Dr. M. (Michel) van der Wel

Erasmus School of Economics (ESE)
Erasmus University Rotterdam
Member ERIM
Field: Finance & Accounting
Affiliated since 2009

Michel van der Wel is 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 in the Bachelor program of Econometrics and Management Science and the MSc program specializing in Quantitative Finance, and is Academic Director for the Master Specialisation Econometrics. The course topics include (Applied) Econometrics and Fixed Income Modeling.

  • D.J.C. van Dijk, R.L. Lumsdaine & M. van der Wel (2014). Market set-up in advance of Federal Reserve policy decisions. (working paper, no 19814). : NBER
  • 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
  • L. Pan, O. Posch & M. van der Wel (2012). Measuring Convergence using Dynamic Equilibrium Models: Evidence from Chinese Provinces (working paper).
  • 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
  • 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
Past
  • Seminar Asset Pricing 1 (2018/2019, 2017/2018)
  • Seminar Asset Pricing 2 (2018/2019, 2017/2018)
  • Financial Derivatives (2017/2018)

Address

Visiting address

Office: ET-38
Burgemeester Oudlaan 50
3062 PA Rotterdam

Postal address

Postbus 1738
3000 DR Rotterdam
Netherlands