Opschoor, D. and van der Wel, M. (2024). A Smooth Shadow-Rate Dynamic Nelson-Siegel Model for Yields at the Zero Lower Bound Journal of Business and Economic Statistics, :.
Michel van der Wel
University
Erasmus University Rotterdam
E-mail
Research field
Econometrics
Interests
Econometrics, Finance, Financial Econometrics, Market Microstructure, Time Series Econometrics
Website
Key publications
Christensen, B. and van der Wel, M. (2019). An Asset Pricing Approach to Testing General Term Structure Models Journal of Financial Economics, 134(1):165--191.
Opschoor, A., Van Dijk, D. and van der Wel, M. (2017). Combining density forecasts using focused scoring rules Journal of Applied Econometrics, 32(7):1298--1313.
Christensen, B., Posch, O. and van der Wel, M. (2016). Estimating Dynamic Equilibrium Models using Macro and Financial Data Journal of Econometrics, 194(1):116--137.
van Dijk, D., Lumsdaine, R. and van der Wel, M. (2016). Market set-up in advance of Federal Reserve policy rate decisions Economic Journal, 126(592):618--653.
Jungbacker, B., Koopman, S. and 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.
Dijk, D.van, Koopman, S., van der Wel, M. and Wright, J. (2014). Forecasting Interest Rates with Shifting Endpoints Journal of Applied Econometrics, 29(5):693--712.
Koopman, S., Mallee, M. and 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, 28:329--343.
List of publications
Opschoor, D. and van der Wel, M. (2024). A Smooth Shadow-Rate Dynamic Nelson-Siegel Model for Yields at the Zero Lower Bound Journal of Business and Economic Statistics, :.
van der Zwan, T., Kole, E. and van der Wel, M. (2024). Heterogeneous macro and financial effects of ECB asset purchase programs Journal of International Money and Finance, 143:.
Overes, BartH.L. and 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.
Christensen, B. and van der Wel, M. (2019). An Asset Pricing Approach to Testing General Term Structure Models Journal of Financial Economics, 134(1):165--191.
Nibbering, D., Paap, R. and van der Wel, M. (2018). What do professional forecasters actually predict? International Journal of Forecasting, 34(2):288--311.
Opschoor, A., Van Dijk, D. and van der Wel, M. (2017). Combining density forecasts using focused scoring rules Journal of Applied Econometrics, 32(7):1298--1313.
Ozturk, S., van der Wel, M. and van Dijk, D. (2017). Intraday price discovery in fragmented markets Journal of Financial Markets, 32(1):28--48.
Christensen, B., Posch, O. and van der Wel, M. (2016). Estimating Dynamic Equilibrium Models using Macro and Financial Data Journal of Econometrics, 194(1):116--137.
van Dijk, D., Lumsdaine, R. and van der Wel, M. (2016). Market set-up in advance of Federal Reserve policy rate decisions Economic Journal, 126(592):618--653.
Jungbacker, B., Koopman, S. and 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.
Opschoor, A., Taylor, N., van der Wel, M. and van Dijk, D. (2014). Order flow and volatility: An empirical investigation Journal of Empirical Finance, 28(September):185--201.
Opschoor, A., van Dijk, D. and van der Wel, M. (2014). Predicting volatility and correlations with Financial Conditions Indexes Journal of Empirical Finance, 29(13-113/III):435--447.
Dijk, D.van, Koopman, S., van der Wel, M. and Wright, J. (2014). Forecasting Interest Rates with Shifting Endpoints Journal of Applied Econometrics, 29(5):693--712.
Koopman, S. and 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.
Karstanje, D., Sojli, E., Tham, W. and van der Wel, M. (2013). Economic Valuation of Liquidity Timing Journal of Banking and Finance, 37(12):5073--5087.
Menkveld, A., Sarkar, A. and 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.
Jungbacker, B., Koopman, S. and 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.
Koopman, S., Mallee, M. and 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, 28:329--343.