10
H index
11
i10 index
298
Citations
Erasmus Universiteit Rotterdam (97% 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. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/pva361 |
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 |
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Journal of Empirical Finance | 2 |
International Journal of Forecasting | 2 |
Working Papers Series with more than one paper published | # docs |
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Tinbergen Institute Discussion Papers / Tinbergen Institute | 15 |
Staff Reports / Federal Reserve Bank of New York | 2 |
Year | Title of citing document |
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2024 | 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 |
2023 | Deep Dynamic Factor Models. (2020). Ricco, Giovanni ; Izzo, Cosimo ; Andreini, Paolo. In: Papers. RePEc:arx:papers:2007.11887. Full description at Econpapers || Download paper |
2024 | 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 |
2023 | Constructing High Frequency Economic Indicators by Imputation. (2023). Scanlan, Susannah ; Ng, Serena. In: Papers. RePEc:arx:papers:2303.01863. Full description at Econpapers || Download paper |
2023 | Factor-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. Full description at Econpapers || Download paper |
2023 | Large 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. Full description at Econpapers || Download paper |
2024 | Machine-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. Full description at Econpapers || Download paper |
2023 | On 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. Full description at Econpapers || Download paper |
2023 | The 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. Full description at Econpapers || Download paper |
2023 | Price 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. Full description at Econpapers || Download paper |
2023 | Information 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. Full description at Econpapers || Download paper |
2023 | Who 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. Full description at Econpapers || Download paper |
2023 | US-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. Full description at Econpapers || Download paper |
2023 | Dynamic Nelson–Siegel model for market risk estimation of bonds: Practical implementation. (2023). Lapshin, Victor ; Makushkin, Mikhail. In: Applied Econometrics. RePEc:ris:apltrx:0462. Full description at Econpapers || Download paper |
2024 | Breaks 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. Full description at Econpapers || Download paper |
2023 | Pricing the Bund term structure with linear regressions – without an observable short rate. (2023). Speck, Christian. In: Discussion Papers. RePEc:zbw:bubdps:082023. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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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 | 10 |
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 nother 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 |
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 | 77 |
2014 | Estimating Dynamic Equilibrium Models Using Mixed Frequency Macro and Financial Data In: CESifo Working Paper Series. [Full Text][Citation analysis] | paper | 10 |
2016 | Estimating 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 | |
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 | 14 |
2011 | Maximum likelihood estimation for dynamic factor models with missing data In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 55 |
2011 | Maximum 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 | |
2014 | Order flow and volatility: An empirical investigation In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 13 |
2014 | Predicting volatility and correlations with Financial Conditions Indexes In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 20 |
2017 | Intraday price discovery in fragmented markets In: Journal of Financial Markets. [Full Text][Citation analysis] | article | 19 |
2014 | Intraday Price Discovery in Fragmented Markets.(2014) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 19 | 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 | 16 |
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 nother version. Agregated cites: 16 | 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 nother version. Agregated cites: 1 | paper | |
2013 | Economic valuation of liquidity timing In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 10 |
2013 | Economic Valuation of Liquidity Timing.(2013) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | paper | |
2019 | An asset pricing approach to testing general term structure models In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 1 |
2016 | Dynamic Factor Models for the Volatility Surface? In: Advances in Econometrics. [Full Text][Citation analysis] | chapter | 0 |
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 nother 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 | 4 |
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 | 32 |
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 |
2008 | Customer flow, intermediaries, and the discovery of the equilibrium riskfree rate In: CFS Working Paper Series. [Full Text][Citation analysis] | paper | 2 |
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