Publications

On this part of the site you can find a list of my publications, with link to the journal version and the most recent working paper version. For questions, suggestions, comments, or anything else related to my research please feel free to contact me at: vanderwel@ese.eur.nl.

Nonstandard Errors. Journal of Finance (2024) forthcoming. Crowd-sourced finance paper with 341 authors, where I was part of the crowd; the first nine authors deserve the credit (not me, but happy to have contributed). Please click on the title to find the paper on Wiley (it is open access), or click here for a late working paper version.

Heterogeneous Macro and Financial Effects of ECB Asset Purchase Programs. Journal of International Money and Finance (2024) 143, article 103073.. Joint work with Terri van der Zwan and Erik Kole. Please click on the title to find the paper on Science Direct website (it is open access), or click here for a late working paper version.

Modelling Sovereign Credit Ratings: Evaluating the Accuracy and Driving Factors using Machine Learning Techniques. Computational Economics (2023) 61, p1273-1303. Joint work with Bart Overes. Please click on the title to find the paper on Springer (it is open access), or click here for a late working paper version.

An Asset Pricing Approach to Testing General Term Structure Models. Journal of Financial Economics (2019) 134:1, p165-191. Joint work with Bent Jesper Christensen. Please click on the title to find the paper on Science Direct website, or click here for a late working paper version.

What do Professional Forecasters actually predict? International Journal of Forecasting (2018) 34:2, p288-311. Joint work with Didier Nibbering and Richard Paap Please click on the title to find the paper on Science Direct website, or click here for a late working paper version.

Combining Density Forecasts Using Focused Scoring Rules. Journal of Applied Econometrics, (2017) 32:7, p1298-1313. Joint work with Anne Opschoor and Dick van Dijk. Please click on the title to find the paper on the Wiley website [the article is open access!], or click here for a late working paper version. The data are available through the JAE website.

Intraday Price Discovery in Fragmented Markets. Journal of Financial Markets (2017) 32, p28-48. Joint work with Sait Ozturk and Dick van Dijk. Please click on the title to find the paper on the Science Direct website, or click here for a late working paper version. The web appendix is available with a link on the first page of the working paper version.

Estimating Dynamic Equilibrium Models using Mixed Frequency Macro and Financial Data. Journal of Econometrics (2016) 194:1, p116-137. Joint work with Bent Jesper Christensen and Olaf Posch. Please click on the title to find the paper on the Science Direct website, or click here for a late working paper version. The web appendix is included at the end of the working paper version.

Market Set-Up in Advance of Federal Reserve Policy Rate Decisions. Economic Journal (2016) 126, p618-653. Joint work with Dick van Dijk and Robin Lumsdaine. Please click on the title to find the paper on the Wiley website, or click here for a late working paper version. Supporting information (the web appendix and a zip with all code) is available also from the Wiley website.

Dynamic Factor Models for the Volatility Surface. Advances in Econometrics (2016) 35, p127-174. First author, joint work with Sait Ozturk and Dick van Dijk. Please click on the title to find the paper on the Emerald website, or click here for a late working paper version. The appendix tables and figures are included at the end of both the journal and working paper version.

Forecasting Interest Rates with Shifting Endpoints. Journal of Applied Econometrics (2014) 29:5, p693-712. Joint work with Dick van Dijk, Siem Jan Koopman and Jonathan Wright. Please click on the title to find a the paper on the Wiley website, or click here for a late working paper version. The SSRN version includes the web-appendix at the back of the PDF. The data are available through the JAE website.

Smooth Dynamic Factor Analysis with Application to the U.S. Term Structure of Interest Rates. Journal of Applied Econometrics (2014) 29:1, p65-90. Joint work with Borus Jungbacker and Siem Jan Koopman. Please click on the title to find a the paper on the Wiley website, or click here for a late working paper version. The data are available through the JAE website. The first working paper version from March 2009 contains some additional results, including in-sample tests for affine models and alternative factor dynamic specifications.

Predicting Volatility and Correlations with Financial Conditions Indexes. Journal of Empirical Finance, (2014) 29, p435-447. Joint work with Anne Opschoor and Dick van Dijk. Please click on the title to find the paper on the Science Direct website, or click here for a late working paper version.

Order Flow and Volatility: An Empirical Investigation. Journal of Empirical Finance (2014) 28, p185-201. Joint work with Anne Opschoor, Dick van Dijk and Nick Taylor. Please click on the title to find a the paper on the Science Direct website, or click here for a late working paper version.

Economic Valuation of Liquidity Timing. Journal of Banking and Finance (2013) 37:12, p5073-5087. Joint work with Dennis Karstanje, Elvira Sojli and Wing Wah Tham. Please click on the title to find the paper on the Science Direct website, or click here for a late working paper version.

Forecasting the U.S. Term Structure of Interest Rates Using a Macroeconomic Smooth Dynamic Factor Model. International Journal of Forecasting (2013) 29:4, p676-694. Joint work with Siem Jan Koopman. Please click on the title to find the paper on the Science Direct website, or click here for a late working paper version. A discussion of the paper is also included in the issue.

Customer Order Flow, Intermediaries, and Discovery of the Equilibrium Risk-free Rate. Journal of Financial and Quantitative Analysis (2012) 47:4, p821-849. Joint work with Albert Menkveld and Asani Sarkar. Please click on the title to find the paper on the Cambridge Journals website, or click here for a late working paper version. Click here for the web appendix.

Maximum Likelihood Estimation for Dynamic Factor Models with Missing Data. Journal of Economic Dynamics and Control (2011) 35:8, p1358-1368. Joint work with Borus Jungbacker and Siem Jan Koopman. Please click on the title to find the paper on ScienceDirect, or click here for a late working paper version.

Analyzing the Term Structure of Interest Rates using the Dynamic Nelson-Siegel Model with Time-Varying Parameters. Journal of Business and Economic Statistics (2010) 28:3, p329-343. Joint work with Siem Jan Koopman and Max Mallee. Please click on the title to find the paper on the ASA website, or click here for a late working paper version.