Michel van der Wel is Associate Professor at the Econometric Institute with the Erasmus School of Economics of the Erasmus University Rotterdam. His main research areas are financial econometrics…
Michel van der Wel is Associate 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 Journal of Business and Economic Statistics, Journal of Applied Econometrics, Journal of Economic Dynamics and Control and the Journal of Financial and Quantitative Analysis. During 2012-2014, he worked on a prestigious Netherlands Organization for Scientific Research Veni grant. He teaches in the Bachelor program of Econometrics and Management Science, the MSc program specializing in Quantitative Finance, and the MPhil program of the Erasmus Research Institute of Management. The course topics include (Applied) Econometrics and Financial Derivatives.
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 (2015). Predicting volatility and correlations with financial conditions indexes. (Intern rapport, EI reprint reeks, no EI-1634). 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
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