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 66
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 2 307 1 8 17 752
Are Market Makers Uninformed and Passive? Signing Trades in The Absence of Quotes 0 0 0 39 0 0 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 0 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 1 7 11 439
Dynamic Factor Models for the Volatility Surface 0 0 0 49 0 0 2 112
Dynamic Factor Models with Smooth Loadings for Analyzing the Term Structure of Interest Rates 0 0 0 66 1 1 3 229
Economic Valuation of Liquidity Timing 0 0 0 7 1 1 3 120
Estimating Dynamic Equilibrium Models Using Mixed Frequency Macro and Financial Data 0 0 0 23 3 4 5 108
Estimating Dynamic Equilibrium Models using Macro and Financial Data 0 0 0 83 2 2 4 107
Forecasting Interest Rates with Shifting Endpoints 0 0 0 80 0 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 6 187
Improving Density Forecasts and Value-at-Risk Estimates by Combining Densities 0 0 0 65 1 1 2 90
Intraday Price Discovery in Fragmented Markets 0 0 0 29 1 2 4 113
Macro News, Riskfree Rates, and the Intermediary 0 0 0 22 1 1 1 142
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 0 2 5 115
Maximum likelihood estimation for dynamic factor models with missing data 0 1 1 10 1 7 9 90
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 0 15 1 3 4 54
On the Effects of Private Information on Volatility 0 0 0 40 0 1 1 134
On the Effects of Private Information on Volatility 0 0 0 15 1 3 4 102
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 1 3 4 223
Structural Estimation of Dynamic Macroeconomic Models using Higher-Frequency Financial Data 0 0 0 77 0 0 3 132
What Do Professional Forecasters Actually Predict? 0 0 0 32 0 2 4 112
Why do Pit-Hours outlive the Pit? 0 0 0 9 1 1 3 62
Total Working Papers 0 1 4 1,667 19 54 109 4,782

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 1 1 27 2 3 5 130
Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson–Siegel Model With Time-Varying Parameters 0 0 3 58 2 5 14 194
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 2 3 6 94
Estimating dynamic equilibrium models using mixed frequency macro and financial data 0 0 0 23 2 5 8 86
Forecasting the US term structure of interest rates using a macroeconomic smooth dynamic factor model 0 0 2 22 0 0 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 0 1 3 118 3 8 17 320
Order flow and volatility: An empirical investigation 0 1 1 17 1 2 4 89
Predicting volatility and correlations with Financial Conditions Indexes 0 0 0 18 2 3 4 89
What do professional forecasters actually predict? 0 0 0 5 0 0 3 84
Total Journal Articles 0 3 10 341 14 29 67 1,341

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☆ 1 1 1 24 2 3 7 107
Total Chapters 1 1 1 24 2 3 7 107

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Statistics updated 2025-12-06