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)

7

H index

3

i10 index

163

Citations

RESEARCH PRODUCTION:

12

Articles

28

Papers

1

Chapters

RESEARCH ACTIVITY:

   11 years (2007 - 2018). See details.
   Cites by year: 14
   Journals where Michel van der Wel has often published
   Relations with other researchers
   Recent citing documents: 58.    Total self citations: 8 (4.68 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pva361
   Updated: 2019-11-16    RAS profile: 2019-10-21    
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Relations with other researchers


Works with:

van Dijk, Dick (8)

Ozturk, Sait (4)

Christensen, Bent Jesper (3)

Posch, Olaf (3)

Sojli, Elvira (2)

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 (9)

Korobilis, Dimitris (9)

Byrne, Joseph (9)

Guidolin, Massimo (5)

Koopman, Siem Jan (4)

Mesters, Geert (4)

Marcellino, Massimiliano (4)

Shin, Minchul (4)

Ruiz, Esther (3)

Schienle, Melanie (3)

Modugno, Michele (3)

Cites to:

Diebold, Francis (35)

Koopman, Siem Jan (19)

Reichlin, Lucrezia (18)

Giannone, Domenico (15)

Watson, Mark (15)

Engle, Robert (15)

Rudebusch, Glenn (14)

Bollerslev, Tim (14)

Andersen, Torben (13)

Shephard, Neil (13)

Vega, Clara (12)

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 (2019 and 2018)


YearTitle of citing document
2018Models with Multiplicative Decomposition of Conditional Variances and Correlations. (2018). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Amado, Cristina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2018-14.

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2018Realizing Correlations Across Asset Classes. (2018). Vander Elst, Harry ; Olesen, Kasper V ; Lunde, Asger ; Gronborg, Niels S. In: CREATES Research Papers. RePEc:aah:create:2018-37.

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2018Multi-scale analysis of lead-lag relationships in high-frequency financial markets. (2018). Koike, Yuta ; Hayashi, Takaki. In: Papers. RePEc:arx:papers:1708.03992.

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2018Structural analysis with mixed-frequency data: A MIDAS-SVAR model of US capital flows. (2018). Rossi, Eduardo ; Missale, Alessandro ; Bastianin, Andrea ; Bacchiocchi, Emanuele. In: Papers. RePEc:arx:papers:1802.00793.

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2019Multiscale Features of Cross Correlation of Price and Trading Volume. (2019). Jafari, Reza G ; Haven, Emmanuel ; Osoolian, Mohammad ; Ardalankia, Jamshid. In: Papers. RePEc:arx:papers:1903.01744.

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

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2019Forecasting and Trading Monetary Policy Switching Nelson-Siegel Models. (2019). Guidolin, Massimo ; Pedio, Manuela. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp19106.

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2018Short term forecasts of economic activity: are fortnightly factors useful?. (2018). Monteforte, Libero ; Raponi, Valentina. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1177_18.

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2018A Rotated Dynamic Nelson†Siegel Model. (2018). Nyholm, Ken. In: Economic Notes. RePEc:bla:ecnote:v:47:y:2018:i:1:p:113-124.

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2018Resurrecting the New-Keynesian Model: (Un)conventional Policy and the Taylor Rule. (2018). Posch, Olaf. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6925.

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2017A dynamic Nelson-Siegel yield curve model with Markov switching. (2017). Levant, Jared ; Ma, Jun. In: Economic Modelling. RePEc:eee:ecmode:v:67:y:2017:i:c:p:73-87.

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2017Liquidity Commonality in Foreign Exchange Markets During the Global Financial Crisis and the Sovereign Debt Crisis: Effects of Macroeconomic and Quantitative Easing Announcements. (2017). Gau, Yin-Feng ; Hsu, Chih-Chiang ; Chang, Ya-Ting. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:172-192.

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2018Forecasting the yield curve using a dynamic natural cubic spline model. (2018). Feng, Pan ; Qian, Junhui. In: Economics Letters. RePEc:eee:ecolet:v:168:y:2018:i:c:p:73-76.

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2018Semiparametric estimation under shape constraints. (2018). Wu, Ximing ; Sickles, Robin . In: Econometrics and Statistics. RePEc:eee:ecosta:v:6:y:2018:i:c:p:74-89.

