9
H index
8
i10 index
264
Citations
Erasmus Universiteit Rotterdam (97% share) | 9 H index 8 i10 index 264 Citations RESEARCH PRODUCTION: 12 Articles 30 Papers 1 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
|
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: | Cites to: |
Journals with more than one article published | # docs |
---|---|
Journal of Empirical Finance | 2 |
International Journal of Forecasting | 2 |
Working Papers Series with more than one paper published | # docs |
---|---|
Tinbergen Institute Discussion Papers / Tinbergen Institute | 15 |
Staff Reports / Federal Reserve Bank of New York | 2 |
Year | Title of citing document |
---|---|
2022 | Quasi 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. Full description at Econpapers || Download paper |
2021 | Matrix Completion, Counterfactuals, and Factor Analysis of Missing Data. (2019). Bai, Jushan ; Ng, Serena. In: Papers. RePEc:arx:papers:1910.06677. Full description at Econpapers || Download paper |
2022 | Large Dimensional Latent Factor Modeling with Missing Observations and Applications to Causal Inference. (2019). Pelger, Markus ; Xiong, Ruoxuan. In: Papers. RePEc:arx:papers:1910.08273. Full description at Econpapers || Download paper |
2022 | Factor-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. Full description at Econpapers || Download paper |
2022 | Semiparametric Functional Factor Models with Bayesian Rank Selection. (2021). Kowal, Daniel R. In: Papers. RePEc:arx:papers:2108.02151. Full description at Econpapers || Download paper |
2022 | Dynamic Factor Models with Sparse VAR Idiosyncratic Components. (2021). Margaritella, Luca ; Krampe, Jonas. In: Papers. RePEc:arx:papers:2112.07149. Full description at Econpapers || Download paper |
2022 | Dynamic Factor Model for Functional Time Series: Identification, Estimation, and Prediction. (2022). Salish, Nazarii ; Otto, Sven. In: Papers. RePEc:arx:papers:2201.02532. Full description at Econpapers || Download paper |
2021 | Debt-Secular Economic Changes and Bond Yields. (2021). Fontaine, Jean-Sebastien ; Feunou, Bruno. In: Staff Working Papers. RePEc:bca:bocawp:21-14. Full description at Econpapers || Download paper |
2021 | Testing external habits in an asset pricing model. (2021). Goenka, Aditya ; D'Addona, Stefano ; Boschi, Melisso . In: Discussion Papers. RePEc:bir:birmec:21-11. Full description at Econpapers || Download paper |
2021 | The 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. Full description at Econpapers || Download paper |
2021 | What 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. Full description at Econpapers || Download paper |
2021 | Dynamic 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. Full description at Econpapers || Download paper |
2022 | The financial accelerator mechanism: does frequency matter?. (2022). Marcellino, Massimiliano ; Foroni, Claudia ; Gelain, Paolo. In: Working Paper Series. RePEc:ecb:ecbwps:20222637. Full description at Econpapers || Download paper |
2021 | Risk 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. Full description at Econpapers || Download paper |
2021 | Forecasting 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. Full description at Econpapers || Download paper |
2021 | The 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. Full description at Econpapers || Download paper |
2021 | On 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. Full description at Econpapers || Download paper |
2022 | Analyzing 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. Full description at Econpapers || Download paper |
2021 | The 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. Full description at Econpapers || Download paper |
2021 | Forecasting 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. Full description at Econpapers || Download paper |
2021 | How 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. Full description at Econpapers || Download paper |
2022 | Early 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. Full description at Econpapers || Download paper |
2022 | Financial 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. Full description at Econpapers || Download paper |
2021 | Factor 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. Full description at Econpapers || Download paper |
2021 | A 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. Full description at Econpapers || Download paper |
2021 | Funding 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. Full description at Econpapers || Download paper |
2022 | Nelson–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. Full description at Econpapers || Download paper |
2021 | Downside 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. Full description at Econpapers || Download paper |
2022 | How 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. Full description at Econpapers || Download paper |
2021 | Quantifying 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. Full description at Econpapers || Download paper |
2021 | Volatility 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. Full description at Econpapers || Download paper |
2022 | What’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. Full description at Econpapers || Download paper |
2022 | Sovereign 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. Full description at Econpapers || Download paper |
2021 | The 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. Full description at Econpapers || Download paper |
2022 | A 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. Full description at Econpapers || Download paper |
2021 | Monetary 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. Full description at Econpapers || Download paper |
2021 | Financial 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. Full description at Econpapers || Download paper |
2021 | Financial Turbulence, Systemic Risk and the Predictability of Stock Market Volatility. (2021). Salisu, Afees ; GUPTA, RANGAN ; Demirer, Riza. In: Working Papers. RePEc:pre:wpaper:202162. Full description at Econpapers || Download paper |
2022 | The 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. Full description at Econpapers || Download paper |
2021 | Stock 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. Full description at Econpapers || Download paper |
2021 | Vector 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. Full description at Econpapers || Download paper |
2022 | Unconventional 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. Full description at Econpapers || Download paper |
2021 | Nelson-Siegel Decay Factor and Term Premia in Japan. (2021). Sekine, Atsushi ; Koeda, Junko. In: Working Papers. RePEc:wap:wpaper:2106. Full description at Econpapers || Download paper |
