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 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 1 2 2 62
Analyzing the Term Structure of Interest Rates using the Dynamic Nelson-Siegel Model with Time-Varying Parameters 0 0 2 307 2 4 20 755
Are Market Makers Uninformed and Passive? Signing Trades in The Absence of Quotes 0 0 0 39 3 3 5 171
Are market makers uninformed and passive? Signing trades in the absence of quotes 0 0 0 44 2 3 3 230
Connecting Silos: On linking macroeconomics and finance, and the role of econometrics therein 0 0 0 47 5 5 7 52
Customer flow, intermediaries, and the discovery of the equilibrium riskfree rate 0 0 1 6 3 4 5 138
Dynamic Factor Analysis in The Presence of Missing Data 0 0 0 214 4 8 18 446
Dynamic Factor Models for the Volatility Surface 0 0 0 49 4 5 7 117
Dynamic Factor Models with Smooth Loadings for Analyzing the Term Structure of Interest Rates 1 1 1 67 2 4 6 232
Economic Valuation of Liquidity Timing 0 0 0 7 5 7 9 126
Estimating Dynamic Equilibrium Models Using Mixed Frequency Macro and Financial Data 0 0 0 23 1 8 10 113
Estimating Dynamic Equilibrium Models using Macro and Financial Data 0 0 0 83 5 9 11 114
Forecasting Interest Rates with Shifting Endpoints 0 0 0 80 4 6 8 208
Forecasting the U.S. Term Structure of Interest Rates using a Macroeconomic Smooth Dynamic Factor Model 0 0 0 91 8 11 16 197
Improving Density Forecasts and Value-at-Risk Estimates by Combining Densities 0 0 0 65 2 4 4 93
Intraday Price Discovery in Fragmented Markets 0 0 0 29 1 3 6 115
Macro News, Riskfree Rates, and the Intermediary 0 0 0 22 2 7 7 148
Macro news, risk-free rates, and the intermediary: customer orders for thirty-year Treasury futures 0 0 0 34 3 5 6 285
Market Set-Up in Advance of Federal Reserve Policy Decisions 0 0 0 40 3 4 9 119
Maximum likelihood estimation for dynamic factor models with missing data 0 0 1 10 1 3 11 92
Measuring Convergence using Dynamic Equilibrium Models: Evidence from Chinese Provinces 0 0 0 33 2 3 3 104
Modelling Sovereign Credit Ratings: Evaluating the Accuracy and Driving Factors using Machine Learning Techniques 0 0 0 15 4 5 8 58
On the Effects of Private Information on Volatility 0 0 0 40 2 3 4 137
On the Effects of Private Information on Volatility 0 0 0 15 3 5 8 106
Predicting Covariance Matrices with Financial Conditions Indexes 0 0 0 13 1 1 1 75
Smooth Dynamic Factor Analysis with an Application to the U.S. Term Structure of Interest Rates 0 0 0 98 1 4 7 226
Structural Estimation of Dynamic Macroeconomic Models using Higher-Frequency Financial Data 0 0 0 77 4 6 7 138
What Do Professional Forecasters Actually Predict? 0 0 0 32 0 0 4 112
Why do Pit-Hours outlive the Pit? 0 0 0 9 6 8 9 69
Total Working Papers 1 1 5 1,668 84 141 226 4,904

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 3 5 7 133
Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson–Siegel Model With Time-Varying Parameters 0 1 4 59 4 11 21 203
Customer Order Flow, Intermediaries, and Discovery of the Equilibrium Risk-Free Rate 0 0 0 14 2 5 5 63
Economic valuation of liquidity timing 0 0 0 14 2 4 6 96
Estimating dynamic equilibrium models using mixed frequency macro and financial data 0 0 0 23 4 6 12 90
Forecasting the US term structure of interest rates using a macroeconomic smooth dynamic factor model 0 0 2 22 5 7 12 111
Intraday price discovery in fragmented markets 0 0 0 22 2 2 2 75
Market Set‐up in Advance of Federal Reserve Policy Rate Decisions 0 0 0 3 1 2 3 22
Maximum likelihood estimation for dynamic factor models with missing data 0 0 3 118 5 10 23 327
Order flow and volatility: An empirical investigation 0 0 1 17 3 7 10 95
Predicting volatility and correlations with Financial Conditions Indexes 0 0 0 18 2 4 5 91
What do professional forecasters actually predict? 0 0 0 5 5 7 10 91
Total Journal Articles 0 1 11 342 38 70 116 1,397

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 1 1 24 2 5 9 110
Total Chapters 0 1 1 24 2 5 9 110

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Statistics updated 2026-02-12