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 1 1 5 67
An Asset Pricing Approach to Testing General Term Structure Models including Heath-Jarrow-Morton Specifications and Affine Subclasses 0 0 0 19 1 3 3 63
Analyzing the Term Structure of Interest Rates using the Dynamic Nelson-Siegel Model with Time-Varying Parameters 0 0 2 307 0 3 19 755
Are Market Makers Uninformed and Passive? Signing Trades in The Absence of Quotes 0 0 0 39 0 3 4 171
Are market makers uninformed and passive? Signing trades in the absence of quotes 0 0 0 44 1 4 4 231
Connecting Silos: On linking macroeconomics and finance, and the role of econometrics therein 0 0 0 47 1 6 8 53
Customer flow, intermediaries, and the discovery of the equilibrium riskfree rate 0 0 1 6 0 4 5 138
Dynamic Factor Analysis in The Presence of Missing Data 0 0 0 214 3 10 21 449
Dynamic Factor Models for the Volatility Surface 1 1 1 50 2 7 9 119
Dynamic Factor Models with Smooth Loadings for Analyzing the Term Structure of Interest Rates 0 1 1 67 0 3 6 232
Economic Valuation of Liquidity Timing 0 0 0 7 1 7 10 127
Estimating Dynamic Equilibrium Models Using Mixed Frequency Macro and Financial Data 0 0 0 23 2 7 11 115
Estimating Dynamic Equilibrium Models using Macro and Financial Data 0 0 0 83 0 7 11 114
Forecasting Interest Rates with Shifting Endpoints 0 0 0 80 3 9 10 211
Forecasting the U.S. Term Structure of Interest Rates using a Macroeconomic Smooth Dynamic Factor Model 1 1 1 92 4 14 19 201
Improving Density Forecasts and Value-at-Risk Estimates by Combining Densities 0 0 0 65 0 3 4 93
Intraday Price Discovery in Fragmented Markets 0 0 0 29 0 2 6 115
Macro News, Riskfree Rates, and the Intermediary 0 0 0 22 0 6 7 148
Macro news, risk-free rates, and the intermediary: customer orders for thirty-year Treasury futures 0 0 0 34 0 5 6 285
Market Set-Up in Advance of Federal Reserve Policy Decisions 0 0 0 40 0 4 9 119
Maximum likelihood estimation for dynamic factor models with missing data 0 0 1 10 1 3 12 93
Measuring Convergence using Dynamic Equilibrium Models: Evidence from Chinese Provinces 0 0 0 33 1 4 4 105
Modelling Sovereign Credit Ratings: Evaluating the Accuracy and Driving Factors using Machine Learning Techniques 0 0 0 15 1 5 8 59
On the Effects of Private Information on Volatility 0 0 0 15 1 5 9 107
On the Effects of Private Information on Volatility 0 0 0 40 4 7 8 141
Predicting Covariance Matrices with Financial Conditions Indexes 0 0 0 13 0 1 1 75
Smooth Dynamic Factor Analysis with an Application to the U.S. Term Structure of Interest Rates 0 0 0 98 0 3 7 226
Structural Estimation of Dynamic Macroeconomic Models using Higher-Frequency Financial Data 0 0 0 77 5 11 12 143
What Do Professional Forecasters Actually Predict? 0 0 0 32 0 0 3 112
Why do Pit-Hours outlive the Pit? 0 0 0 9 2 9 10 71
Total Working Papers 2 3 7 1,670 34 156 251 4,938

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 1 4 8 134
Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson–Siegel Model With Time-Varying Parameters 0 1 2 59 3 12 21 206
Customer Order Flow, Intermediaries, and Discovery of the Equilibrium Risk-Free Rate 0 0 0 14 3 8 8 66
Economic valuation of liquidity timing 0 0 0 14 0 2 6 96
Estimating dynamic equilibrium models using mixed frequency macro and financial data 0 0 0 23 3 7 15 93
Forecasting the US term structure of interest rates using a macroeconomic smooth dynamic factor model 0 0 1 22 0 7 11 111
Intraday price discovery in fragmented markets 0 0 0 22 0 2 2 75
Market Set‐up in Advance of Federal Reserve Policy Rate Decisions 0 0 0 3 0 2 3 22
Maximum likelihood estimation for dynamic factor models with missing data 1 1 4 119 4 11 26 331
Order flow and volatility: An empirical investigation 0 0 1 17 2 8 12 97
Predicting volatility and correlations with Financial Conditions Indexes 0 0 0 18 1 3 6 92
What do professional forecasters actually predict? 0 0 0 5 0 7 9 91
Total Journal Articles 1 2 9 343 17 73 127 1,414

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 4 9 111
Total Chapters 0 0 1 24 1 4 9 111

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Statistics updated 2026-03-04