2022 | Measuring 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. Full description at Econpapers || Download paper |
2021 | The 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. Full description at Econpapers || Download paper |
2022 | A 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. Full description at Econpapers || Download paper |
2022 | Robust 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. Full description at Econpapers || Download paper |
2021 | A 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. Full description at Econpapers || Download paper |
2022 | Peso 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. Full description at Econpapers || Download paper |
2022 | Forecasting 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. Full description at Econpapers || Download paper |
2021 | Precision-based sampling with missing observations: A factor model application. (2021). Hauber, Philipp ; Schumacher, Christian. In: Discussion Papers. RePEc:zbw:bubdps:112021. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
---|---|---|---|
2009 | Smooth Dynamic Factor Analysis with an Application to the U.S. Term Structure of Interest Rates In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 9 |
2010 | An 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] | paper | 0 |
2011 | Estimating Dynamic Equilibrium Models using Macro and Financial Data In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 4 |
2012 | On the Effects of Private Information on Volatility In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 1 |
2011 | On 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 | |
2012 | Measuring Convergence using Dynamic Equilibrium Models: Evidence from Chinese Provinces In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 0 |
2015 | Dynamic Factor Models for the Volatility Surface In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 0 |
2016 | Dynamic Factor Models for the Volatility Surface.(2016) In: Advances in Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | chapter | |
2021 | Modelling Sovereign Credit Ratings: Evaluating the Accuracy and Driving Factors using Machine Learning Techniques In: Papers. [Full Text][Citation analysis] | paper | 1 |
2010 | Analyzing 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] | article | 70 |
2014 | Estimating Dynamic Equilibrium Models Using Mixed Frequency Macro and Financial Data In: CESifo Working Paper Series. [Full Text][Citation analysis] | paper | 8 |
2016 | Estimating 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 | |
2012 | Customer Order Flow, Intermediaries, and Discovery of the Equilibrium Risk-Free Rate In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 12 |
2011 | Maximum likelihood estimation for dynamic factor models with missing data In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 49 |
2011 | Maximum 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 | |
2014 | Order flow and volatility: An empirical investigation In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 10 |
2014 | Predicting volatility and correlations with Financial Conditions Indexes In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 17 |
2017 | Intraday price discovery in fragmented markets In: Journal of Financial Markets. [Full Text][Citation analysis] | article | 15 |
2014 | Intraday Price Discovery in Fragmented Markets.(2014) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 15 | paper | |
2013 | Forecasting the US term structure of interest rates using a macroeconomic smooth dynamic factor model In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 15 |
2011 | Forecasting 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 another version. Agregated cites: 15 | paper | |
2018 | What do professional forecasters actually predict? In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 1 |
2017 | What Do Professional Forecasters Actually Predict?.(2017) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2013 | Economic valuation of liquidity timing In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 9 |
2013 | Economic Valuation of Liquidity Timing.(2013) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | paper | |
2019 | An asset pricing approach to testing general term structure models In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 1 |
2020 | Connecting Silos : On linking macroeconomics and finance, and the role of econometrics therein In: ERIM Inaugural Address Series Research in Management. [Full Text][Citation analysis] | paper | 0 |
2007 | Macro news, risk-free rates, and the intermediary: customer orders for thirty-year Treasury futures In: Staff Reports. [Full Text][Citation analysis] | paper | 0 |
2009 | Are market makers uninformed and passive? Signing trades in the absence of quotes In: Staff Reports. [Full Text][Citation analysis] | paper | 0 |
2009 | Are 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 another version. Agregated cites: 0 | paper | |
2014 | Market Set-Up in Advance of Federal Reserve Policy Decisions In: NBER Working Papers. [Full Text][Citation analysis] | paper | 2 |
2018 | Structural Estimation of Dynamic Macroeconomic Models using Higher-Frequency Financial Data In: 2018 Meeting Papers. [Full Text][Citation analysis] | paper | 0 |
2007 | Macro News, Riskfree Rates, and the Intermediary In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2007 | Analyzing 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] | paper | 3 |
2011 | Dynamic Factor Analysis in The Presence of Missing Data In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 3 |
2010 | Dynamic Factor Models with Smooth Loadings for Analyzing the Term Structure of Interest Rates In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
2012 | Forecasting Interest Rates with Shifting Endpoints In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 27 |
2013 | Predicting Covariance Matrices with Financial Conditions Indexes In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
2014 | Improving Density Forecasts and Value-at-Risk Estimates by Combining Densities In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2015 | Why do Pit-Hours outlive the Pit? In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
2017 | A Bayesian Infinite Hidden Markov Vector Autoregressive Model In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2016 | Market Set?up in Advance of Federal Reserve Policy Rate Decisions In: Economic Journal. [Full Text][Citation analysis] | article | 2 |
2008 | Customer flow, intermediaries, and the discovery of the equilibrium riskfree rate In: CFS Working Paper Series. [Full Text][Citation analysis] | paper | 2 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated August, 1st 2022. Contact: CitEc Team