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 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.

Publications

  • Academic (16)
    • 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

    • 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

    • 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

    • 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

    • 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

    • 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 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

    • 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

    • 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

    • 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

    • 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

    • Overes, B. H. L., & van der Wel, M. (2022). Modelling Sovereign Credit Ratings: Evaluating the Accuracy and Driving Factors using Machine Learning Techniques. Computational Economics. https://doi.org/10.1007/s10614-022-10245-7

  • Academic (1)
    • van der Wel, M., Ozturk, SR., & van Dijk, D. (2016). Dynamic factor models for the volatility surface. In E. Hillebrand, & S. J. Koopman (Eds.), Dynamic Factor Models (pp. 127-174). Emerald Group Publishing Ltd.. Advances in Econometrics Vol. 35 https://doi.org/10.1108/S0731-905320150000035004

  • Popular (1)
    • van der Wel, M. (2020). Connecting Silos. On linking macroeconomics and finance, and the role of econometrics therein. Erasmus Research Institute of Management (ERIM). Inaugural Addresses Research in Management Series https://repub.eur.nl/pub/124748

  • Academic (3)
    • Opschoor, A., van Dijk, D., & van der Wel, M. (2015). Predicting volatility and correlations with financial conditions indexes. (EI reprint reeks EI-1634 ed.) Econometric Institute. EI reprint reeks Vol. EI-1634

    • Opschoor, A., Taylor, N., van der Wel, M., & van Dijk, D. (2014). Order Flow and Volatility: An Empirical Investigation. (EI reprint reeks EI-1622 ed.) Econometric Institute. EI reprint reeks Vol. EI-1622

    • van Dijk, D., Koopman, SJ., van der Wel, M., & Wright, J. (2014). Forecasting Interest Rates with Shifting Endpoints. (EI reprint reeks EI-1623 ed.) Econometric Institute. EI reprint reeks Vol. EI-1623

  • Academic (2)
    • van Dijk, D., Lumsdaine, R., & van der Wel, M. (2014). Market set-up in advance of Federal Reserve policy decisions. National Bureau of Economic Research. Working Paper Vol. 19814

    • van der Wel, M., Menkveld, AJ., & Sarkar, A. (2009). Are Market Makers Uninformed and Passive? Signing Trades in the Absence of Quotes. Tinbergen Institute Discussion Paper No. 09-046/3. https://doi.org/10.2139/ssrn.1409931


Address

Visiting address

Office: ET-38
Burgemeester Oudlaan 50
3062 PA Rotterdam

Postal address

Postbus 1738
3000 DR Rotterdam
Netherlands