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2018Macroeconomic determinants of the term structure: Long-run and short-run dynamics. (2018). Doshi, Hitesh ; Liu, Rui ; Jacobs, Kris. In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:99-122.

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2019Information or noise: What does algorithmic trading incorporate into the stock prices?. (2019). Elliott, Robert J ; Zhou, Hao ; Kalev, Petko S. In: International Review of Financial Analysis. RePEc:eee:finana:v:63:y:2019:i:c:p:27-39.

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2018Causality in the EMU sovereign bond markets. (2018). Gonzalez-Sanchez, Mariano. In: Finance Research Letters. RePEc:eee:finlet:v:26:y:2018:i:c:p:281-290.

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2018Something in the air: Information density, news surprises, and price jumps. (2018). Füss, Roland ; Stein, Michael ; Mager, Ferdinand ; Grabellus, Markus ; Fuss, Roland ; ROLAND FSS, . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:53:y:2018:i:c:p:50-75.

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2017Does realized volatility help bond yield density prediction?. (2017). Shin, Minchul ; Zhong, Molin. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:2:p:373-389.

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2017Now-casting the Japanese economy. (2017). Bragoli, Daniela. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:2:p:390-402.

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2017Business tendency surveys and macroeconomic fluctuations. (2017). Scheufele, Rolf ; Kaufmann, Daniel. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:4:p:878-893.

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2018Predictions of short-term rates and the expectations hypothesis. (2018). Guidolin, Massimo ; Thornton, Daniel L. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:4:p:636-664.

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2018Jumps, cojumps, and efficiency in the spot foreign exchange market. (2018). Piccotti, Louis R. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:87:y:2018:i:c:p:49-67.

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2018Factors of the term structure of sovereign yield spreads. (2018). Trueck, Stefan ; Truck, Stefan ; Wellmann, Dennis. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:81:y:2018:i:c:p:56-75.

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2018What does the yield curve imply about investor expectations?. (2018). Gaus, Eric ; Sinha, Arunima. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:57:y:2018:i:c:p:248-265.

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2018The effect of pit closure on futures trading. (2018). Onur, Esen ; Gousgounis, Eleni . In: Journal of Commodity Markets. RePEc:eee:jocoma:v:10:y:2018:i:c:p:69-90.

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2018Global price discovery in the Australian dollar market and its determinants. (2018). Su, Fei ; Zhang, Jingjing. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:48:y:2018:i:c:p:35-55.

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2018Price discovery in Chinas inter-bank bond market. (2018). Wu, Lei ; Zeng, Hongchao ; Meng, Qingbin ; Liu, Chunlin. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:48:y:2018:i:c:p:84-98.

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2017Improving on daily measures of price discovery. (2017). Fernandes, Marcelo ; Scherrer, Cristina Mabel ; Dias, Gustavo Fruet. In: Textos para discussão. RePEc:fgv:eesptd:444.

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2017Common Factors, Trends, and Cycles in Large Datasets. (2017). Luciani, Matteo ; Barigozzi, Matteo. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2017-111.

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2019A Parametric Factor Model of the Term Structure of Mortality. (2019). , Carsten ; Haldrup, Niels. In: Econometrics. RePEc:gam:jecnmx:v:7:y:2019:i:1:p:9-:d:212850.

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2019Improved Covariance Matrix Estimation for Portfolio Risk Measurement: A Review. (2019). Sathye, Milind ; Liu, Shuangzhe ; Ma, Tiefeng ; Sun, Ruili. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:1:p:48-:d:216804.

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2019Dynamic Factor Models. (2019). Fuleky, Peter ; Doz, Catherine . In: Working Papers. RePEc:hae:wpaper:2019-4.

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2019Dynamic Factor Models. (2019). Fuleky, Peter ; Doz, Catherine . In: PSE Working Papers. RePEc:hal:psewpa:halshs-02262202.

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2019Forecasting and Trading Monetary Policy Effects on the Riskless Yield Curve with Regime Switching Nelson‐Siegel Models. (2019). Guidolin, Massimo ; Pedio, Manuela. In: Working Papers. RePEc:igi:igierp:639.

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2018The Causal Relationships between Inflation and Inflation Uncertainty. (2018). JAWADI, Fredj ; Barnett, William ; Ftiti, Zied. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:201803.

