Michel van der Wel : Citation Profile

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

10

H index

11

i10 index

321

Citations

RESEARCH PRODUCTION:

12

Articles

30

Papers

1

Chapters

RESEARCH ACTIVITY:

   14 years (2007 - 2021). See details.
   Cites by year: 22
   Journals where Michel van der Wel has often published
   Relations with other researchers
   Recent citing documents: 22.    Total self citations: 10 (3.02 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pva361
   Updated: 2025-12-27    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:

Byrne, Joseph (11)

Cao, Shuo (10)

Korobilis, Dimitris (10)

Poncela, Pilar (9)

Ruiz, Esther (8)

Marcellino, Massimiliano (7)

Ng, Serena (6)

Guidolin, Massimo (6)

Posch, Olaf (6)

Koopman, Siem Jan (6)

Ftiti, Zied (5)

Cites to:

Diebold, Francis (42)

Koopman, Siem Jan (23)

Reichlin, Lucrezia (22)

Watson, Mark (20)

Giannone, Domenico (19)

Rudebusch, Glenn (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
International Journal of Forecasting2
Journal of Empirical Finance2

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 (2025 and 2024)

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

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2025Approximate Factor Models for Functional Time Series. (2025). Otto, Sven ; Salish, Nazarii. In: Papers. RePEc:arx:papers:2201.02532.

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2025A Quantile Nelson-Siegel model. (2024). Rossini, Luca ; Poon, Aubrey ; Iacopini, Matteo ; Zhu, Dan. In: Papers. RePEc:arx:papers:2401.09874.

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2025Estimation and Forecasting of Russian Money Market Yield Curves. (2025). Magzhanov, Timur ; Fedorov, Dmitry ; Kartaev, Philipp. In: Russian Journal of Money and Finance. RePEc:bkr:journl:v:84:y:2025:i:2:p:36-64.

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2024A Constrained Dynamic Nelson-Siegel Model for Monetary Policy Analysis. (2024). Yao, Wenying ; Poon, Aubrey ; Cross, Jamie ; Zhu, Dan. In: Working Papers. RePEc:bny:wpaper:0133.

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2025A Survey-Based Shifting-Endpoint Dynamic Term Structure Model of Interest Rates: Working Paper 2025-03. (2025). McGrane, Michael. In: Working Papers. RePEc:cbo:wpaper:60888.

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2024Learning about the Long Run. (2024). Nakamura, Emi ; Farmer, Leland E ; Steinsson, JN. In: Department of Economics, Working Paper Series. RePEc:cdl:econwp:qt0tn1s1hp.

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2024The liquidity timing ability of mutual funds. (2024). Yin, Zhengnan ; Osullivan, Niall ; Sherman, Meadhbh. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001268.

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2024Vector autoregressions with dynamic factor coefficients and conditionally heteroskedastic errors. (2024). Gorgi, Paolo ; Schaumburg, Julia ; Koopman, Siem Jan. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:2:s0304407624000964.

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2024Estimation of continuous-time linear DSGE models from discrete-time measurements. (2024). Parra-Alvarez, Juan ; Christensen, Bent Jesper ; Neri, Luca. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:2:s0304407624002161.

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2025Inference for large dimensional factor models under general missing data patterns. (2025). Su, Liangjun ; Wang, FA. In: Journal of Econometrics. RePEc:eee:econom:v:250:y:2025:i:c:s0304407625000764.

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

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2025Forecasting interest rates with shifting endpoints: The role of the functional demographic age distribution. (2025). Niu, Linlin ; Hong, Zhiwu ; Chen, Jiazi. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:1:p:153-174.

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2024Trading Activity in the Corporate Bond Market: A SAD Tale of Macro-Announcements and Behavioral Seasonality?. (2024). Forest, James ; Berry, Brian T ; Branch, Ben S. In: Risks. RePEc:gam:jrisks:v:12:y:2024:i:5:p:80-:d:1394432.

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2025An Alternative Approach for Determining the Time-Varying Decay Parameter of the Nelson-Siegel Model. (2025). Lee, Sang-Heon. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:5:d:10.1007_s10614-024-10653-x.

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2024Decomposing Uncertainty in Macro-Finance Term Structure Models. (2024). Byrne, Joseph ; Cao, Shuo. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:14:y:2024:i:3:p:428-449..

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2024Some properties of the maximum loss on loan portfolios. (2024). Vrs, Jzsef. In: Central European Journal of Operations Research. RePEc:spr:cejnor:v:32:y:2024:i:1:d:10.1007_s10100-022-00837-x.

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2025Recurrent double-conditional factor model. (2025). Fieberg, Christian ; Liedtke, Gerrit ; Poddig, Thorsten. In: OR Spectrum: Quantitative Approaches in Management. RePEc:spr:orspec:v:47:y:2025:i:1:d:10.1007_s00291-024-00771-1.

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2025Improving Score-Driven Density Forecasts with an Application to Implied Volatility Surface Dynamics. (2025). Lucas, Andrae ; Lin, Yicong ; Zou, Xia. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20250036.

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2025Measuring and Explaining the CDS-Bond Basis Term-Structure Shape and Dynamics. (2025). Seeger, Norman ; Lucas, Andrae ; Khanna, Yonas. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20250037.

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

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2024The term structure of interest rates and economic activity: Evidence from the COVID‐19 pandemic. (2024). laopodis, nikiforos ; Kouretas, Georgios ; Salachas, Evangelos. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:4:p:1018-1041.

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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]		article85
2014Estimating Dynamic Equilibrium Models Using Mixed Frequency Macro and Financial Data In: CESifo Working Paper Series.
[Full Text][Citation analysis]		paper12
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: 12		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]		article58
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: 58		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]		article11
2013Economic Valuation of Liquidity Timing.(2013) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 11		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]		paper38
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]		article3
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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