Michel van der Wel : Citation Profile

Are you Michel van der Wel?

Erasmus Universiteit Rotterdam (97% share)
Aarhus Universitet (1% share)
Erasmus Universiteit Rotterdam (1% share)
Tinbergen Instituut (1% share)

10

H index

11

i10 index

298

Citations

RESEARCH PRODUCTION:

11

Articles

30

Papers

1

Chapters

RESEARCH ACTIVITY:

   14 years (2007 - 2021). See details.
   Cites by year: 21
   Journals where Michel van der Wel has often published
   Relations with other researchers
   Recent citing documents: 18.    Total self citations: 10 (3.25 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pva361
   Updated: 2024-11-08    RAS profile: 2021-04-10    
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Relations with other researchers

Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Michel van der Wel.

Is cited by:

Korobilis, Dimitris (10)

Byrne, Joseph (10)

Cao, Shuo (10)

Poncela, Pilar (9)

Ruiz, Esther (8)

Marcellino, Massimiliano (7)

Posch, Olaf (6)

Guidolin, Massimo (6)

Bai, Jushan (5)

Barnett, William (5)

Ftiti, Zied (5)

Cites to:

Diebold, Francis (42)

Koopman, Siem Jan (23)

Reichlin, Lucrezia (22)

Watson, Mark (20)

Rudebusch, Glenn (19)

Giannone, Domenico (19)

Engle, Robert (17)

Vega, Clara (16)

Bollerslev, Tim (16)

Andersen, Torben (15)

Shephard, Neil (13)

Main data

Where Michel van der Wel has published?

Journals with more than one article published# docs
Journal of Empirical Finance2
International Journal of Forecasting2

Working Papers Series with more than one paper published# docs
Tinbergen Institute Discussion Papers / Tinbergen Institute15
Staff Reports / Federal Reserve Bank of New York2

Recent works citing Michel van der Wel (2024 and 2023)

YearTitle of citing document
2024Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm. (2019). Barigozzi, Matteo ; Luciani, Matteo. In: Papers. RePEc:arx:papers:1910.03821.

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2023Deep Dynamic Factor Models. (2020). Ricco, Giovanni ; Izzo, Cosimo ; Andreini, Paolo. In: Papers. RePEc:arx:papers:2007.11887.

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2024Dynamic Factor Model for Functional Time Series: Identification, Estimation, and Prediction. (2022). Salish, Nazarii ; Otto, Sven. In: Papers. RePEc:arx:papers:2201.02532.

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2023Constructing High Frequency Economic Indicators by Imputation. (2023). Scanlan, Susannah ; Ng, Serena. In: Papers. RePEc:arx:papers:2303.01863.

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2023Factor-based imputation of missing values and covariances in panel data of large dimensions. (2023). Bai, Jushan ; Ng, Serena ; Cahan, Ercument. In: Journal of Econometrics. RePEc:eee:econom:v:233:y:2023:i:1:p:113-131.

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2023Large dimensional latent factor modeling with missing observations and applications to causal inference. (2023). Pelger, Markus ; Xiong, Ruoxuan. In: Journal of Econometrics. RePEc:eee:econom:v:233:y:2023:i:1:p:271-301.

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2024Machine-learning stock market volatility: Predictability, drivers, and economic value. (2024). Cabrera, Gabriel ; Hansen, Erwin ; Diaz, Juan D. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002187.

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2023On the efficient synthesis of short financial time series: A Dynamic Factor Model approach. (2023). Mertzanis, Charilaos ; Cerchiello, Paola ; Bitetto, Alessandro. In: Finance Research Letters. RePEc:eee:finlet:v:53:y:2023:i:c:s1544612323000521.

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2023The impact of crisis periods and monetary decisions of the Fed and the ECB on the sovereign yield curve network. (2023). Kotro, Balazs B ; Huszar, Zsuzsa R ; Badics, Milan Csaba. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:88:y:2023:i:c:s1042443123001051.

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2023Price discovery in equity markets: A state-dependent analysis of spot and futures markets. (2023). Schweikert, Karsten ; Kuck, Konstantin. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:149:y:2023:i:c:s037842662300033x.

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2023Information shares for markets with partially overlapping trading hours. (2023). Schweikert, Karsten ; Dimpfl, Thomas. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:154:y:2023:i:c:s0378426623001681.

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2023Who benefits more? Shanghai-Hong Kong stock Connect—“Through Train”. (2023). Ohk, Ki Yool ; Wu, Ming. In: International Review of Economics & Finance. RePEc:eee:reveco:v:84:y:2023:i:c:p:409-427.

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2023US-Financial Conditions and Macro-economy of Emerging Markets. (2023). Jabeen, Hummaira. In: Journal of Policy Research (JPR). RePEc:rfh:jprjor:v:9:y:2023:i:1:p:51-63.

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2023Dynamic Nelson–Siegel model for market risk estimation of bonds: Practical implementation. (2023). Lapshin, Victor ; Makushkin, Mikhail. In: Applied Econometrics. RePEc:ris:apltrx:0462.

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2024Breaks in term structures: Evidence from the oil futures markets. (2024). Miller, Curtis ; Liu, Zhenya ; Horvath, Lajos ; Tang, Weiqing. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:29:y:2024:i:2:p:2317-2341.

