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)

9

H index

8

i10 index

266

Citations

RESEARCH PRODUCTION:

12

Articles

30

Papers

1

Chapters

RESEARCH ACTIVITY:

   14 years (2007 - 2021). See details.
   Cites by year: 19
   Journals where Michel van der Wel has often published
   Relations with other researchers
   Recent citing documents: 52.    Total self citations: 10 (3.62 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pva361
   Updated: 2022-10-01    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:

Cao, Shuo (10)

Byrne, Joseph (10)

Korobilis, Dimitris (10)

Poncela, Pilar (9)

Ruiz, Esther (8)

Posch, Olaf (6)

Marcellino, Massimiliano (6)

Guidolin, Massimo (6)

JAWADI, Fredj (5)

Laurini, Márcio (5)

Pedio, Manuela (5)

Cites to:

Diebold, Francis (42)

Koopman, Siem Jan (23)

Reichlin, Lucrezia (22)

Watson, Mark (19)

Giannone, Domenico (19)

Rudebusch, Glenn (18)

Bollerslev, Tim (16)

Vega, Clara (16)

Engle, Robert (15)

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 (2022 and 2021)

YearTitle of citing document
2022Quasi 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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2021Matrix Completion, Counterfactuals, and Factor Analysis of Missing Data. (2019). Bai, Jushan ; Ng, Serena. In: Papers. RePEc:arx:papers:1910.06677.

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2022Large Dimensional Latent Factor Modeling with Missing Observations and Applications to Causal Inference. (2019). Pelger, Markus ; Xiong, Ruoxuan. In: Papers. RePEc:arx:papers:1910.08273.

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2022Factor-Based Imputation of Missing Values and Covariances in Panel Data of Large Dimensions. (2021). Ng, Serena ; Bai, Jushan ; Cahan, Ercument. In: Papers. RePEc:arx:papers:2103.03045.

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2022Semiparametric Functional Factor Models with Bayesian Rank Selection. (2021). Kowal, Daniel R. In: Papers. RePEc:arx:papers:2108.02151.

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2022Dynamic Factor Models with Sparse VAR Idiosyncratic Components. (2021). Margaritella, Luca ; Krampe, Jonas. In: Papers. RePEc:arx:papers:2112.07149.

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2022Dynamic 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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2021Debt-Secular Economic Changes and Bond Yields. (2021). Fontaine, Jean-Sebastien ; Feunou, Bruno. In: Staff Working Papers. RePEc:bca:bocawp:21-14.

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2021Testing external habits in an asset pricing model. (2021). Goenka, Aditya ; D'Addona, Stefano ; Boschi, Melisso . In: Discussion Papers. RePEc:bir:birmec:21-11.

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2021The role of asymmetry and dynamics in carry trade and general financial markets. (2021). Wu, ChihChiang ; Huang, Meichi. In: The Financial Review. RePEc:bla:finrev:v:56:y:2021:i:2:p:331-353.

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2021What model for the target rate. (2021). Feunou, Bruno ; Bruno, Feunou ; Jianjian, Jin ; Jean-Sebastien, Fontaine. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:25:y:2021:i:1:p:23:n:1.

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2021Dynamic factor models: does the specification matter?. (2021). Miranda, Karen Alejandra ; Poncela, Pilar ; Ortega, Esther Ruiz. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:32210.

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2022The financial accelerator mechanism: does frequency matter?. (2022). Marcellino, Massimiliano ; Foroni, Claudia ; Gelain, Paolo. In: Working Paper Series. RePEc:ecb:ecbwps:20222637.

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2021Risk matters: Breaking certainty equivalence in linear approximations. (2021). Polattimur, Hamza ; Posch, Olaf ; Parra-Alvarez, Juan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:133:y:2021:i:c:s0165188921001834.

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2021Forecasting U.S. Yield Curve Using the Dynamic Nelson–Siegel Model with Random Level Shift Parameters. (2021). Xu, Jiawen ; Pang, Tao ; Luo, Deqing. In: Economic Modelling. RePEc:eee:ecmode:v:94:y:2021:i:c:p:340-350.

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2021The interrelationship between order flow, exchange rate, and the role of American economic news. (2021). Wang, Xiangning ; Firouzi, Shahrokh. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001121.

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2021On factor models with random missing: EM estimation, inference, and cross validation. (2021). Su, Liangjun ; Jin, Sainan ; Miao, KE. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:745-777.

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2022Analyzing Commodity Futures Using Factor State-Space Models with Wishart Stochastic Volatility. (2022). Oglend, Atle ; Moura, Guilherme Valle ; Liesenfeld, Roman ; Kleppe, Tore Selland. In: Econometrics and Statistics. RePEc:eee:ecosta:v:23:y:2022:i:c:p:105-127.

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2021The predictive power of Nelson–Siegel factor loadings for the real economy. (2021). Ma, Jun ; Jiao, Anqi ; Han, Yang. In: Journal of Empirical Finance. RePEc:eee:empfin:v:64:y:2021:i:c:p:95-127.

