Prof. M. (Michel) van der Wel

van der Zwan, T., Kole, E., & van der Wel, M. (2024). Heterogeneous macro and financial effects of ECB asset purchase programs. Journal of International Money and Finance, 143, Article 103073. https://doi.org/10.1016/j.jimonfin.2024.103073

Overes, B. H. L., & van der Wel, M. (2023). Modelling Sovereign Credit Ratings: Evaluating the Accuracy and Driving Factors using Machine Learning Techniques. Computational Economics, 61(3), 1273-1303. https://doi.org/10.1007/s10614-022-10245-7

van Dijk, M., Menkveld, A. J., Dreber, A., Holzmeister, F., Huber, J., Johannesson, M., Kirchler, M., Neususs, S., Razen, M., Wagner, W., Verwijmeren, P., Vogel, S., van der Wel, M., Mazzola, F., Yang, A., & Zhou, C. (Accepted/In press). Non-Standard Errors*. Journal of Finance. https://doi.org/10.2139/ssrn.3961574

Christensen, BJ., & van der Wel, M. (2019). An Asset Pricing Approach to Testing General Term Structure Models. Journal of Financial Economics, 134(1), 165-191. https://doi.org/10.1016/j.jfineco.2019.03.010

Nibbering, D., Paap, R., & van der Wel, M. (2018). What do professional forecasters actually predict? International Journal of Forecasting, 34(2), 288-311. https://doi.org/10.1016/j.ijforecast.2017.12.004

Opschoor, A., van Dijk, D., & van der Wel, M. (2017). Combining density forecasts using focused scoring rules. Journal of Applied Econometrics, 32(7), 1298-1313. https://doi.org/10.1002/jae.2575

Ozturk, SR., van der Wel, M., & van Dijk, D. (2017). Intraday price discovery in fragmented markets. Journal of Financial Markets, 32(1), 28-48. https://doi.org/10.1016/j.finmar.2016.10.001

Christensen, BJ., Posch, O., & van der Wel, M. (2016). Estimating Dynamic Equilibrium Models using Macro and Financial Data. Journal of Econometrics, 194(1), 116-137. https://doi.org/10.1016/j.jeconom.2016.04.005

van Dijk, D., Lumsdaine, R., & van der Wel, M. (2016). Market set-up in advance of Federal Reserve policy rate decisions. The Economic Journal, 126(592), 618-653. https://doi.org/10.1111/ecoj.12372

Jungbacker, B., Koopman, SJ., & van der Wel, M. (2014). Smooth Dynamic Factor Analysis with Application to the U.S. Term Structure of Interest Rates. Journal of Applied Econometrics, 29(1), 65-90. https://doi.org/10.1002/jae.2319

Opschoor, A., van der Wel, M., van Dijk, D., & Taylor, N. (2014). Order Flow and Volatility: An Empirical Investigation. Journal of Empirical Finance, 28, 185-201. https://doi.org/10.1016/j.jempfin.2014.07.002

van Dijk, D., Koopman, SJ., van der Wel, M., & Wright, J. (2014). Forecasting interest rates with shifting endpoints. Journal of Applied Econometrics, 29, 693-712. https://doi.org/10.1002/jae.2358

Opschoor, A., van Dijk, D., & van der Wel, M. (2014). Predicting Volatility and Correlations with Financial Conditions Indexes. Journal of Empirical Finance, 29, 435-447. https://doi.org/10.1016/j.jempfin.2014.10.003

Koopman, SJ., & van der Wel, M. (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. https://doi.org/10.1016/j.ijforecast.2012.12.004

Karstanje, D., Sojli, E., Tham, WW., & van der Wel, M. (2013). Economic Valuation of Liquidity Timing. Journal of Banking and Finance, 37(12), 5073-5087. https://doi.org/10.1016/j.jbankfin.2013.09.010

Menkveld, AJ., Sarkar, A., & van der Wel, M. (2012). Customer Order Flow, Intermediaries, and Discovery of the Equilibrium Risk-free Rate. Journal of Financial and Quantitative Analysis, 47(4), 821-849. https://doi.org/10.1017/S0022109012000245

Jungbacker, B., Koopman, SJ., & van der Wel, M. (2011). Maximum Likelihood Estimation for Dynamic Factor Models with Missing Data. Journal of Economic Dynamics and Control, 35(8), 1358-1368. https://doi.org/10.1016/j.jedc.2011.03.009

Koopman, SJ., Mallee, MIP., & van der Wel, M. (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. https://doi.org/10.1198/jbes.2009.07295