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2018Models with Multiplicative Decomposition of Conditional Variances and Correlations. (2018). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Amado, Cristina ; Terasvirta, Timo. In: NIPE Working Papers. RePEc:nip:nipewp:07/2018.

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2018Forecasting Bond Yields with Segmented Term Structure Models. (2018). Almeida, Caio ; Vicente, Jose ; Simonsen, Axel ; Kubudi, Daniela ; Ardison, Kym . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:16:y:2018:i:1:p:1-33..

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2017Time-varying correlations and interrelations: Firm-level-based sector evidence. (2017). Evans, P ; McMillan, Fiona J. In: Journal of Asset Management. RePEc:pal:assmgt:v:18:y:2017:i:3:d:10.1057_s41260-016-0034-3.

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2018Modeling and forecasting commodity market volatility with long-term economic and financial variables. (2018). Walther, Thomas ; Nguyen, Duc Khuong. In: MPRA Paper. RePEc:pra:mprapa:84464.

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2018The Causal Relationships between Inflation and Inflation Uncertainty. (2018). JAWADI, Fredj ; Barnett, William ; Ftiti, Zied. In: MPRA Paper. RePEc:pra:mprapa:86478.

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2018Should I stay or should I go? A latent threshold approach to large-scale mixture innovation models. (2018). Kastner, Gregor ; Huber, Florian ; Feldkircher, Martin. In: Working Papers in Economics. RePEc:ris:sbgwpe:2018_005.

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2018The Term Structure of Government Bond Yields in an Emerging Market. (2018). Waliullah, ; Bari, Khadija Malik. In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2018:i:3:p:5-28.

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2018Nowcasting Indonesia. (2018). Ramayandi, Arief ; Veronese, Giovanni ; Pundit, Madhavi ; Luciani, Matteo. In: Empirical Economics. RePEc:spr:empeco:v:55:y:2018:i:2:d:10.1007_s00181-017-1288-4.

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2017Term structure forecasting in affine framework with time-varying volatility. (2017). Waliullah, . In: Statistical Methods & Applications. RePEc:spr:stmapp:v:26:y:2017:i:3:d:10.1007_s10260-017-0378-y.

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2017Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities. (2017). Psaradakis, Zacharias ; Sola, Martin. In: Department of Economics Working Papers. RePEc:udt:wpecon:2017_2.

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2018Essays on Price Discovery and Volatility Dynamics in the Foreign Exchange Market. (2018). Su, Fei. In: PhD Thesis. RePEc:uts:finphd:2-2018.

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2018Essays on Price Discovery and Volatility Dynamics in the Foreign Exchange Market. (2018). Su, Fei. In: PhD Thesis. RePEc:uts:finphd:39.

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2019Quantile information share. (2019). Lien, Donald ; Wang, Zijun. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:1:p:38-55.

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2019When stock futures dominate price discovery. (2019). Aggarwal, Nidhi ; Thomas, Susan. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:3:p:263-278.

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2019The impact of the US stock market opening on price discovery of government bond futures. (2019). Tse, Yiuman ; Jiao, Feng ; Indriawan, Ivan. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:7:p:779-802.

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2019A flexible state-space model with lagged states and lagged dependent variables: Simulation smoothing. (2019). Schumacher, Christian ; Zhang, Jiachun ; Hauber, Philipp. In: Discussion Papers. RePEc:zbw:bubdps:152019.

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2018With a little help from my friends: Survey-based derivation of euro area short rate expectations at the effective lower bound. (2018). Schupp, Fabian ; Geiger, Felix. In: Discussion Papers. RePEc:zbw:bubdps:272018.

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2019Testing for an omitted multiplicative long-term component in GARCH models. (2019). Schienle, Melanie ; Conrad, Christian. In: Working Paper Series in Economics. RePEc:zbw:kitwps:121.

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2018With a little help from my friends: Survey-based derivation of euro area short rate expectations at the effective lower bound. (2018). Geiger, Felix ; Schupp, Fabian. In: Annual Conference 2018 (Freiburg, Breisgau): Digital Economy. RePEc:zbw:vfsc18:181529.

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2018Resurrecting the New-Keynesian Model: (Un)conventional Policy and the Taylor rule. (2018). Posch, Olaf. In: Annual Conference 2018 (Freiburg, Breisgau): Digital Economy. RePEc:zbw:vfsc18:181616.

