Associate Professor Erasmus School of Economics Econometrics
- Location
- Burg. Oudlaan 50, Rotterdam
- Room
- ET-38
- Telephone
- 0104081316
- 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.
- B.J. Christensen & M. 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, R. Paap & M. 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
- 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: 10.1016/j.finmar.2016.10.001 [go to publisher's site]
- 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: 10.1002/jae.2575 [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: 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: 10.1016/j.jeconom.2016.04.005
- 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: 10.1016/j.jempfin.2014.07.002
- 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: 10.1002/jae.2358
- 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: 10.1016/j.jempfin.2014.10.003 [go to publisher's site]
- 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: 10.1002/jae.2319
- 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: 10.1016/j.ijforecast.2012.12.004
- 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: 10.1016/j.jbankfin.2013.09.010
- 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: 10.1017/S0022109012000245
- 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: 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: 10.1198/jbes.2009.07295
- 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 doi: 10.1108/S0731-905320150000035004
- 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, R.L. Lumsdaine & M. van der Wel (2014). Market set-up in advance of Federal Reserve policy decisions. (Preprints, Working Paper, no 19814). Boston: National Bureau of Economic Research
- 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
- M. van der Wel, A.J. Menkveld & A. Sarkar (2009). Are Market Makers Uninformed and Passive? Signing Trades in the Absence of Quotes. (Preprints). : Tinbergen Institute Discussion Paper No. 09-046/3 doi: 10.2139/ssrn.1409931
- M. van der Wel (2020). Connecting Silos. On linking macroeconomics and finance, and the role of econometrics therein. (2020, januari 31). Rotterdam: Erasmus Research Institute of Management [go to publisher's site]
Quantitative Methods in Fixed Income
- Title
- Quantitative Methods in Fixed Income
- Year
- 2020
- Year level
- master
Major & Master Orientation(econometrics)
- Title
- Major & Master Orientation(econometrics)
- Year
- 2020
Thesis Hub Bachelor Econometrics & OR
- Title
- Thesis Hub Bachelor Econometrics & OR
- Year
- 2020
Thesis Hub BSc2 Econometrics / Economics
- Title
- Thesis Hub BSc2 Econometrics / Economics
- Year
- 2020
Econometrics 2
- Title
- Econometrics 2
- Year
- 2020
- Year level
- bachelor 2, bachelor 2, pre-master
Econometrics 2
- Title
- Econometrics 2
- Year
- 2020
- Year level
- bachelor 2, pre-master
Associate Professor
- University
- Erasmus University Rotterdam
- School
- Erasmus School of Economics
- Department
- Econometrics
- Country
- The Netherlands
- Telephone
- 0104081316
