Access Statistics for Michel van der Wel

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Bayesian Infinite Hidden Markov Vector Autoregressive Model 0 0 0 60 0 1 5 65
An Asset Pricing Approach to Testing General Term Structure Models including Heath-Jarrow-Morton Specifications and Affine Subclasses 0 0 0 19 0 0 0 60
Analyzing the Term Structure of Interest Rates using the Dynamic Nelson-Siegel Model with Time-Varying Parameters 0 0 3 307 6 9 18 751
Are Market Makers Uninformed and Passive? Signing Trades in The Absence of Quotes 0 0 0 39 0 1 2 168
Are market makers uninformed and passive? Signing trades in the absence of quotes 0 0 0 44 0 0 0 227
Connecting Silos: On linking macroeconomics and finance, and the role of econometrics therein 0 0 0 47 1 1 2 47
Customer flow, intermediaries, and the discovery of the equilibrium riskfree rate 0 0 1 6 0 0 1 134
Dynamic Factor Analysis in The Presence of Missing Data 0 0 0 214 6 8 12 438
Dynamic Factor Models for the Volatility Surface 0 0 0 49 0 1 2 112
Dynamic Factor Models with Smooth Loadings for Analyzing the Term Structure of Interest Rates 0 0 0 66 0 1 2 228
Economic Valuation of Liquidity Timing 0 0 0 7 0 0 2 119
Estimating Dynamic Equilibrium Models Using Mixed Frequency Macro and Financial Data 0 0 0 23 1 1 3 105
Estimating Dynamic Equilibrium Models using Macro and Financial Data 0 0 0 83 0 1 2 105
Forecasting Interest Rates with Shifting Endpoints 0 0 0 80 1 1 3 202
Forecasting the U.S. Term Structure of Interest Rates using a Macroeconomic Smooth Dynamic Factor Model 0 0 0 91 1 2 5 186
Improving Density Forecasts and Value-at-Risk Estimates by Combining Densities 0 0 0 65 0 0 1 89
Intraday Price Discovery in Fragmented Markets 0 0 0 29 1 2 3 112
Macro News, Riskfree Rates, and the Intermediary 0 0 0 22 0 0 0 141
Macro news, risk-free rates, and the intermediary: customer orders for thirty-year Treasury futures 0 0 0 34 0 0 1 280
Market Set-Up in Advance of Federal Reserve Policy Decisions 0 0 0 40 1 5 5 115
Maximum likelihood estimation for dynamic factor models with missing data 1 1 1 10 6 7 8 89
Measuring Convergence using Dynamic Equilibrium Models: Evidence from Chinese Provinces 0 0 0 33 0 0 0 101
Modelling Sovereign Credit Ratings: Evaluating the Accuracy and Driving Factors using Machine Learning Techniques 0 0 1 15 2 2 4 53
On the Effects of Private Information on Volatility 0 0 0 40 1 1 1 134
On the Effects of Private Information on Volatility 0 0 0 15 2 3 3 101
Predicting Covariance Matrices with Financial Conditions Indexes 0 0 0 13 0 0 0 74
Smooth Dynamic Factor Analysis with an Application to the U.S. Term Structure of Interest Rates 0 0 0 98 2 3 3 222
Structural Estimation of Dynamic Macroeconomic Models using Higher-Frequency Financial Data 0 0 0 77 0 1 3 132
What Do Professional Forecasters Actually Predict? 0 0 0 32 1 3 4 112
Why do Pit-Hours outlive the Pit? 0 0 0 9 0 0 2 61
Total Working Papers 1 1 6 1,667 32 54 97 4,763

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
An asset pricing approach to testing general term structure models 1 1 1 27 1 2 3 128
Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson–Siegel Model With Time-Varying Parameters 0 0 3 58 3 5 12 192
Customer Order Flow, Intermediaries, and Discovery of the Equilibrium Risk-Free Rate 0 0 0 14 0 0 0 58
Economic valuation of liquidity timing 0 0 0 14 1 2 4 92
Estimating dynamic equilibrium models using mixed frequency macro and financial data 0 0 0 23 2 3 6 84
Forecasting the US term structure of interest rates using a macroeconomic smooth dynamic factor model 0 0 2 22 0 2 5 104
Intraday price discovery in fragmented markets 0 0 0 22 0 0 0 73
Market Set‐up in Advance of Federal Reserve Policy Rate Decisions 0 0 0 3 0 0 1 20
Maximum likelihood estimation for dynamic factor models with missing data 1 2 4 118 5 6 15 317
Order flow and volatility: An empirical investigation 0 1 1 17 0 1 3 88
Predicting volatility and correlations with Financial Conditions Indexes 0 0 0 18 1 1 2 87
What do professional forecasters actually predict? 0 0 0 5 0 0 3 84
Total Journal Articles 2 4 11 341 13 22 54 1,327

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Dynamic Factor Models for the Volatility Surface☆ 0 0 0 23 1 2 5 105
Total Chapters 0 0 0 23 1 2 5 105

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Statistics updated 2025-11-08