Academic staff - Erasmus School of Economics
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Michel van der Wel
dr. M. van der Wel
Department of Econometrics
Erasmus School of Economics
Erasmus University Rotterdam
T: 010-4081316
Room: H11-09
Personal website: http://people.few.eur.nl/vanderwel/
Profile
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Professional experience
Assistant Professor
| University | Erasmus University Rotterdam |
| School | Erasmus School of Economics |
| Department | Econometrics |
| Country | The Netherlands |
Research
Michel van der Wel is assistant professor at the Erasmus School of Economics. In addition, he has a visiting position with CREATES, Aarhus. He wrote his dissertation at the VU University Amsterdam, and at the time he was affiliated to the Tinbergen Institute. His research focuses on market microstructure (the study of high-frequency financial data), term structure modeling, and the macro-finance interaction. For more information, see http://people.few.eur.nl/vanderwel/.
Publications
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- Jungbacker, B., Koopman, S.J. & Wel, M. van der (2013). Smooth Dynamic Factor Analysis with Application to the U.S. Term Structure of Interest Rates. Journal of Applied Econometrics, to appear.
- Koopman, S.J. & Wel, M. van der (2013). Forecasting the U.S. Term Structure of Interest Rates Using a Macroeconomic Smooth Dynamic Factor Model. International Journal of Forecasting, to appear.
- Opschoor, A., Wel, M. van der, Dijk, D.J.C. van & Taylor, N. (2012). On the Effects of Private Information on Volatility. : Tinbergen Institute Discussion Paper No. 11-077/4.
- Menkveld, A.J., Sarkar, A. & Wel, M. van der (2012). Customer Order Flow, Intermediaries, and Discovery of the Equilibrium Risk-free Rate. Journal of Financial and Quantitative Analysis, 47(4), 821-849.
- Dijk, D.J.C. van, Koopman, S.J., Wel, M. van der & Wright, J (2012). Forecasting interest rates with shifting endpoints. Rotterdam: Tinbergen Institute Discussion Paper No. 12-076/4.
- Pan, L., Posch, O. & Wel, M. van der (2012). Measuring Convergence using Dynamic Equilibrium Models: Evidence from Chinese Provinces (working paper).
- Jungbacker, B., Koopman, S.J. & Wel, M. van der (2011). Maximum Likelihood Estimation for Dynamic Factor Models with Missing Data. Journal of Economic Dynamics and Control, 35(8), 1358-1368.
- Christensen, B.J., Posch, O. & Wel, M. van der (2011). Estimating Dynamic Equilibrium Models using Macro and Financial Data (working paper).
- Koopman, S.J., Mallee, M.I.P & Wel, M. van der (2010). Analyzing the Term Structure of Interest Rates using the Dynamic Nelson-Siegel Model with Time-Varying Parameters. Journal of Business & Economic Studies, 28(3), 329-343.
- Christensen, B.J. & Wel, M. van der (2010). An Asset Pricing Approach to Testing General Term Structure Models including Heath-Jarrow-Morton Specifications and Affine Subclasses (working paper).
- Wel, M. van der, Menkveld, A.J. & Sarkar, A. (2009). Are Market Makers Uninformed and Passive? Signing Trades in the Absence of Quotes. : Tinbergen Institute Discussion Paper No. 09-046/3.
