Articles with public access mandates - Michel van der WelLearn more
Available somewhere: 15
Forecasting interest rates with shifting endpoints
D Van Dijk, SJ Koopman, M Van der Wel, JH Wright
Journal of Applied Econometrics 29 (5), 693-712, 2014
Mandates: Danish National Research Foundation
Smooth Dynamic Factor Analysis with Application to the US Term Structure of Interest Rates
B Jungbacker, SJ Koopman, M Wel
Journal of Applied Econometrics, 2013
Mandates: Danish National Research Foundation
Non-standard errors
AJ Menkveld, A Dreber, F Holzmeister, J Huber, M Johannesson, ...
Mandates: Austrian Science Fund, Knut and Alice Wallenberg Foundation, Marcus and …
Combining density forecasts using focused scoring rules
A Opschoor, D van Dijk, M van der Wel
Journal of Applied Econometrics 32 (7), 1298-1313, 2017
Mandates: Danish National Research Foundation, Netherlands Organisation for Scientific …
Forecasting the US term structure of interest rates using a macroeconomic smooth dynamic factor model
SJ Koopman, M Van der Wel
International Journal of Forecasting 29 (4), 676-694, 2013
Mandates: Danish National Research Foundation
Customer order flow, intermediaries, and discovery of the equilibrium risk-free rate
AJ Menkveld, A Sarkar, M Wel
Journal of Financial and Quantitative Analysis 47 (04), 821-849, 2012
Mandates: Danish National Research Foundation
Predicting volatility and correlations with Financial Conditions Indexes
A Opschoor, D van Dijk, M van der Wel
Journal of Empirical Finance 29, 435-447, 2014
Mandates: Danish National Research Foundation
Common Factors in Commodity Futures Curves
D Karstanje, M Van der Wel, DJC Van Dijk
Available at SSRN 2558014, 2015
Mandates: Danish National Research Foundation
Order flow and volatility: An empirical investigation
A Opschoor, N Taylor, M van der Wel, D van Dijk
Journal of Empirical Finance 28, 185-201, 2014
Mandates: Danish National Research Foundation
Economic valuation of liquidity timing
D Karstanje, E Sojli, WW Tham, M van der Wel
Journal of Banking & Finance 37 (12), 5073-5087, 2013
Mandates: Danish National Research Foundation, European Commission
Estimating dynamic equilibrium models using mixed frequency macro and financial data
BJ Christensen, O Posch, M van der Wel
Journal of Econometrics 194 (1), 116-137, 2016
Mandates: Danish National Research Foundation
An Asset Pricing Approach to Testing General Term Structure Models
BJ Christensen, M van der Wel
Mandates: Danish National Research Foundation, Netherlands Organisation for Scientific …
Market Set-Up in Advance of Federal Reserve Policy Decisions
D van Dijk, RL Lumsdaine, M Van der Wel
National Bureau of Economic Research, 2014
Mandates: Danish National Research Foundation
Dynamic Factor Models for the Volatility Surface
M Van der Wel, SR Ozturk, D van Dijk
Dynamic Factor Models (Advances in Econometrics, Volume 35) Emerald Group …, 2016
Mandates: Danish National Research Foundation, Netherlands Organisation for Scientific …
Why Do Pit-Hours Outlive the Pit?
SR Ozturk, M Van der Wel, DJC Van Dijk
Tinbergen Institute Discussion Paper 15-082/III, 2015
Mandates: Danish National Research Foundation
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