dr. (Michel) M. van der Wel

All publications (19)

• Article (15)

  • D. Nibbering, R. Paap & M. van der Wel (2018). What do professional forecasters actually predict? International Journal of Forecasting, 34, 288-311. doi: https://doi.org/10.1016/j.ijforecast.2017.12.004
  • A. Opschoor, D.J.C. van Dijk & M. van der Wel (2017). Combining Density Forecasts using Focused Scoring Rules. Journal of Applied Econometrics, 32 (7), 1298-1313. doi: http://dx.doi.org/10.1002/jae.2575[go to publisher's site]
  • S.R. Ozturk, M. van der Wel & D.J.C. van Dijk (2017). Intraday price discovery in fragmented markets. Journal of Financial Markets, 32 (1), 28-48. doi: http://dx.doi.org/10.1016/j.finmar.2016.10.001[go to publisher's site]
  • D.J.C. van Dijk, R.L. Lumsdaine & M. van der Wel (2016). Market set-up in advance of Federal Reserve policy rate decisions. The Economic Journal, 126 (592), 618-653. doi: http://dx.doi.org/10.1111/ecoj.12372[go to publisher's site]
  • R.L. Lumsdaine, D.J.C. van Dijk & M. van der Wel (2016). Market Set-Up in Advance of Federal Reserve Policy Decisions. The Economic Journal, 126 (592), 618-653. doi: 10.1111/ecoj.12372
  • B.J. Christensen, O. Posch & M. van der Wel (2016). Estimating Dynamic Equilibrium Models using Macro and Financial Data. Journal of Econometrics, 194 (1), 116-137. doi: http://dx.doi.org/10.1016/j.jeconom.2016.04.005[go to publisher's site]
  • D.J.C. van Dijk, S.J. Koopman, M. van der Wel & J. Wright (2014). Forecasting interest rates with shifting endpoints. Journal of Applied Econometrics, 29, 693-712. doi: http://dx.doi.org/10.1002/jae.2358
  • B. Jungbacker, S.J. Koopman & M. van der 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: http://dx.doi.org/10.1002/jae.2319
  • A. Opschoor, D.J.C. van Dijk & M. van der Wel (2014). Predicting Volatility and Correlations with Financial Conditions Indexes. Journal of Empirical Finance, 29, 435-447. doi: http://dx.doi.org/http://dx.doi.org/10.1016/j.jempfin.2014.10.003[go to publisher's site]
  • A. Opschoor, M. van der Wel, D.J.C. van Dijk & N. Taylor (2014). Order Flow and Volatility: An Empirical Investigation. Journal of Empirical Finance, 28, 185-201. doi: http://dx.doi.org/10.1016/j.jempfin.2014.07.002[go to publisher's site]
  • S.J. Koopman & M. van der 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: http://dx.doi.org/10.1016/j.ijforecast.2012.12.004[go to publisher's site]
  • D. Karstanje, E. Sojli, W.W. Tham & M. van der Wel (2013). Economic Valuation of Liquidity Timing. Journal of Banking and Finance, 37 (12), 5073-5087. doi: http://dx.doi.org/10.1016/j.jbankfin.2013.09.010[go to publisher's site]
  • A.J. Menkveld, A. Sarkar & M. van der 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: http://dx.doi.org/10.1017/S0022109012000245[go to publisher's site]
  • B. Jungbacker, S.J. Koopman & M. van der Wel (2011). Maximum Likelihood Estimation for Dynamic Factor Models with Missing Data. Journal of Economic Dynamics and Control, 35 (8), 1358-1368. doi: http://dx.doi.org/10.1016/j.jedc.2011.03.009
  • S.J. Koopman, M.I.P. Mallee & M. van der 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: http://dx.doi.org/10.1198/jbes.2009.07295[go to publisher's site]

• Part of book - Chapter (1)

  • M. van der Wel, S.R. Ozturk & D.J.C. van Dijk (2016). Dynamic factor models for the volatility surface. In E. Hillebrand & S.J. Koopman (Eds.), Dynamic Factor Models (Advances in Econometrics, 35) (pp. 127-174). Emerald Group Publishing Ltd

• Report (3)

  • A. Opschoor, D.J.C. van Dijk & M. van der Wel (2015). Predicting volatility and correlations with financial conditions indexes. (Intern rapport, EI reprint reeks, no EI-1634). Rotterdam: Econometric Institute
  • A. Opschoor, N. Taylor, M. van der Wel & D.J.C. van Dijk (2014). Order Flow and Volatility: An Empirical Investigation. (Intern rapport, EI reprint reeks, no EI-1622). Rotterdam: Econometric Institute
  • D.J.C. van Dijk, S.J. Koopman, M. van der Wel & J. Wright (2014). Forecasting Interest Rates with Shifting Endpoints. (Intern rapport, EI reprint reeks, no EI-1623). Rotterdam: Econometric Institute

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