Full professor Erasmus School of Economics Econometrics
- Location
- Burg. Oudlaan 50, Rotterdam
- Room
- ET-38
- vanderwel@ese.eur.nl
More information
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Profile
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
- D Nibbering, Richard Paap & Michel Wel (2018) - What do professional forecasters actually predict? - International Journal of Forecasting, 34 (2), 288-311 - doi: 10.1016/j.ijforecast.2017.12.004
- SR Ozturk, Michel Wel & Dick 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]
- A (Anne) Opschoor, Dick Dijk & Michel Wel (2017) - Combining density forecasts using focused scoring rules - Journal of Applied Econometrics, 32 (7), 1298-1313 - doi: 10.1002/jae.2575 - [link]
- BJ Christensen, O Posch & Michel 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
- Dick Dijk, Robin Lumsdaine & Michel Wel (2016) - Market set-up in advance of Federal Reserve policy rate decisions - The Economic Journal, 126 (592), 618-653 - doi: 10.1111/ecoj.12372
- 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, Michel Wel, Dick Dijk & N Taylor (2014) - Order Flow and Volatility: An Empirical Investigation - Journal of Empirical Finance, 28, 185-201 - doi: 10.1016/j.jempfin.2014.07.002
- Dick Dijk, SJ Koopman, Michel Wel & J Wright (2014) - Forecasting interest rates with shifting endpoints - Journal of Applied Econometrics, 29, 693-712 - doi: 10.1002/jae.2358
- A (Anne) Opschoor, Dick Dijk & Michel Wel (2014) - Predicting Volatility and Correlations with Financial Conditions Indexes - Journal of Empirical Finance, 29, 435-447 - doi: 10.1016/j.jempfin.2014.10.003 - [link]
- SJ Koopman & Michel Wel (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 - doi: 10.1016/j.ijforecast.2012.12.004
- D Karstanje, Elvira Sojli, WW Tham & Michel Wel (2013) - Economic Valuation of Liquidity Timing - Journal of Banking and Finance, 37 (12), 5073-5087 - doi: 10.1016/j.jbankfin.2013.09.010
- AJ Menkveld, A Sarkar & Michel Wel (2012) - Customer Order Flow, Intermediaries, and Discovery of the Equilibrium Risk-free Rate - Journal of Financial and Quantitative Analysis, 47 (4), 821-849 - doi: 10.1017/S0022109012000245
- B Jungbacker, SJ Koopman & Michel Wel (2011) - Maximum Likelihood Estimation for Dynamic Factor Models with Missing Data - Journal of Economic Dynamics and Control, 35 (8), 1358-1368 - doi: 10.1016/j.jedc.2011.03.009
- SJ Koopman, MIP Mallee & Michel Wel (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 (3), 329-343 - doi: 10.1198/jbes.2009.07295
- Michel Wel, SR Ozturk & Dick Dijk (2016) - Dynamic factor models for the volatility surface - doi: 10.1108/S0731-905320150000035004 - Emerald Group Publishing Ltd.
- Michel Wel (2020) - Connecting Silos. On linking macroeconomics and finance, and the role of econometrics therein - [link] - Erasmus Research Institute of Management (ERIM)
- 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
- 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
- D Nibbering, Richard Paap & Michel Wel (2018) - What do professional forecasters actually predict? - International Journal of Forecasting, 34 (2), 288-311 - doi: 10.1016/j.ijforecast.2017.12.004
- SR Ozturk, Michel Wel & Dick 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]
- A (Anne) Opschoor, Dick Dijk & Michel Wel (2017) - Combining density forecasts using focused scoring rules - Journal of Applied Econometrics, 32 (7), 1298-1313 - doi: 10.1002/jae.2575 - [link]
- BJ Christensen, O Posch & Michel 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
- Dick Dijk, Robin Lumsdaine & Michel Wel (2016) - Market set-up in advance of Federal Reserve policy rate decisions - The Economic Journal, 126 (592), 618-653 - doi: 10.1111/ecoj.12372
- 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, Michel Wel, Dick Dijk & N Taylor (2014) - Order Flow and Volatility: An Empirical Investigation - Journal of Empirical Finance, 28, 185-201 - doi: 10.1016/j.jempfin.2014.07.002
- Dick Dijk, SJ Koopman, Michel Wel & J Wright (2014) - Forecasting interest rates with shifting endpoints - Journal of Applied Econometrics, 29, 693-712 - doi: 10.1002/jae.2358
- A (Anne) Opschoor, Dick Dijk & Michel Wel (2014) - Predicting Volatility and Correlations with Financial Conditions Indexes - Journal of Empirical Finance, 29, 435-447 - doi: 10.1016/j.jempfin.2014.10.003 - [link]
- SJ Koopman & Michel Wel (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 - doi: 10.1016/j.ijforecast.2012.12.004
- D Karstanje, Elvira Sojli, WW Tham & Michel Wel (2013) - Economic Valuation of Liquidity Timing - Journal of Banking and Finance, 37 (12), 5073-5087 - doi: 10.1016/j.jbankfin.2013.09.010
