Personal profile
Research interests
Michel van der Wel is Vice Dean Education at the Erasmus School of Economics and Full Professor at the Econometric Institute with the Erasmus School of Economics of the Erasmus University Rotterdam. His main research areas are financial econometrics, time series econometrics, term structure modeling and the macro-finance interaction. His work has been published in journals in the fields of econometrics, economics and finance, such as the Economic Journal, Journal of Applied Econometrics, Journal of Business and Economic Statistics, Journal of Econometrics, Journal of Financial and Quantitative Analysis, Journal of Financial Economics, and the Journal of Financial Markets. He teaches a course on fixed income modeling in the MSc program specializing in Quantitative Finance, and has taught numerous courses in the bachelor program of Econometrics.
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Collaborations and top research areas from the last five years
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Global evidence on unspanned macro risks in dynamic term structure models
van der Wel, M. & Zhang, Y., Apr 2026, In: Journal of Banking and Finance. 185, 107656.Research output: Contribution to journal › Article › Academic › peer-review
Open Access -
A Smooth Shadow-Rate Dynamic Nelson-Siegel Model for Yields at the Zero Lower Bound
Opschoor, D. & van der Wel, M., 2025, In: Journal of Business and Economic Statistics. 43, 2, p. 298-311 14 p.Research output: Contribution to journal › Article › Academic › peer-review
Open AccessFile2 Citations (Scopus)145 Downloads (Pure) -
Nonstandard Errors
Menkveld, A. J., Dreber, A., Holzmeister, F., Huber, J., Johannesson, M., Kirchler, M., Neususs, S., Razen, M., Weitzel, U., Abad-Diaz, D., Abudy, M., Adrian, T., Ait-Sahalia, Y., Akmansoy, O., Alcock, J. T., Alexeev, V., Aloosh, A., Amato, L., Amaya, D. & Angel, J. J. & 30 others, , Jun 2024, In: Journal of Finance. 79, 3, p. 2339-2390 52 p.Research output: Contribution to journal › Article › Academic › peer-review
Open AccessFile55 Citations (Scopus)34 Downloads (Pure) -
Heterogeneous macro and financial effects of ECB asset purchase programs
van der Zwan, T., Kole, E. & van der Wel, M., May 2024, In: Journal of International Money and Finance. 143, 17 p., 103073.Research output: Contribution to journal › Article › Academic › peer-review
Open AccessFile3 Citations (Scopus)62 Downloads (Pure) -
Modelling Sovereign Credit Ratings: Evaluating the Accuracy and Driving Factors using Machine Learning Techniques
Overes, B. H. L. & van der Wel, M., Mar 2023, In: Computational Economics. 61, 3, p. 1273-1303 31 p.Research output: Contribution to journal › Article › Academic › peer-review
Open AccessFile8 Citations (Scopus)108 Downloads (Pure)