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.
More information
Work
- Daan Opschoor & Michel van der Wel (2024) - A Smooth Shadow-Rate Dynamic Nelson-Siegel Model for Yields at the Zero Lower Bound - Journal of Business and Economic Statistics - doi: 10.1080/07350015.2024.2365779 - [link]
- Albert J. Menkveld, Anna Dreber, Felix Holzmeister, Juergen Huber, Magnus Johannesson, Michael Kirchler, Sebastian Neususs, Michael Razen, Utz Weitzel, David Abad-Diaz, Meni Abudy, Tobias Adrian, Yacine Ait-Sahalia, Olivier Akmansoy, Jamie T. Alcock, Vitali Alexeev, Arash Aloosh, Livia Amato, Diego Amaya, James J. Angel, Alejandro T. Avetikian, Amadeus Bach, Edwin Baidoo, Gaetan Bakalli, Li Bao, Andrea Barbon, Oksana Bashchenko, Parampreet C. Bindra, Geir H. Bjønnes, Jeffrey R. Black, Bernhard S. Black, Dimitar Bogoev, Santiago Bohorquez Correa, Oleg Bondarenko, Charles S. Bos, Ciril Bosch-Rosa, Elie Bouri, Christian Brownlees, Anna Calamia, Viet Nga Cao, Gunther Capelle-Blancard, Laura M. Capera Romero, Francesco Mazzola, Mathijs van Dijk, Patrick Verwijmeren, Sebastian Vogel, Wolf Wagner, Michel van der Wel, Antti Yang & Chen Zhou (2024) - Nonstandard Errors - Journal of Finance, 79 (3), 2339-2390 - doi: 10.1111/jofi.13337 - [link]
- 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 - [link]
- 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]
- Michel van der Wel (2020) - Connecting Silos. On linking macroeconomics and finance, and the role of econometrics therein - [link]
- Bent Jesper 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]
- Bent Jesper Christensen, Olaf 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]
Erasmus UPT BV
- Start date approval
- March 2025
- End date approval
- March 2028
- Place
- ROTTERDAM
- Description
- Lid Raad van Commisarissen
IHS BV
- Start date approval
- March 2025
- End date approval
- March 2028
- Place
- ROTTERDAM
- Description
- Lid Raad van Commisarissen
Thesis Hub Bachelor Econometrics & OR
- Year
- 2024
- Course Code
- FEB63007H
Thesis Hub BSc2 Econometrics / Economics
- Year
- 2024
- Course Code
- FEB63008H
Quantitative Methods in Fixed Income
- Year
- 2024
- Course Code
- FEM21004