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2021Forecasting WTI crude oil futures returns: Does the term structure help?. (2021). O'Sullivan, Conall ; Bredin, Don ; Spencer, Simon. In: Energy Economics. RePEc:eee:eneeco:v:100:y:2021:i:c:s0140988321002565.

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2021How do macroeconomic news surprises affect round-the-clock price discovery of gold?. (2021). Ilango, Balakrishnan ; Sehgal, Sanjay ; Sobti, Neharika. In: International Review of Financial Analysis. RePEc:eee:finana:v:78:y:2021:i:c:s1057521921002209.

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2022Early warning systems using dynamic factor models: An application to Asian economies. (2022). Villafuerte, James ; Truck, Stefan ; Sheen, Jeffrey ; Truong, Chi. In: Journal of Financial Stability. RePEc:eee:finsta:v:58:y:2022:i:c:s1572308921000450.

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2022Financial turbulence, systemic risk and the predictability of stock market volatility. (2022). Salisu, Afees ; GUPTA, RANGAN ; Demirer, Riza. In: Global Finance Journal. RePEc:eee:glofin:v:52:y:2022:i:c:s1044028322000011.

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2021Factor extraction using Kalman filter and smoothing: This is not just another survey. (2021). Ruiz, Esther ; Miranda, Karen ; Poncela, Pilar. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:4:p:1399-1425.

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2021A new unique information share measure with applications on cross-listed Chinese banks. (2021). Shi, Yanlin ; Li, Hong. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:128:y:2021:i:c:s0378426621000996.

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2021Funding liquidity and market liquidity in government bonds. (2021). Johnson, Timothy C ; Deuskar, Prachi. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:129:y:2021:i:c:s0378426621001242.

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2022Nelson–Siegel decay factor and term premia in Japan. (2022). Sekine, Atsushi ; Koeda, Junko. In: Journal of the Japanese and International Economies. RePEc:eee:jjieco:v:64:y:2022:i:c:s0889158322000144.

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2021Downside risk, financial conditions and systemic risk in China. (2021). Li, Haoran ; Wang, BO. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:68:y:2021:i:c:s0927538x19304895.

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2022How arbitrage-free is the Nelson–Siegel model under stochastic volatility?. (2022). Takamizawa, Hideyuki. In: International Review of Economics & Finance. RePEc:eee:reveco:v:79:y:2022:i:c:p:205-223.

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2021Quantifying Drivers of Forecasted Returns Using Approximate Dynamic Factor Models for Mixed-Frequency Panel Data. (2021). Zagst, Rudi ; Sandrini, Francesco ; Ramsauer, Franz ; Portelli, Lorenzo ; Min, Aleksey ; Defend, Monica. In: Forecasting. RePEc:gam:jforec:v:3:y:2021:i:1:p:5-90:d:495900.

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2021Volatility and Depth in Commodity and FX Futures Markets. (2021). Lobanova, Olesya ; Aidov, Alexandre. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:11:p:545-:d:676575.

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2022What’s Different about Bank Holding Companies?. (2022). Rochon, Celine ; Ma, Jun ; Cosimano, Thomas F ; Chami, Ralph. In: JRFM. RePEc:gam:jjrfmx:v:15:y:2022:i:5:p:206-:d:805693.

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2022Sovereign Credit Ratings Analysis Using the Logistic Regression Model. (2022). Muteba, John W ; Takawira, Oliver. In: Risks. RePEc:gam:jrisks:v:10:y:2022:i:4:p:70-:d:778137.

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2021The joint cross section of stocks and options. (2021). Subrahmanyam, Avanidhar ; Muravyev, Dmitriy ; Kurov, Alexander ; Chordia, Tarun. In: Management Science. RePEc:inm:ormnsc:v:67:y:2021:i:3:p:1758-1778.

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2022A Comparative Analysis of Parsimonious Yield Curve Models with Focus on the Nelson-Siegel, Svensson and Bliss Versions. (2022). Schurle, Michael ; Paraschiv, Florentina ; Wahlstrom, Ranik Raaen. In: Computational Economics. RePEc:kap:compec:v:59:y:2022:i:3:d:10.1007_s10614-021-10113-w.

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2021Monetary Policy Effectiveness under the Ultra-Low Interest Rate Environment: Evidence from Yield Curve Dynamics in Japan. (2021). Shiratsuka, Shigenori. In: Keio-IES Discussion Paper Series. RePEc:keo:dpaper:2021-012.

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2021Price Discovery in High Resolution*. (2021). Hasbrouck, Joel. In: The Journal of Financial Econometrics. RePEc:oup:jfinec:v:19:y:2021:i:3:p:395-430..

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2021Financial Vulnerability and Volatility in Emerging Stock Markets: Evidence from GARCH-MIDAS Models. (2021). Demirer, Riza ; Gupta, Rangan ; You, YU ; Li, HE. In: Working Papers. RePEc:pre:wpaper:202112.

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2021Financial Turbulence, Systemic Risk and the Predictability of Stock Market Volatility. (2021). Salisu, Afees ; GUPTA, RANGAN ; Demirer, Riza. In: Working Papers. RePEc:pre:wpaper:202162.

