rate, anticipatory signals

Market Set‐Up in Advance of Federal Reserve Policy Rate Decisions

The Economic Journal, Vol. 126, Issue 592, pp. 618-653, 2016
Number of pages: 36 Posted: 26 May 2016
Dick J. C. van Dijk, Robin L. Lumsdaine and Michel van der Wel
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute, American University - Department of Finance and Real Estate and Erasmus University Rotterdam
Downloads 0
Citation 2
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17.

An Asset Pricing Approach to Testing General Term Structure Models

Number of pages: 78 Posted: 26 Mar 2010 Last Revised: 24 May 2018
Bent Jesper Christensen and Michel van der Wel
Aarhus University and Erasmus University Rotterdam
Downloads 182 (162,703)

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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

18.

Measuring Convergence Using Dynamic Equilibrium Models: Evidence from Chinese Provinces

Number of pages: 30 Posted: 31 May 2012
Lei Pan, Olaf Posch and Michel van der Wel
Wageningen UR - Development Economics Group, Universität Hamburg, Department of Economics and Erasmus University Rotterdam
Downloads 86 (287,154)

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Economic convergence, Dynamic stochastic equilibrium models, Solow model, Structural estimation

19.

What Do Professional Forecasters Actually Predict?

Tinbergen Institute Discussion Paper 15-095/III
Number of pages: 51 Posted: 08 Aug 2015 Last Revised: 22 Oct 2017
Didier Nibbering, Richard Paap and Michel van der Wel
Erasmus University Rotterdam (EUR) - Department of Econometrics, Erasmus University Rotterdam (EUR) - Department of Econometrics and Erasmus University Rotterdam
Downloads 85 (289,287)

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forecast evaluation, Survey of Professional Forecasters, expert forecast, trend-cycle decomposition, state space modeling, Baxter-King filter

20.

A Bayesian Infinite Hidden Markov Vector Autoregressive Model

Tinbergen Institute Discussion Paper 16-107/III
Number of pages: 49 Posted: 08 Dec 2016 Last Revised: 22 Oct 2017
Didier Nibbering, Richard Paap and Michel van der Wel
Erasmus University Rotterdam (EUR) - Department of Econometrics, Erasmus University Rotterdam (EUR) - Department of Econometrics and Erasmus University Rotterdam
Downloads 79 (302,237)

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Time-Varying Parameter Vector Autoregressive Model, Semi-parametric Bayesian Inference, Dirichlet Process Mixture Model, Hidden Markov Chain, Monetary Policy Analysis, Real-time Forecasting

21.

Why Do the Pit Hours Outlive the Pit?

Tinbergen Institute Discussion Paper 15-082/III
Number of pages: 49 Posted: 07 Jul 2015 Last Revised: 21 May 2016
Sait Ozturk, Michel van der Wel and Dick J. C. van Dijk
Erasmus University Rotterdam (EUR), Erasmus University Rotterdam and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 77 (306,857)
Citation 1

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Afterhours Trading, Market microstructure, Kalman filter

22.

Market Set-Up in Advance of Federal Reserve Policy Decisions

NBER Working Paper No. w19814
Number of pages: 49 Posted: 18 Jan 2014
Dick J. C. van Dijk, Robin L. Lumsdaine and Michel van der Wel
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute, American University - Department of Finance and Real Estate and Erasmus University Rotterdam
Downloads 7 (589,654)
Citation 1

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