Browsing All of EconStor by Author van der Wel, Michel

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Showing results 1 to 18 of 18
Year of PublicationTitleAuthor(s)
2007 Macro News, Riskfree Rates, and the IntermediaryMenkveld, Albert J.; Sarkar, Asani; van der Wel, Michel
2007 Analyzing the Term Structure of Interest Rates using the Dynamic Nelson-Siegel Model with Time-Varying ParametersKoopman, Siem Jan; Mallee, Max I.P.; van der Wel, Michel
2007 Macro news, risk-free rates, and the intermediary: Customer orders for thirty-year treasury futuresMenkveld, Albert J.; Sarkar, Asani; van der Wel, Michel
2008 Customer flow, intermediaries, and the discovery of the equilibrium riskfree rateMenkveld, Albert J.; Sarkar, Asani; van der Wel, Michel
2009 Are Market Makers Uninformed and Passive? Signing Trades in The Absence of Quotesvan der Wel, Michel; Menkveld, Albert; Sarkar, Asani
2009 Dynamic Factor Models with Smooth Loadings for Analyzing the Term Structure of Interest RatesJungbacker, Borus; Koopman, Siem Jan; van der Wel, Michel
2009 Are market makers uninformed and passive? Signing trades in the absence of quotesvan der Wel, Michel; Menkveld, Albert J.; Sarkar, Asani
2011 Forecasting the U.S. Term Structure of Interest Rates using a Macroeconomic Smooth Dynamic Factor ModelKoopman, Siem Jan; van der Wel, Michel
2011 On the Effects of Private Information on VolatilityOpschoor, Anne; van der Wel, Michel; van Dijk, Dick; Taylor, Nick
2012 Forecasting Interest Rates with Shifting Endpointsvan Dijk, Dick; Koopman, Siem Jan; van der Wel, Michel; Wright, Jonathan H.
2013 Economic Valuation of Liquidity TimingKarstanje, Dennis; Sojli, Elvira; Tahm, Wing Wah; van der Wel, Michel
2013 Predicting Covariance Matrices with Financial Conditions IndexesOpschoor, Anne; van Dijk, Dick; van der Wel, Michel
2014 Intraday Price Discovery in Fragmented MarketsOzturk, Sait; van der Wel, Michel; van Dijk, Dick
2014 Improving Density Forecasts and Value-at-Risk Estimates by Combining DensitiesOpschoor, Anne; van Dijk, Dick; van der Wel, Michel
2014 Estimating Dynamic Equilibrium Models Using Mixed Frequency Macro and Financial DataChristensen, Bent Jesper; Posch, Olaf; van der Wel, Michel
2015 Why do Pit-Hours outlive the Pit?Ozturk, Sait R.; van der Wel, Michel; van Dijk, Dick
2015 What do Professional Forecasters actually predict?Nibbering, Didier; Paap, Richard; van der Wel, Michel
2016 A Bayesian Infinite Hidden Markov Vector Autoregressive ModelNibbering, Didier; Paap, Richard; van der Wel, Michel