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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.
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paper7
2010An Asset Pricing Approach to Testing General Term Structure Models including Heath-Jarrow-Morton Specifications and Affine Subclasses In: CREATES Research Papers.
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paper0
2011Estimating Dynamic Equilibrium Models using Macro and Financial Data In: CREATES Research Papers.
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paper4
2012On the Effects of Private Information on Volatility In: CREATES Research Papers.
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paper1
2011On the Effects of Private Information on Volatility.(2011) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 1
paper
2012Measuring Convergence using Dynamic Equilibrium Models: Evidence from Chinese Provinces In: CREATES Research Papers.
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paper0
2015Dynamic Factor Models for the Volatility Surface In: CREATES Research Papers.
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paper0
2016Dynamic Factor Models for the Volatility Surface.(2016) In: Advances in Econometrics.
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chapter
2010Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson–Siegel Model With Time-Varying Parameters In: Journal of Business & Economic Statistics.
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article47
2014Estimating Dynamic Equilibrium Models Using Mixed Frequency Macro and Financial Data In: CESifo Working Paper Series.
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paper0
2012Customer Order Flow, Intermediaries, and Discovery of the Equilibrium Risk-Free Rate In: Journal of Financial and Quantitative Analysis.
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article8
2011Maximum likelihood estimation for dynamic factor models with missing data In: Journal of Economic Dynamics and Control.
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article36
2011Maximum likelihood estimation for dynamic factor models with missing data.(2011) In: Post-Print.
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This paper has another version. Agregated cites: 36
paper
2016Estimating dynamic equilibrium models using mixed frequency macro and financial data In: Journal of Econometrics.
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article2
2014Order flow and volatility: An empirical investigation In: Journal of Empirical Finance.
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article6
2014Predicting volatility and correlations with Financial Conditions Indexes In: Journal of Empirical Finance.
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article9
2017Intraday price discovery in fragmented markets In: Journal of Financial Markets.
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article8
2014Intraday Price Discovery in Fragmented Markets.(2014) In: Tinbergen Institute Discussion Papers.
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paper
2013Forecasting the US term structure of interest rates using a macroeconomic smooth dynamic factor model In: International Journal of Forecasting.
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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: 8
paper
2018What do professional forecasters actually predict? In: International Journal of Forecasting.
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article0
2017What Do Professional Forecasters Actually Predict?.(2017) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 0
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2013Economic valuation of liquidity timing In: Journal of Banking & Finance.
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article2
2013Economic Valuation of Liquidity Timing.(2013) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 2
paper
2019An asset pricing approach to testing general term structure models In: Journal of Financial Economics.
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article0
2007Macro news, risk-free rates, and the intermediary: customer orders for thirty-year Treasury futures In: Staff Reports.
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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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2014Market Set-Up in Advance of Federal Reserve Policy Decisions In: NBER Working Papers.
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2018Structural Estimation of Dynamic Macroeconomic Models using Higher-Frequency Financial Data In: 2018 Meeting Papers.
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2007Macro News, Riskfree Rates, and the Intermediary In: Tinbergen Institute Discussion Papers.
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paper0
2007Analyzing the Term Structure of Interest Rates using the Dynamic Nelson-Siegel Model with Time-Varying Parameters In: Tinbergen Institute Discussion Papers.
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paper2
2011Dynamic Factor Analysis in The Presence of Missing Data In: Tinbergen Institute Discussion Papers.
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2010Dynamic Factor Models with Smooth Loadings for Analyzing the Term Structure of Interest Rates In: Tinbergen Institute Discussion Papers.
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2012Forecasting Interest Rates with Shifting Endpoints In: Tinbergen Institute Discussion Papers.
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paper17
2013Predicting Covariance Matrices with Financial Conditions Indexes In: Tinbergen Institute Discussion Papers.
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paper1
2014Improving Density Forecasts and Value-at-Risk Estimates by Combining Densities In: Tinbergen Institute Discussion Papers.
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2015Why do Pit-Hours outlive the Pit? In: Tinbergen Institute Discussion Papers.
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2017A Bayesian Infinite Hidden Markov Vector Autoregressive Model In: Tinbergen Institute Discussion Papers.
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2016Market Set‐up in Advance of Federal Reserve Policy Rate Decisions In: Economic Journal.
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2008Customer flow, intermediaries, and the discovery of the equilibrium riskfree rate In: CFS Working Paper Series.
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paper1

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