Michel van der Wel's News and Updates

News and Updates
Below you can find an overview of updates to my working papers, this site and other news related to me.

Sep. 2, 2022 Happy to look back on a fun and exciting conference Summer! Lots of presentations of joint work at conferences, of five papers. (a) The paper Heterogeneous Macro and Financial Effects of ECB Asset Purchase Programs, joint with Terri van der Zwan and Erik Kole, has been presented at SNDE 2022 (actually that was in March), QFFE 2022, 2022 IAAE Conference, 14th Annual SoFiE Conference and EEA-ESEM Annual Conference 2022. (b) The paper A Smooth Shadow-Rate Dynamic Nelson-Siegel Model for Yields at the Zero Lower Bound, joint with Daan Opschoor, has been presented at QFFE 2022, 2022 IAAE Conference and EEA-ESEM Annual Conference 2022. (c) The paper Robust Inferences for Mixed-Frequency Analysis, joint with Onno Kleen and Andrea Naghi, has been presented at 2022 IAAE Conference and EEA-ESEM Annual Conference 2022. (d) The paper Global Evidence on Unspanned Macro Risks in Dynamic Term Structure Models, joint with Yaoyuan Zhang, has been presented at 14th Annual SoFiE Conference. (e) Finally, the paper Forecasting Bond Risk Premia using Stationary Yield Factors, joint with Tobias Hoogteijling and Martin Martens, has been presented at EFMA 2022 Annual Meetings. I was fortunate enough to travel to SoFiE and EEA-ESEM myself to present.

Sep. 2, 2022 The paper Modelling Sovereign Credit Ratings: Evaluating the Accuracy and Driving Factors using Machine Learning Techniques, joint with Bart Overes, has been accepted for publication and has already appeared in Computational Economics.

Feb. 4, 2022 A few nice updates to share. (1) The paper Heterogeneous Macro and Financial Effects of ECB Asset Purchase Programs, joint with Terri van der Zwan and Erik Kole, is now available online. (2) The paper A Smooth Shadow-Rate Dynamic Nelson-Siegel Model for Yields at the Zero Lower Bound, joint with Daan Opschoor, is now available online. Daan also presented it last December at the 15th International Conference on Computational and Financial Econometrics (CFE 2021). (3) The paper Robust Inferences for Mixed-Frequency Analysis, joint with Onno Kleen and Andrea Naghi, was also presented at the 15th International Conference on Computational and Financial Econometrics (CFE 2021) by Onno. The paper will be available later this year. (4) The paper Non-Standard Errors, in which I was honored and fortunate to play a minor part, has also appeared online.

Jun. 4, 2021 The paper Global Evidence on Unspanned Macro Risks in Dynamic Term Structure Models, joint with Yaoyuan Zhang, is now available online.

Apr. 14, 2021 Again haven't updated the website for a while. Some updates I am happy to share: (1) Since January 1, 2021, I am vice-dean of education at the ESE. (2) The paper Modelling Sovereign Credit Ratings: Evaluating the Accuracy and Driving Factors using Machine Learning Techniques, joint with Bart Overes, is now available online. (3) The paper Forecasting Bond Risk Premia using Stationary Yield Factors, joint with Tobias Hoogteijling and Martin Martens, is now available online. (4) The paper 'Global Evidence on Unspanned Macro Risks in Dynamic Term Structure Models', joint with Yaoyuan Zhang, has been accepted for presentation at the 2021 China International Conference in Finance. Yaoyuan will do the presentation. The paper will be available soon.

Aug. 14, 2020 Back updating the website after a turbulent time. Some updates I am happy to share: (1) Online teaching went well and was fun. For the course 'Econometrie 2' (essentially applied econometrics) I got a 5/5, my first 'perfect score' in a student evaluation. (2) The paper 'Global Evidence on Unspanned Macro Risks in Dynamic Term Structure Models', joint with Yaoyuan Zhang from HKU, has been accepted for presentation at the European Economic Association 2020 (Virtual) Conference. Yaoyuan will do the presentation. The paper will be available later this year. (3) The paper 'Expectations or Surprises: What Really Moves the U.S. Treasury Market?', joint with Deniz Erdemlioglu from IESEG Lille, has been accepted for the Society for Nonlinear Dynamics and Econometrics 2020 (Virtual) Conference. Also this paper will be available at a later time. (4) Starting May 1, 2020, I have been Associate Editor at the International Journal of Forecasting.

Feb. 4, 2020 The resume on this website has been updated. Also happy to share the news that on December 17, 2019, I was awarded the Educational Development Award, and that on January 31, 2020, I held my Inaugural Lecture.

