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 59 0 0 2 59
An Asset Pricing Approach to Testing General Term Structure Models including Heath-Jarrow-Morton Specifications and Affine Subclasses 0 0 0 19 0 0 1 60
Analyzing the Term Structure of Interest Rates using the Dynamic Nelson-Siegel Model with Time-Varying Parameters 1 2 4 304 1 3 11 732
Are Market Makers Uninformed and Passive? Signing Trades in The Absence of Quotes 0 0 0 39 0 1 1 164
Are market makers uninformed and passive? Signing trades in the absence of quotes 0 0 0 44 0 0 2 226
Connecting Silos: On linking macroeconomics and finance, and the role of econometrics therein 0 0 0 47 1 2 4 45
Customer flow, intermediaries, and the discovery of the equilibrium riskfree rate 0 0 0 5 0 0 1 132
Dynamic Factor Analysis in The Presence of Missing Data 0 0 6 214 0 0 15 426
Dynamic Factor Models for the Volatility Surface 0 0 2 48 0 0 3 109
Dynamic Factor Models with Smooth Loadings for Analyzing the Term Structure of Interest Rates 0 0 0 66 0 0 2 225
Economic Valuation of Liquidity Timing 0 0 0 7 0 0 1 117
Estimating Dynamic Equilibrium Models Using Mixed Frequency Macro and Financial Data 0 0 0 23 0 0 0 102
Estimating Dynamic Equilibrium Models using Macro and Financial Data 0 0 0 83 0 0 0 103
Forecasting Interest Rates with Shifting Endpoints 0 0 1 80 0 0 2 199
Forecasting the U.S. Term Structure of Interest Rates using a Macroeconomic Smooth Dynamic Factor Model 0 0 1 91 1 2 3 181
Improving Density Forecasts and Value-at-Risk Estimates by Combining Densities 0 0 0 65 0 0 2 88
Intraday Price Discovery in Fragmented Markets 0 0 0 29 0 0 1 108
Macro News, Riskfree Rates, and the Intermediary 0 0 0 22 0 0 0 141
Macro news, risk-free rates, and the intermediary: customer orders for thirty-year Treasury futures 0 0 0 34 0 0 0 279
Market Set-Up in Advance of Federal Reserve Policy Decisions 0 0 0 40 0 0 2 110
Maximum likelihood estimation for dynamic factor models with missing data 0 0 0 9 0 0 1 80
Measuring Convergence using Dynamic Equilibrium Models: Evidence from Chinese Provinces 0 0 1 33 0 0 1 101
Modelling Sovereign Credit Ratings: Evaluating the Accuracy and Driving Factors using Machine Learning Techniques 0 0 1 14 0 0 3 49
On the Effects of Private Information on Volatility 0 0 0 15 0 0 0 98
On the Effects of Private Information on Volatility 0 0 0 40 0 0 1 133
Predicting Covariance Matrices with Financial Conditions Indexes 0 0 0 13 0 1 1 74
Smooth Dynamic Factor Analysis with an Application to the U.S. Term Structure of Interest Rates 0 0 1 98 0 0 2 219
Structural Estimation of Dynamic Macroeconomic Models using Higher-Frequency Financial Data 0 0 3 76 0 0 10 127
What Do Professional Forecasters Actually Predict? 0 0 0 32 1 1 1 106
Why do Pit-Hours outlive the Pit? 0 0 1 9 0 1 3 59
Total Working Papers 1 2 21 1,658 4 11 76 4,652

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 0 26 0 1 3 124
Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson–Siegel Model With Time-Varying Parameters 1 4 9 55 3 8 21 178
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 0 0 2 87
Estimating dynamic equilibrium models using mixed frequency macro and financial data 0 0 1 23 0 0 3 77
Forecasting the US term structure of interest rates using a macroeconomic smooth dynamic factor model 0 0 1 20 0 1 4 99
Intraday price discovery in fragmented markets 0 0 3 22 0 0 5 73
Market Set‐up in Advance of Federal Reserve Policy Rate Decisions 0 0 0 3 0 0 0 19
Maximum likelihood estimation for dynamic factor models with missing data 0 1 4 113 0 2 9 298
Order flow and volatility: An empirical investigation 0 0 0 16 1 2 6 84
Predicting volatility and correlations with Financial Conditions Indexes 0 0 0 18 0 0 2 85
What do professional forecasters actually predict? 0 0 0 5 0 0 1 80
Total Journal Articles 1 5 18 329 4 14 56 1,262

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 3 23 0 1 4 100
Total Chapters 0 1 3 23 0 1 4 100

logo

LogEc Home

Top Working Papers
Top Journal Articles
Top Books
Top Chapters
Top Software Items

Top Authors

Top Working Paper series and Journals

About LogEc

Authors with papers registered in the RePEc Author Service.

Register yourself as an author or register more papers in the RePEc Author Service.

Authors with no registered papers

RePEc
LogEc provides access and usage for services based on the RePEc data set.

Örebro UniversityLogEc is hosted by the Örebro University School of Business.

Questions or comments? Please see our explanation of how the statistics are collected or e-mail

Statistics updated 2024-09-04