M. (Michel) van der Wel

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

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.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).
  • B.J. Christensen & M. van der Wel (2010). An Asset Pricing Approach to Testing General Term Structure Models including Heath-Jarrow-Morton Specifications and Affine Subclasses (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
Past courses

Address

Visiting address

Office: Tinbergen Building H11-09
Burgemeester Oudlaan 50
3062 PA Rotterdam

Postal address

Postbus 1738
3000 DR Rotterdam
Netherlands

Work in progress

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

Latest publication

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