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.
BJ Christensen & Michel 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
B Jungbacker, SJ Koopman & Michel Wel (2014) - Smooth Dynamic Factor Analysis with Application to the U.S. Term Structure of Interest Rates - Journal of Applied Econometrics, 29 (1), 65-90 - doi: 10.1002/jae.2319
A (Anne) Opschoor, Dick Dijk & Michel Wel (2015) - Predicting volatility and correlations with financial conditions indexes - Econometric Institute, Erasmus University
Dick Dijk, SJ Koopman, Michel Wel & J Wright (2014) - Forecasting Interest Rates with Shifting Endpoints - Econometric Institute, Erasmus University
A (Anne) Opschoor, N Taylor, Michel Wel & Dick Dijk (2014) - Order Flow and Volatility: An Empirical Investigation - Econometric Institute, Erasmus University
Dick Dijk, Robin Lumsdaine & Michel Wel (2014) - Market set-up in advance of Federal Reserve policy decisions - National Bureau of Economic Research
Michel Wel, AJ Menkveld & A Sarkar (2009) - Are Market Makers Uninformed and Passive? Signing Trades in the Absence of Quotes - doi: 10.2139/ssrn.1409931 - Tinbergen Institute Discussion Paper No. 09-046/3