prof.dr. (Michel) M van der Wel

prof.dr. (Michel) M van der Wel
Full professor Erasmus School of Economics Econometrics
Location
Burg. Oudlaan 50, Rotterdam
Room
ET-38
Email
vanderwel@ese.eur.nl
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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.

  • Michel Wel, SR Ozturk & Dick Dijk (2016) - Dynamic factor models for the volatility surface - doi: 10.1108/S0731-905320150000035004 - Emerald Group Publishing Ltd.

  • 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

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

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    The Gains from Dimensionality

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