- AJ Menkveld, A Sarkar & Michel Wel (2012) - Customer Order Flow, Intermediaries, and Discovery of the Equilibrium Risk-free Rate - Journal of Financial and Quantitative Analysis, 47 (4), 821-849 - doi: 10.1017/S0022109012000245
- B Jungbacker, SJ Koopman & Michel Wel (2011) - Maximum Likelihood Estimation for Dynamic Factor Models with Missing Data - Journal of Economic Dynamics and Control, 35 (8), 1358-1368 - doi: 10.1016/j.jedc.2011.03.009
- SJ Koopman, MIP Mallee & Michel Wel (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 (3), 329-343 - doi: 10.1198/jbes.2009.07295
- 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
- D Nibbering, Richard Paap & Michel Wel (2018) - What do professional forecasters actually predict? - International Journal of Forecasting, 34 (2), 288-311 - doi: 10.1016/j.ijforecast.2017.12.004
- SR Ozturk, Michel Wel & Dick 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]
- A (Anne) Opschoor, Dick Dijk & Michel Wel (2017) - Combining density forecasts using focused scoring rules - Journal of Applied Econometrics, 32 (7), 1298-1313 - doi: 10.1002/jae.2575 - [link]
- BJ Christensen, O Posch & Michel 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
- Dick Dijk, Robin Lumsdaine & Michel Wel (2016) - Market set-up in advance of Federal Reserve policy rate decisions - The Economic Journal, 126 (592), 618-653 - doi: 10.1111/ecoj.12372
- 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, Michel Wel, Dick Dijk & N Taylor (2014) - Order Flow and Volatility: An Empirical Investigation - Journal of Empirical Finance, 28, 185-201 - doi: 10.1016/j.jempfin.2014.07.002
- Dick Dijk, SJ Koopman, Michel Wel & J Wright (2014) - Forecasting interest rates with shifting endpoints - Journal of Applied Econometrics, 29, 693-712 - doi: 10.1002/jae.2358
- A (Anne) Opschoor, Dick Dijk & Michel Wel (2014) - Predicting Volatility and Correlations with Financial Conditions Indexes - Journal of Empirical Finance, 29, 435-447 - doi: 10.1016/j.jempfin.2014.10.003 - [link]
- SJ Koopman & Michel Wel (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 - doi: 10.1016/j.ijforecast.2012.12.004
- D Karstanje, Elvira Sojli, WW Tham & Michel Wel (2013) - Economic Valuation of Liquidity Timing - Journal of Banking and Finance, 37 (12), 5073-5087 - doi: 10.1016/j.jbankfin.2013.09.010
- AJ Menkveld, A Sarkar & Michel Wel (2012) - Customer Order Flow, Intermediaries, and Discovery of the Equilibrium Risk-free Rate - Journal of Financial and Quantitative Analysis, 47 (4), 821-849 - doi: 10.1017/S0022109012000245
- B Jungbacker, SJ Koopman & Michel Wel (2011) - Maximum Likelihood Estimation for Dynamic Factor Models with Missing Data - Journal of Economic Dynamics and Control, 35 (8), 1358-1368 - doi: 10.1016/j.jedc.2011.03.009
- SJ Koopman, MIP Mallee & Michel Wel (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 (3), 329-343 - doi: 10.1198/jbes.2009.07295
- Michel Wel, SR Ozturk & Dick Dijk (2016) - Dynamic factor models for the volatility surface - doi: 10.1108/S0731-905320150000035004 - Emerald Group Publishing Ltd.
- Michel Wel, SR Ozturk & Dick Dijk (2016) - Dynamic factor models for the volatility surface - doi: 10.1108/S0731-905320150000035004 - Emerald Group Publishing Ltd.
- Michel Wel (2020) - Connecting Silos. On linking macroeconomics and finance, and the role of econometrics therein - [link] - Erasmus Research Institute of Management (ERIM)
- Michel Wel (2020) - Connecting Silos. On linking macroeconomics and finance, and the role of econometrics therein - [link] - Erasmus Research Institute of Management (ERIM)
- 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
- 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
- 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
Thesis Hub Bachelor Econometrics & OR
- Year
- 2021
- Course Code
- FEB63007
Thesis Hub BSc2 Econometrics / Economics
- Year
- 2021
- Course Code
- FEB63008
Quantitative Methods in Fixed Income
- Level
- master
- Year
- 2021
- Year Level
- master
- Course Code
- FEM21004
Econometrics 2
- Year
- 2021
- Year Level
- bachelor 2, bachelor 2, pre-master
- Course Code
- FEB22005X
Major & Master Orientation(econometrics)
- Year
- 2021
- Course Code
- FEB62010
Thesis Hub Bachelor Econometrics & OR
- Year
- 2021
- Course Code
- FEB63007
Thesis Hub BSc2 Econometrics / Economics
- Year
- 2021
- Course Code
- FEB63008
Quantitative Methods in Fixed Income
- Level
- master
- Year
- 2021
- Year Level
- master
- Course Code
- FEM21004
Econometrics 2
- Year
- 2021
- Year Level
- bachelor 2, bachelor 2, pre-master
- Course Code
- FEB22005X
Major & Master Orientation(econometrics)
- Year
- 2021
- Course Code
- FEB62010
