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 1 60 0 1 5 64
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 1 1 4 307 1 2 10 741
Are Market Makers Uninformed and Passive? Signing Trades in The Absence of Quotes 0 0 0 39 0 0 4 167
Are market makers uninformed and passive? Signing trades in the absence of quotes 0 0 0 44 0 0 1 227
Connecting Silos: On linking macroeconomics and finance, and the role of econometrics therein 0 0 0 47 0 1 2 46
Customer flow, intermediaries, and the discovery of the equilibrium riskfree rate 0 1 1 6 0 1 2 134
Dynamic Factor Analysis in The Presence of Missing Data 0 0 0 214 0 1 4 430
Dynamic Factor Models for the Volatility Surface 0 0 1 49 1 1 2 111
Dynamic Factor Models with Smooth Loadings for Analyzing the Term Structure of Interest Rates 0 0 0 66 0 1 2 227
Economic Valuation of Liquidity Timing 0 0 0 7 0 1 2 119
Estimating Dynamic Equilibrium Models Using Mixed Frequency Macro and Financial Data 0 0 0 23 0 0 2 104
Estimating Dynamic Equilibrium Models using Macro and Financial Data 0 0 0 83 0 0 0 103
Forecasting Interest Rates with Shifting Endpoints 0 0 0 80 0 0 2 201
Forecasting the U.S. Term Structure of Interest Rates using a Macroeconomic Smooth Dynamic Factor Model 0 0 0 91 1 1 5 184
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 0 0 2 110
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 0 279
Market Set-Up in Advance of Federal Reserve Policy Decisions 0 0 0 40 0 0 0 110
Maximum likelihood estimation for dynamic factor models with missing data 0 0 0 9 0 0 1 81
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 0 0 2 51
On the Effects of Private Information on Volatility 0 0 0 15 0 0 0 98
On the Effects of Private Information on Volatility 0 0 0 40 0 0 0 133
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 0 0 0 219
Structural Estimation of Dynamic Macroeconomic Models using Higher-Frequency Financial Data 0 0 1 77 0 0 4 131
What Do Professional Forecasters Actually Predict? 0 0 0 32 0 0 4 109
Why do Pit-Hours outlive the Pit? 0 0 0 9 0 0 2 61
Total Working Papers 1 2 9 1,666 3 10 59 4,705

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 0 0 0 26 0 0 2 126
Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson–Siegel Model With Time-Varying Parameters 1 1 7 58 2 2 16 187
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 0 0 3 90
Estimating dynamic equilibrium models using mixed frequency macro and financial data 0 0 0 23 0 0 1 78
Forecasting the US term structure of interest rates using a macroeconomic smooth dynamic factor model 1 1 2 22 2 2 4 102
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 0 19
Maximum likelihood estimation for dynamic factor models with missing data 0 0 3 116 2 2 11 308
Order flow and volatility: An empirical investigation 0 0 0 16 0 2 4 87
Predicting volatility and correlations with Financial Conditions Indexes 0 0 0 18 0 0 1 86
What do professional forecasters actually predict? 0 0 0 5 0 1 4 84
Total Journal Articles 2 2 12 337 6 9 46 1,298

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 1 23 0 1 4 103
Total Chapters 0 0 1 23 0 1 4 103

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Statistics updated 2025-07-04