Biography
Michel van der Wel is Vice Dean Education at the Erasmus School of Economics and Full Professor at the Econometric Institute with the Erasmus School of Economics 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 Economic Journal, Journal of Applied Econometrics, Journal of Business and Economic Statistics, Journal of Econometrics, Journal of Financial and Quantitative Analysis, Journal of Financial Economics, and the Journal of Financial Markets. He teaches a course on fixed income modeling in the MSc program specializing in Quantitative Finance, and has taught numerous courses in the bachelor program of Econometrics.
Erasmus School of Economics
- vanderwel@ese.eur.nl
- Room
- ET-18
- Location
- Burg. Oudlaan 50, Rotterdam
More information
Work
- Terri van der Zwan, Erik Kole & Michel van der Wel (2024) - Heterogeneous macro and financial effects of ECB asset purchase programs - Journal of International Money and Finance, 143 - doi: 10.1016/j.jimonfin.2024.103073
- Bart H.L. Overes & Michel van der Wel (2023) - Modelling Sovereign Credit Ratings: Evaluating the Accuracy and Driving Factors using Machine Learning Techniques - Computational Economics, 61 (3), 1273-1303 - doi: 10.1007/s10614-022-10245-7 - [link]
- Mathijs van Dijk, Albert J. Menkveld, Anna Dreber, Felix Holzmeister, Juergen Huber, Magnus Johannesson, Michael Kirchler, Sebastian Neususs, Michael Razen, Wolf Wagner, Patrick Verwijmeren, Sebastian Vogel, Michel van der Wel, Francesco Mazzola, Antti Yang & Chen Zhou (2023) - Non-Standard Errors* - Journal of Finance - doi: 10.2139/ssrn.3961574 - [link]
- Michel van der Wel (2020) - Connecting Silos. On linking macroeconomics and finance, and the role of econometrics therein - [link]
- BJ Christensen & Michel van der Wel (2019) - An Asset Pricing Approach to Testing General Term Structure Models - Journal of Financial Economics, 134 (1), 165-191 - doi: 10.1016/j.jfineco.2019.03.010
- D Nibbering, Richard Paap & Michel van der Wel (2018) - What do professional forecasters actually predict? - International Journal of Forecasting, 34 (2), 288-311 - doi: 10.1016/j.ijforecast.2017.12.004 - [link]
- A (Anne) Opschoor, Dick van Dijk & Michel van der Wel (2017) - Combining density forecasts using focused scoring rules - Journal of Applied Econometrics, 32 (7), 1298-1313 - doi: 10.1002/jae.2575 - [link]
- SR Ozturk, Michel van der Wel & Dick van Dijk (2017) - Intraday price discovery in fragmented markets - Journal of Financial Markets, 32 (1), 28-48 - doi: 10.1016/j.finmar.2016.10.001 - [link]
- Michel van der Wel, SR Ozturk & Dick van Dijk (2016) - Dynamic factor models for the volatility surface - doi: 10.1108/S0731-905320150000035004
- BJ Christensen, O Posch & Michel van der Wel (2016) - Estimating Dynamic Equilibrium Models using Macro and Financial Data - Journal of Econometrics, 194 (1), 116-137 - doi: 10.1016/j.jeconom.2016.04.005 - [link]
Thesis Hub Bachelor Econometrics & OR
- Year
- 2023
- Course Code
- FEB63007
Thesis Hub BSc2 Econometrics / Economics
- Year
- 2023
- Course Code
- FEB63008
Quantitative Methods in Fixed Income
- Level
- master
- Year Level
- master
- Year
- 2023
- Course Code
- FEM21004