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2022The effect of short selling on volatility and jumps. (2022). Wee, Marvin ; Treepongkaruna, Sirimon ; Foong, Glenn Kit ; Padungsaksawasdi, Chaiyuth. In: Australian Journal of Management. RePEc:sae:ausman:v:47:y:2022:i:1:p:34-52.

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2021Stock Market Liquidity: A Literature Review. (2021). Reddy, Y V ; Naik, Priyanka. In: SAGE Open. RePEc:sae:sagope:v:11:y:2021:i:1:p:2158244020985529.

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2021Vector Autoregressions with Dynamic Factor Coefficients and Conditionally Heteroskedastic Errors. (2021). Schaumburg, Julia ; Koopman, Siem Jan ; Gorgi, Paolo. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20210056.

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2022Unconventional Monetary Policy through Open Market Operations: A Principal Component Analysis. (2022). Nishimura, Kiyohiko G ; Heckel, Markus. In: Asian Economic Papers. RePEc:tpr:asiaec:v:21:y:2022:i:1:p:1-28.

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2021Nelson-Siegel Decay Factor and Term Premia in Japan. (2021). Sekine, Atsushi ; Koeda, Junko. In: Working Papers. RePEc:wap:wpaper:2106.

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2022Measuring real activity using a weekly economic index. (2022). Trivedi, Mihir ; Stock, James H ; Mertens, Karel ; Lewis, Daniel J. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:37:y:2022:i:4:p:667-687.

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2021The reliability of geometric Brownian motion forecasts of S&P500 index values. (2021). Sinha, Amit K. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:8:p:1444-1462.

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2022A Bayesian time?varying autoregressive model for improved short?term and long?term prediction. (2022). Rugamer, David ; Stocker, Almond ; Berninger, Christoph. In: Journal of Forecasting. RePEc:wly:jforec:v:41:y:2022:i:1:p:181-200.

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2022Robust information share measures with an application on the international crude oil markets. (2022). Shi, Yanlin ; Li, Hong. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:4:p:555-579.

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2021A new approach to measuring economic policy shocks, with an application to conventional and unconventional monetary policy. (2021). Inoue, Atsushi ; Rossi, Barbara. In: Quantitative Economics. RePEc:wly:quante:v:12:y:2021:i:4:p:1085-1138.

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2022Peso problems in the estimation of the C?CAPM. (2022). Schrimpf, Andreas ; Posch, Olaf ; Parra-Alvarez, Juan ; Parraalvarez, Juan Carlos ; Juan Carlos Parra Alvarez, ; Juan Carlos Parra Alvarez, . In: Quantitative Economics. RePEc:wly:quante:v:13:y:2022:i:1:p:259-313.

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2022Forecasting Interest Rates with Shifting Endpoints: The Role of the Demographic Age Structure. (2022). Niu, Linlin ; Hong, Zhiwu ; Chen, Jiazi. In: Working Papers. RePEc:wyi:wpaper:002606.

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2021Precision-based sampling with missing observations: A factor model application. (2021). Hauber, Philipp ; Schumacher, Christian. In: Discussion Papers. RePEc:zbw:bubdps:112021.

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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]		paper9
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 another 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
2016Dynamic Factor Models for the Volatility Surface.(2016) In: Advances in Econometrics.
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This paper has another version. Agregated cites: 0		chapter
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]		article71
2014Estimating Dynamic Equilibrium Models Using Mixed Frequency Macro and Financial Data In: CESifo Working Paper Series.
[Full Text][Citation analysis]		paper8
2016Estimating dynamic equilibrium models using mixed frequency macro and financial data.(2016) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8		article
2012Customer Order Flow, Intermediaries, and Discovery of the Equilibrium Risk-Free Rate In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article12
2011Maximum likelihood estimation for dynamic factor models with missing data In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article49
2011Maximum likelihood estimation for dynamic factor models with missing data.(2011) In: Post-Print.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 49		paper
2014Order flow and volatility: An empirical investigation In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article10
2014Predicting volatility and correlations with Financial Conditions Indexes In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article17
2017Intraday price discovery in fragmented markets In: Journal of Financial Markets.
[Full Text][Citation analysis]		article16
2014Intraday Price Discovery in Fragmented Markets.(2014) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 16		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]		article15
2011Forecasting the U.S. Term Structure of Interest Rates using a Macroeconomic Smooth Dynamic Factor Model.(2011) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 15		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.
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This paper has another version. Agregated cites: 1		paper
2013Economic valuation of liquidity timing In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article9
2013Economic Valuation of Liquidity Timing.(2013) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9		paper
2019An asset pricing approach to testing general term structure models In: Journal of Financial Economics.
[Full Text][Citation analysis]		article1
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.
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2009Are Market Makers Uninformed and Passive? Signing Trades in The Absence of Quotes.(2009) In: Tinbergen Institute Discussion Papers.
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This paper has another 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]		paper3
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]		paper27
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
2016Market Set?up in Advance of Federal Reserve Policy Rate Decisions In: Economic Journal.
[Full Text][Citation analysis]		article2
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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