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 59 0 0 13 47
An Asset Pricing Approach to Testing General Term Structure Models including Heath-Jarrow-Morton Specifications and Affine Subclasses 0 0 1 19 0 0 3 58
Analyzing the Term Structure of Interest Rates using the Dynamic Nelson-Siegel Model with Time-Varying Parameters 1 2 6 285 3 6 27 646
Are Market Makers Uninformed and Passive? Signing Trades in The Absence of Quotes 0 0 0 36 0 1 9 151
Are market makers uninformed and passive? Signing trades in the absence of quotes 0 0 10 43 1 4 45 216
Connecting Silos: On linking macroeconomics and finance, and the role of econometrics therein 0 0 43 43 1 3 24 24
Customer flow, intermediaries, and the discovery of the equilibrium riskfree rate 0 0 0 4 2 3 13 118
Dynamic Factor Analysis in The Presence of Missing Data 0 2 4 194 1 3 20 370
Dynamic Factor Models for the Volatility Surface 0 1 3 46 0 1 10 98
Dynamic Factor Models with Smooth Loadings for Analyzing the Term Structure of Interest Rates 0 0 1 66 0 1 8 220
Economic Valuation of Liquidity Timing 0 0 0 6 1 3 22 61
Estimating Dynamic Equilibrium Models Using Mixed Frequency Macro and Financial Data 0 0 3 20 1 1 14 88
Estimating Dynamic Equilibrium Models using Macro and Financial Data 0 0 0 81 0 0 6 99
Forecasting Interest Rates with Shifting Endpoints 0 0 1 74 0 0 6 182
Forecasting the U.S. Term Structure of Interest Rates using a Macroeconomic Smooth Dynamic Factor Model 0 0 0 89 0 3 12 161
Improving Density Forecasts and Value-at-Risk Estimates by Combining Densities 0 0 0 64 0 0 8 74
Intraday Price Discovery in Fragmented Markets 0 0 0 26 2 2 5 86
Macro News, Riskfree Rates, and the Intermediary 0 0 1 21 0 1 4 137
Macro news, risk-free rates, and the intermediary: customer orders for thirty-year Treasury futures 0 0 0 34 0 3 9 276
Market Set-Up in Advance of Federal Reserve Policy Decisions 1 2 2 38 3 4 5 96
Maximum likelihood estimation for dynamic factor models with missing data 0 0 0 5 1 1 13 62
Measuring Convergence using Dynamic Equilibrium Models: Evidence from Chinese Provinces 0 0 1 32 0 0 10 100
On the Effects of Private Information on Volatility 0 0 0 15 1 1 4 94
On the Effects of Private Information on Volatility 0 0 0 40 1 1 10 130
Predicting Covariance Matrices with Financial Conditions Indexes 0 0 1 12 2 2 6 66
Smooth Dynamic Factor Analysis with an Application to the U.S. Term Structure of Interest Rates 0 1 2 95 1 3 11 206
Structural Estimation of Dynamic Macroeconomic Models using Higher-Frequency Financial Data 0 0 3 54 1 2 9 41
What Do Professional Forecasters Actually Predict? 0 0 0 30 0 1 7 47
Why do Pit-Hours outlive the Pit? 0 0 0 6 1 1 9 44
Total Working Papers 2 8 83 1,537 23 51 342 3,998


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 1 1 10 15 2 4 36 59
Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson–Siegel Model With Time-Varying Parameters 0 0 5 39 1 4 22 137
Customer Order Flow, Intermediaries, and Discovery of the Equilibrium Risk-Free Rate 0 0 0 14 0 1 2 50
Economic valuation of liquidity timing 0 0 0 12 0 1 7 70
Estimating dynamic equilibrium models using mixed frequency macro and financial data 0 0 1 17 1 3 7 58
Forecasting the US term structure of interest rates using a macroeconomic smooth dynamic factor model 0 0 0 19 0 2 8 77
Intraday price discovery in fragmented markets 2 3 5 14 3 5 13 52
Market Set‐up in Advance of Federal Reserve Policy Rate Decisions 0 0 0 0 0 0 1 16
Maximum likelihood estimation for dynamic factor models with missing data 1 1 1 98 1 1 7 265
Order flow and volatility: An empirical investigation 0 0 1 13 1 1 3 65
Predicting volatility and correlations with Financial Conditions Indexes 0 0 0 12 1 2 7 61
What do professional forecasters actually predict? 0 0 0 5 1 3 12 40
Total Journal Articles 4 5 23 258 11 27 125 950


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 18 0 0 16 73
Total Chapters 0 0 2 18 0 0 16 73


Statistics updated 2021-01-03