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 1 1 3 62
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 5 305 1 1 9 736
Are Market Makers Uninformed and Passive? Signing Trades in The Absence of Quotes 0 0 0 39 1 1 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 0 3 45
Customer flow, intermediaries, and the discovery of the equilibrium riskfree rate 0 0 0 5 0 0 1 133
Dynamic Factor Analysis in The Presence of Missing Data 0 0 3 214 0 0 11 428
Dynamic Factor Models for the Volatility Surface 0 0 3 49 0 0 3 110
Dynamic Factor Models with Smooth Loadings for Analyzing the Term Structure of Interest Rates 0 0 0 66 0 0 2 226
Economic Valuation of Liquidity Timing 0 0 0 7 0 0 0 117
Estimating Dynamic Equilibrium Models Using Mixed Frequency Macro and Financial Data 0 0 0 23 1 1 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 1 80 1 2 3 201
Forecasting the U.S. Term Structure of Interest Rates using a Macroeconomic Smooth Dynamic Factor Model 0 0 0 91 1 1 3 182
Improving Density Forecasts and Value-at-Risk Estimates by Combining Densities 0 0 0 65 0 1 1 89
Intraday Price Discovery in Fragmented Markets 0 0 0 29 0 0 1 109
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 1 33 0 0 1 101
Modelling Sovereign Credit Ratings: Evaluating the Accuracy and Driving Factors using Machine Learning Techniques 0 0 2 15 1 1 4 51
On the Effects of Private Information on Volatility 0 0 0 40 0 0 0 133
On the Effects of Private Information on Volatility 0 0 0 15 0 0 0 98
Predicting Covariance Matrices with Financial Conditions Indexes 0 0 0 13 0 0 1 74
Smooth Dynamic Factor Analysis with an Application to the U.S. Term Structure of Interest Rates 0 0 1 98 0 0 2 219
Structural Estimation of Dynamic Macroeconomic Models using Higher-Frequency Financial Data 0 0 2 77 0 2 9 131
What Do Professional Forecasters Actually Predict? 0 0 0 32 1 1 4 109
Why do Pit-Hours outlive the Pit? 0 0 1 9 1 2 4 61
Total Working Papers 0 0 20 1,663 9 14 73 4,687

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 1 4 126
Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson–Siegel Model With Time-Varying Parameters 2 2 7 57 3 5 20 185
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 2 3 90
Estimating dynamic equilibrium models using mixed frequency macro and financial data 0 0 1 23 0 0 4 78
Forecasting the US term structure of interest rates using a macroeconomic smooth dynamic factor model 1 1 1 21 1 1 3 100
Intraday price discovery in fragmented markets 0 0 1 22 0 0 2 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 5 115 1 2 12 305
Order flow and volatility: An empirical investigation 0 0 0 16 0 0 5 85
Predicting volatility and correlations with Financial Conditions Indexes 0 0 0 18 0 1 3 86
What do professional forecasters actually predict? 0 0 0 5 1 1 2 82
Total Journal Articles 3 3 15 334 6 13 58 1,287

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 2 23 1 2 5 102
Total Chapters 0 0 2 23 1 2 5 102

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Statistics updated 2025-03-03