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 7 72
An Asset Pricing Approach to Testing General Term Structure Models including Heath-Jarrow-Morton Specifications and Affine Subclasses 0 0 0 19 1 1 4 64
Analyzing the Term Structure of Interest Rates using the Dynamic Nelson-Siegel Model with Time-Varying Parameters 0 0 1 308 1 3 24 768
Are Market Makers Uninformed and Passive? Signing Trades in The Absence of Quotes 0 0 0 39 2 3 8 176
Are market makers uninformed and passive? Signing trades in the absence of quotes 0 0 1 45 0 1 10 237
Connecting Silos: On linking macroeconomics and finance, and the role of econometrics therein 0 0 0 47 0 2 13 59
Customer flow, intermediaries, and the discovery of the equilibrium riskfree rate 0 0 0 6 0 0 9 143
Dynamic Factor Analysis in The Presence of Missing Data 0 0 0 214 0 2 22 454
Dynamic Factor Models for the Volatility Surface 0 0 1 50 0 0 13 125
Dynamic Factor Models with Smooth Loadings for Analyzing the Term Structure of Interest Rates 0 0 1 67 1 1 9 237
Economic Valuation of Liquidity Timing 0 0 0 7 0 0 9 128
Estimating Dynamic Equilibrium Models Using Mixed Frequency Macro and Financial Data 0 0 0 23 1 1 19 123
Estimating Dynamic Equilibrium Models using Macro and Financial Data 0 0 0 83 0 1 14 119
Forecasting Interest Rates with Shifting Endpoints 0 0 0 80 4 5 18 219
Forecasting the U.S. Term Structure of Interest Rates using a Macroeconomic Smooth Dynamic Factor Model 0 0 1 92 3 4 22 207
Improving Density Forecasts and Value-at-Risk Estimates by Combining Densities 0 0 0 65 2 3 11 100
Intraday Price Discovery in Fragmented Markets 0 0 0 29 1 1 9 120
Macro News, Riskfree Rates, and the Intermediary 0 0 0 22 0 0 11 152
Macro news, risk-free rates, and the intermediary: customer orders for thirty-year Treasury futures 0 0 0 34 1 1 11 291
Market Set-Up in Advance of Federal Reserve Policy Decisions 0 0 0 40 0 1 8 121
Maximum likelihood estimation for dynamic factor models with missing data 0 0 1 10 0 0 12 95
Measuring Convergence using Dynamic Equilibrium Models: Evidence from Chinese Provinces 0 1 1 34 1 2 11 112
Modelling Sovereign Credit Ratings: Evaluating the Accuracy and Driving Factors using Machine Learning Techniques 0 1 1 16 3 6 25 76
On the Effects of Private Information on Volatility 0 0 0 40 1 1 10 143
On the Effects of Private Information on Volatility 0 0 0 15 1 2 12 111
Predicting Covariance Matrices with Financial Conditions Indexes 0 0 0 13 3 3 9 83
Smooth Dynamic Factor Analysis with an Application to the U.S. Term Structure of Interest Rates 0 0 0 98 2 3 12 232
Structural Estimation of Dynamic Macroeconomic Models using Higher-Frequency Financial Data 0 0 0 77 0 2 15 147
What Do Professional Forecasters Actually Predict? 0 0 0 32 0 0 6 116
Why do Pit-Hours outlive the Pit? 0 0 0 9 2 6 26 87
Total Working Papers 0 2 8 1,674 31 56 389 5,117

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 0 0 10 137
Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson–Siegel Model With Time-Varying Parameters 1 1 3 61 1 2 25 214
Customer Order Flow, Intermediaries, and Discovery of the Equilibrium Risk-Free Rate 0 0 0 14 0 0 9 67
Economic valuation of liquidity timing 0 0 0 14 0 0 12 103
Estimating dynamic equilibrium models using mixed frequency macro and financial data 0 0 0 23 0 0 16 97
Forecasting the US term structure of interest rates using a macroeconomic smooth dynamic factor model 0 0 0 22 1 1 12 116
Intraday price discovery in fragmented markets 0 0 0 22 1 1 15 88
Market Set‐up in Advance of Federal Reserve Policy Rate Decisions 0 0 0 3 0 0 3 23
Maximum likelihood estimation for dynamic factor models with missing data 0 1 4 121 0 2 29 341
Order flow and volatility: An empirical investigation 0 0 1 17 0 3 22 109
Predicting volatility and correlations with Financial Conditions Indexes 0 0 0 18 0 4 16 102
What do professional forecasters actually predict? 0 0 0 5 0 1 10 94
Total Journal Articles 1 2 9 347 3 14 179 1,491

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 2 25 2 2 11 115
Total Chapters 1 1 2 25 2 2 11 115

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Statistics updated 2026-09-10