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 2 5 7 71
An Asset Pricing Approach to Testing General Term Structure Models including Heath-Jarrow-Morton Specifications and Affine Subclasses 0 0 0 19 0 1 3 63
Analyzing the Term Structure of Interest Rates using the Dynamic Nelson-Siegel Model with Time-Varying Parameters 1 1 2 308 6 9 25 764
Are Market Makers Uninformed and Passive? Signing Trades in The Absence of Quotes 0 0 0 39 1 2 6 173
Are market makers uninformed and passive? Signing trades in the absence of quotes 1 1 1 45 3 4 7 234
Connecting Silos: On linking macroeconomics and finance, and the role of econometrics therein 0 0 0 47 1 5 12 57
Customer flow, intermediaries, and the discovery of the equilibrium riskfree rate 0 0 0 6 2 5 9 143
Dynamic Factor Analysis in The Presence of Missing Data 0 0 0 214 3 6 23 452
Dynamic Factor Models for the Volatility Surface 0 1 1 50 5 8 15 125
Dynamic Factor Models with Smooth Loadings for Analyzing the Term Structure of Interest Rates 0 0 1 67 1 3 9 235
Economic Valuation of Liquidity Timing 0 0 0 7 1 2 10 128
Estimating Dynamic Equilibrium Models Using Mixed Frequency Macro and Financial Data 0 0 0 23 2 8 17 121
Estimating Dynamic Equilibrium Models using Macro and Financial Data 0 0 0 83 2 3 14 117
Forecasting Interest Rates with Shifting Endpoints 0 0 0 80 2 5 12 213
Forecasting the U.S. Term Structure of Interest Rates using a Macroeconomic Smooth Dynamic Factor Model 0 1 1 92 0 5 19 202
Improving Density Forecasts and Value-at-Risk Estimates by Combining Densities 0 0 0 65 3 4 8 97
Intraday Price Discovery in Fragmented Markets 0 0 0 29 2 4 9 119
Macro News, Riskfree Rates, and the Intermediary 0 0 0 22 2 4 11 152
Macro news, risk-free rates, and the intermediary: customer orders for thirty-year Treasury futures 0 0 0 34 4 4 10 289
Market Set-Up in Advance of Federal Reserve Policy Decisions 0 0 0 40 1 1 10 120
Maximum likelihood estimation for dynamic factor models with missing data 0 0 1 10 2 3 14 95
Measuring Convergence using Dynamic Equilibrium Models: Evidence from Chinese Provinces 0 0 0 33 4 6 9 110
Modelling Sovereign Credit Ratings: Evaluating the Accuracy and Driving Factors using Machine Learning Techniques 0 0 0 15 6 11 18 69
On the Effects of Private Information on Volatility 0 0 0 40 1 5 9 142
On the Effects of Private Information on Volatility 0 0 0 15 1 3 11 109
Predicting Covariance Matrices with Financial Conditions Indexes 0 0 0 13 4 4 5 79
Smooth Dynamic Factor Analysis with an Application to the U.S. Term Structure of Interest Rates 0 0 0 98 2 3 10 229
Structural Estimation of Dynamic Macroeconomic Models using Higher-Frequency Financial Data 0 0 0 77 1 7 14 145
What Do Professional Forecasters Actually Predict? 0 0 0 32 2 3 6 115
Why do Pit-Hours outlive the Pit? 0 0 0 9 4 7 15 76
Total Working Papers 2 4 7 1,672 70 140 347 5,044

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 1 27 2 4 11 137
Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson–Siegel Model With Time-Varying Parameters 1 1 3 60 4 8 26 211
Customer Order Flow, Intermediaries, and Discovery of the Equilibrium Risk-Free Rate 0 0 0 14 1 4 9 67
Economic valuation of liquidity timing 0 0 0 14 6 7 13 103
Estimating dynamic equilibrium models using mixed frequency macro and financial data 0 0 0 23 2 7 19 97
Forecasting the US term structure of interest rates using a macroeconomic smooth dynamic factor model 0 0 1 22 3 4 15 115
Intraday price discovery in fragmented markets 0 0 0 22 7 9 11 84
Market Set‐up in Advance of Federal Reserve Policy Rate Decisions 0 0 0 3 1 1 4 23
Maximum likelihood estimation for dynamic factor models with missing data 0 2 4 120 1 8 29 335
Order flow and volatility: An empirical investigation 0 0 1 17 5 11 20 106
Predicting volatility and correlations with Financial Conditions Indexes 0 0 0 18 2 6 11 97
What do professional forecasters actually predict? 0 0 0 5 2 2 10 93
Total Journal Articles 1 3 10 345 36 71 178 1,468

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 24 1 2 10 112
Total Chapters 0 0 1 24 1 2 10 112

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Statistics updated 2026-05-06