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Michel van der Wel
Key publications
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List of publications
Opschoor, D. and van der Wel, M. (2024). A Smooth Shadow-Rate Dynamic Nelson-Siegel Model for Yields at the Zero Lower Bound Journal of Business and Economic Statistics, :.
van der Zwan, T., Kole, E. and van der Wel, M. (2024). Heterogeneous macro and financial effects of ECB asset purchase programs Journal of International Money and Finance, 143:.
Overes, BartH.L. and van der Wel, M. (2023). Modelling Sovereign Credit Ratings: Evaluating the Accuracy and Driving Factors using Machine Learning Techniques Computational Economics, 61(3):1273--1303.
Christensen, B. and van der Wel, M. (2019). An Asset Pricing Approach to Testing General Term Structure Models Journal of Financial Economics, 134(1):165--191.
Nibbering, D., Paap, R. and van der Wel, M. (2018). What do professional forecasters actually predict? International Journal of Forecasting, 34(2):288--311.
Opschoor, A., Van Dijk, D. and van der Wel, M. (2017). Combining density forecasts using focused scoring rules Journal of Applied Econometrics, 32(7):1298--1313.
Ozturk, S., van der Wel, M. and van Dijk, D. (2017). Intraday price discovery in fragmented markets Journal of Financial Markets, 32(1):28--48.
Christensen, B., Posch, O. and van der Wel, M. (2016). Estimating Dynamic Equilibrium Models using Macro and Financial Data Journal of Econometrics, 194(1):116--137.
van Dijk, D., Lumsdaine, R. and van der Wel, M. (2016). Market set-up in advance of Federal Reserve policy rate decisions Economic Journal, 126(592):618--653.
Jungbacker, B., Koopman, S. and van der Wel, M. (2014). Smooth Dynamic Factor Analysis with Application to the U.S. Term Structure of Interest Rates Journal of Applied Econometrics, 29(1):65--90.
Opschoor, A., Taylor, N., van der Wel, M. and van Dijk, D. (2014). Order flow and volatility: An empirical investigation Journal of Empirical Finance, 28(September):185--201.
Opschoor, A., van Dijk, D. and van der Wel, M. (2014). Predicting volatility and correlations with Financial Conditions Indexes Journal of Empirical Finance, 29(13-113/III):435--447.
Dijk, D.van, Koopman, S., van der Wel, M. and Wright, J. (2014). Forecasting Interest Rates with Shifting Endpoints Journal of Applied Econometrics, 29(5):693--712.
Koopman, S. and van der Wel, M. (2013). Forecasting the U.S. Term Structure of Interest Rates using a Macroeconomic Smooth Dynamic Factor Model International Journal of Forecasting, 29(4):676--694.
Karstanje, D., Sojli, E., Tham, W. and van der Wel, M. (2013). Economic Valuation of Liquidity Timing Journal of Banking and Finance, 37(12):5073--5087.
Menkveld, A., Sarkar, A. and van der Wel, M. (2012). Customer Order Flow, Intermediaries, and Discovery of the Equilibrium Risk-Free Rate Journal of Financial and Quantitative Analysis, 47(4):821--849.
Jungbacker, B., Koopman, S. and van der Wel, M. (2011). Maximum likelihood estimation for dynamic factor models with missing data Journal of Economic Dynamics and Control, 35(8):1358--1368.
Koopman, S., Mallee, M. and van der Wel, M. (2010). Analyzing the term structure of interest rates using the dynamic Nelson-Siegel model with time-varying parameters Journal of Business and Economic Statistics, 28:329--343.