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Sep. 2, 2022	Happy to look back on a fun and exciting conference Summer! Lots of presentations of joint work at conferences, of five papers. (a) The paper Heterogeneous Macro and Financial Effects of ECB Asset Purchase Programs, joint with Terri van der Zwan and Erik Kole, has been presented at SNDE 2022 (actually that was in March), QFFE 2022, 2022 IAAE Conference, 14th Annual SoFiE Conference and EEA-ESEM Annual Conference 2022. (b) The paper A Smooth Shadow-Rate Dynamic Nelson-Siegel Model for Yields at the Zero Lower Bound, joint with Daan Opschoor, has been presented at QFFE 2022, 2022 IAAE Conference and EEA-ESEM Annual Conference 2022. (c) The paper Robust Inferences for Mixed-Frequency Analysis, joint with Onno Kleen and Andrea Naghi, has been presented at 2022 IAAE Conference and EEA-ESEM Annual Conference 2022. (d) The paper Global Evidence on Unspanned Macro Risks in Dynamic Term Structure Models, joint with Yaoyuan Zhang, has been presented at 14th Annual SoFiE Conference. (e) Finally, the paper Forecasting Bond Risk Premia using Stationary Yield Factors, joint with Tobias Hoogteijling and Martin Martens, has been presented at EFMA 2022 Annual Meetings. I was fortunate enough to travel to SoFiE and EEA-ESEM myself to present.

Sep. 2, 2022	The paper Modelling Sovereign Credit Ratings: Evaluating the Accuracy and Driving Factors using Machine Learning Techniques, joint with Bart Overes, has been accepted for publication and has already appeared in Computational Economics.

Feb. 4, 2022	A few nice updates to share. (1) The paper Heterogeneous Macro and Financial Effects of ECB Asset Purchase Programs, joint with Terri van der Zwan and Erik Kole, is now available online. (2) The paper A Smooth Shadow-Rate Dynamic Nelson-Siegel Model for Yields at the Zero Lower Bound, joint with Daan Opschoor, is now available online. Daan also presented it last December at the 15th International Conference on Computational and Financial Econometrics (CFE 2021). (3) The paper Robust Inferences for Mixed-Frequency Analysis, joint with Onno Kleen and Andrea Naghi, was also presented at the 15th International Conference on Computational and Financial Econometrics (CFE 2021) by Onno. The paper will be available later this year. (4) The paper Non-Standard Errors, in which I was honored and fortunate to play a minor part, has also appeared online.

Jun. 4, 2021	The paper Global Evidence on Unspanned Macro Risks in Dynamic Term Structure Models, joint with Yaoyuan Zhang, is now available online.

Apr. 14, 2021	Again haven't updated the website for a while. Some updates I am happy to share: (1) Since January 1, 2021, I am vice-dean of education at the ESE. (2) The paper Modelling Sovereign Credit Ratings: Evaluating the Accuracy and Driving Factors using Machine Learning Techniques, joint with Bart Overes, is now available online. (3) The paper Forecasting Bond Risk Premia using Stationary Yield Factors, joint with Tobias Hoogteijling and Martin Martens, is now available online. (4) The paper 'Global Evidence on Unspanned Macro Risks in Dynamic Term Structure Models', joint with Yaoyuan Zhang, has been accepted for presentation at the 2021 China International Conference in Finance. Yaoyuan will do the presentation. The paper will be available soon.

Aug. 14, 2020	Back updating the website after a turbulent time. Some updates I am happy to share: (1) Online teaching went well and was fun. For the course 'Econometrie 2' (essentially applied econometrics) I got a 5/5, my first 'perfect score' in a student evaluation. (2) The paper 'Global Evidence on Unspanned Macro Risks in Dynamic Term Structure Models', joint with Yaoyuan Zhang from HKU, has been accepted for presentation at the European Economic Association 2020 (Virtual) Conference. Yaoyuan will do the presentation. The paper will be available later this year. (3) The paper 'Expectations or Surprises: What Really Moves the U.S. Treasury Market?', joint with Deniz Erdemlioglu from IESEG Lille, has been accepted for the Society for Nonlinear Dynamics and Econometrics 2020 (Virtual) Conference. Also this paper will be available at a later time. (4) Starting May 1, 2020, I have been Associate Editor at the International Journal of Forecasting.

Feb. 4, 2020	The resume on this website has been updated. Also happy to share the news that on December 17, 2019, I was awarded the Educational Development Award, and that on January 31, 2020, I held my Inaugural Lecture.