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 0 4 7 71
An Asset Pricing Approach to Testing General Term Structure Models including Heath-Jarrow-Morton Specifications and Affine Subclasses 0 0 0 19 0 0 3 63
Analyzing the Term Structure of Interest Rates using the Dynamic Nelson-Siegel Model with Time-Varying Parameters 0 1 2 308 1 10 25 765
Are Market Makers Uninformed and Passive? Signing Trades in The Absence of Quotes 0 0 0 39 0 2 6 173
Are market makers uninformed and passive? Signing trades in the absence of quotes 0 1 1 45 2 5 9 236
Connecting Silos: On linking macroeconomics and finance, and the role of econometrics therein 0 0 0 47 0 4 11 57
Customer flow, intermediaries, and the discovery of the equilibrium riskfree rate 0 0 0 6 0 5 9 143
Dynamic Factor Analysis in The Presence of Missing Data 0 0 0 214 0 3 22 452
Dynamic Factor Models for the Volatility Surface 0 0 1 50 0 6 15 125
Dynamic Factor Models with Smooth Loadings for Analyzing the Term Structure of Interest Rates 0 0 1 67 1 4 9 236
Economic Valuation of Liquidity Timing 0 0 0 7 0 1 9 128
Estimating Dynamic Equilibrium Models Using Mixed Frequency Macro and Financial Data 0 0 0 23 1 7 18 122
Estimating Dynamic Equilibrium Models using Macro and Financial Data 0 0 0 83 1 4 15 118
Forecasting Interest Rates with Shifting Endpoints 0 0 0 80 1 3 13 214
Forecasting the U.S. Term Structure of Interest Rates using a Macroeconomic Smooth Dynamic Factor Model 0 0 1 92 1 2 20 203
Improving Density Forecasts and Value-at-Risk Estimates by Combining Densities 0 0 0 65 0 4 8 97
Intraday Price Discovery in Fragmented Markets 0 0 0 29 0 4 9 119
Macro News, Riskfree Rates, and the Intermediary 0 0 0 22 0 4 11 152
Macro news, risk-free rates, and the intermediary: customer orders for thirty-year Treasury futures 0 0 0 34 1 5 11 290
Market Set-Up in Advance of Federal Reserve Policy Decisions 0 0 0 40 0 1 10 120
Maximum likelihood estimation for dynamic factor models with missing data 0 0 1 10 0 2 14 95
Measuring Convergence using Dynamic Equilibrium Models: Evidence from Chinese Provinces 0 0 0 33 0 5 9 110
Modelling Sovereign Credit Ratings: Evaluating the Accuracy and Driving Factors using Machine Learning Techniques 0 0 0 15 1 11 19 70
On the Effects of Private Information on Volatility 0 0 0 15 0 2 11 109
On the Effects of Private Information on Volatility 0 0 0 40 0 1 9 142
Predicting Covariance Matrices with Financial Conditions Indexes 0 0 0 13 1 5 6 80
Smooth Dynamic Factor Analysis with an Application to the U.S. Term Structure of Interest Rates 0 0 0 98 0 3 10 229
Structural Estimation of Dynamic Macroeconomic Models using Higher-Frequency Financial Data 0 0 0 77 0 2 14 145
What Do Professional Forecasters Actually Predict? 0 0 0 32 1 4 7 116
Why do Pit-Hours outlive the Pit? 0 0 0 9 5 10 20 81
Total Working Papers 0 2 7 1,672 17 123 359 5,061

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 3 11 137
Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson–Siegel Model With Time-Varying Parameters 0 1 3 60 1 6 27 212
Customer Order Flow, Intermediaries, and Discovery of the Equilibrium Risk-Free Rate 0 0 0 14 0 1 9 67
Economic valuation of liquidity timing 0 0 0 14 0 7 13 103
Estimating dynamic equilibrium models using mixed frequency macro and financial data 0 0 0 23 0 4 19 97
Forecasting the US term structure of interest rates using a macroeconomic smooth dynamic factor model 0 0 1 22 0 4 15 115
Intraday price discovery in fragmented markets 0 0 0 22 3 12 14 87
Market Set‐up in Advance of Federal Reserve Policy Rate Decisions 0 0 0 3 0 1 4 23
Maximum likelihood estimation for dynamic factor models with missing data 0 1 4 120 4 8 33 339
Order flow and volatility: An empirical investigation 0 0 1 17 0 9 19 106
Predicting volatility and correlations with Financial Conditions Indexes 0 0 0 18 1 6 12 98
What do professional forecasters actually predict? 0 0 0 5 0 2 9 93
Total Journal Articles 0 2 10 345 9 63 185 1,477

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 2 10 113
Total Chapters 0 0 1 24 1 2 10 113

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Statistics updated 2026-06-04