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2023Pricing the Bund term structure with linear regressions – without an observable short rate. (2023). Speck, Christian. In: Discussion Papers. RePEc:zbw:bubdps:082023.

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Works by Michel van der Wel:

YearTitleTypeCited
2009Smooth Dynamic Factor Analysis with an Application to the U.S. Term Structure of Interest Rates In: CREATES Research Papers.
[Full Text][Citation analysis]		paper10
2010An Asset Pricing Approach to Testing General Term Structure Models including Heath-Jarrow-Morton Specifications and Affine Subclasses In: CREATES Research Papers.
[Full Text][Citation analysis]		paper0
2011Estimating Dynamic Equilibrium Models using Macro and Financial Data In: CREATES Research Papers.
[Full Text][Citation analysis]		paper4
2012On the Effects of Private Information on Volatility In: CREATES Research Papers.
[Full Text][Citation analysis]		paper1
2011On the Effects of Private Information on Volatility.(2011) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2012Measuring Convergence using Dynamic Equilibrium Models: Evidence from Chinese Provinces In: CREATES Research Papers.
[Full Text][Citation analysis]		paper0
2015Dynamic Factor Models for the Volatility Surface In: CREATES Research Papers.
[Full Text][Citation analysis]		paper0
2021Modelling Sovereign Credit Ratings: Evaluating the Accuracy and Driving Factors using Machine Learning Techniques In: Papers.
[Full Text][Citation analysis]		paper1
2010Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson–Siegel Model With Time-Varying Parameters In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article77
2014Estimating Dynamic Equilibrium Models Using Mixed Frequency Macro and Financial Data In: CESifo Working Paper Series.
[Full Text][Citation analysis]		paper10
2016Estimating dynamic equilibrium models using mixed frequency macro and financial data.(2016) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 10		article
2012Customer Order Flow, Intermediaries, and Discovery of the Equilibrium Risk-Free Rate In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article14
2011Maximum likelihood estimation for dynamic factor models with missing data In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article55
2011Maximum likelihood estimation for dynamic factor models with missing data.(2011) In: Post-Print.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 55		paper
2014Order flow and volatility: An empirical investigation In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article13
2014Predicting volatility and correlations with Financial Conditions Indexes In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article20
2017Intraday price discovery in fragmented markets In: Journal of Financial Markets.
[Full Text][Citation analysis]		article19
2014Intraday Price Discovery in Fragmented Markets.(2014) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 19		paper
2013Forecasting the US term structure of interest rates using a macroeconomic smooth dynamic factor model In: International Journal of Forecasting.
[Full Text][Citation analysis]		article16
2011Forecasting the U.S. Term Structure of Interest Rates using a Macroeconomic Smooth Dynamic Factor Model.(2011) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 16		paper
2018What do professional forecasters actually predict? In: International Journal of Forecasting.
[Full Text][Citation analysis]		article1
2017What Do Professional Forecasters Actually Predict?.(2017) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2013Economic valuation of liquidity timing In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article10
2013Economic Valuation of Liquidity Timing.(2013) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 10		paper
2019An asset pricing approach to testing general term structure models In: Journal of Financial Economics.
[Full Text][Citation analysis]		article1
2016Dynamic Factor Models for the Volatility Surface? In: Advances in Econometrics.
[Full Text][Citation analysis]		chapter0
2020Connecting Silos : On linking macroeconomics and finance, and the role of econometrics therein In: ERIM Inaugural Address Series Research in Management.
[Full Text][Citation analysis]		paper0
2007Macro news, risk-free rates, and the intermediary: customer orders for thirty-year Treasury futures In: Staff Reports.
[Full Text][Citation analysis]		paper0
2009Are market makers uninformed and passive? Signing trades in the absence of quotes In: Staff Reports.
[Full Text][Citation analysis]		paper0
2009Are Market Makers Uninformed and Passive? Signing Trades in The Absence of Quotes.(2009) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2014Market Set-Up in Advance of Federal Reserve Policy Decisions In: NBER Working Papers.
[Full Text][Citation analysis]		paper2
2018Structural Estimation of Dynamic Macroeconomic Models using Higher-Frequency Financial Data In: 2018 Meeting Papers.
[Full Text][Citation analysis]		paper0
2007Macro News, Riskfree Rates, and the Intermediary In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper0
2007Analyzing the Term Structure of Interest Rates using the Dynamic Nelson-Siegel Model with Time-Varying Parameters In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper3
2011Dynamic Factor Analysis in The Presence of Missing Data In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper4
2010Dynamic Factor Models with Smooth Loadings for Analyzing the Term Structure of Interest Rates In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper1
2012Forecasting Interest Rates with Shifting Endpoints In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper32
2013Predicting Covariance Matrices with Financial Conditions Indexes In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper1
2014Improving Density Forecasts and Value-at-Risk Estimates by Combining Densities In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper0
2015Why do Pit-Hours outlive the Pit? In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper1
2017A Bayesian Infinite Hidden Markov Vector Autoregressive Model In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper0
2008Customer flow, intermediaries, and the discovery of the equilibrium riskfree rate In: CFS Working Paper Series.
[Full Text][Citation analysis]		paper2

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