Michel van der Wel's Resume

Resume
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ACADEMIC AFFILIATIONS

2008-Present Erasmus University Rotterdam, Econometric Institute

Associate Professor (until Dec 2013 Assistant Professor)

2008-Present CREATES, Aarhus University

International Research Fellow (until Aug 2010 Visiting Postdoc)

2009-Present Tinbergen Institute

Research Fellow (until Jul 2012 Candidate Research Fellow)

2009-Present Erasmus Research Institute of Management

Member (until Aug 2013 Associate Member)

October 2006 Federal Reserve Bank of New York

Visiting Scholar

2003-2004 VU University Amsterdam

Research Assistant

EDUCATION

2004-2008 Tinbergen Institute, VU University Amsterdam

PhD in Economics

Dissertation: Riskfree Rate Dynamics

1999-2004 VU University Amsterdam

Master of Science in Econometrics and Operations Research

Thesis: Estimation and Simulation Procedures for Affine Term Structure Models

RESEARCH INTERESTS

Financial econometrics, time series econometrics, term structure modeling, macro-finance interaction

PUBLICATIONS

- Christensen, B.J., and M. van der Wel (2018). An Asset Pricing Approach to Testing General Term Structure Models. Journal of Financial Economics, forthcoming

- Nibbering, D., R. Paap and M. van der Wel (2018). What do Professional Forecasters actually predict? International Journal of Forecasting, 34:2, p288-311

- Opschoor, A., D.J. van Dijk and M. van der Wel (2017). Combining Density Forecasts Using Censored Likelihood Scoring Rules. Journal of Applied Econometrics, 32:7, p1298-1313

- Ozturk, S.R., M. van der Wel and D.J. van Dijk (2017). Intraday Price Discovery in Fragmented Markets. Journal of Financial Markets, 32, p28-48

- Christensen, B.J., O. Posch and M. van der Wel (2016). Estimating Dynamic Equilibrium Models using Mixed Frequency Macro and Financial Data. Journal of Econometrics, 194:1, p116-137

- Van Dijk, D.J., R.L. Lumsdaine and M. van der Wel (2016). Market Set-Up in Advance of Federal Reserve Policy Rate Decisions. Economic Journal, 126, p618-653

- Van der Wel, M., S.R. Ozturk and D.J. van Dijk (2016). Dynamic Factor Models for the Volatility Surface. Advances in Econometrics, 35, p127-174

- Van Dijk, D.J., S.J. Koopman, M. van der Wel and J.H. Wright (2014). Forecasting Interest Rates with Shifting Endpoints. Journal of Applied Econometrics, 29:5, p693-712

- Jungbacker, B., S.J. Koopman and M. van der Wel (2014). Smooth Dynamic Factor Analysis with Application to the U.S. Term Structure of Interest Rates. Journal of Applied Econometrics, 29:1, p65-90

- Opschoor, A., D.J. van Dijk and M. van der Wel (2014). Predicting Volatility and Correlations with Financial Conditions Indexes. Journal of Empirical Finance, 29, p435-447

- Opschoor, A., M. van der Wel, D.J. van Dijk and N. Taylor (2014). Order Flow and Volatility: An Empirical Investigation. Journal of Empirical Finance, 28, p185-201

- Karstanje, D., E. Sojli, W.W. Tham and M. van der Wel (2013). Economic Valuation of Liquidity Timing. Journal of Banking and Finance, 37:12, p5073-5087

- Koopman, S.J., and M. van der Wel (2013). Forecasting the U.S. Term Structure of Interest Rates Using a Macroeconomic Smooth Dynamic Factor Model. International Journal of Forecasting, 29:4, p676-694

- Menkveld, A.J., A. Sarkar and M. van der Wel (2012). Customer Order Flow, Intermediaries, and Discovery of the Equilibrium Risk-free Rate. Journal of Financial and Quantitative Analysis, 47:4, p821-849

- Jungbacker, B., S.J. Koopman and M. van der Wel (2011). Maximum Likelihood Estimation for Dynamic Factor Models with Missing Data. Journal of Economic Dynamics and Control, 35:8, p1358-1368

- Koopman, S.J., M. Mallee and M. van der Wel (2010). Analyzing the Term Structure of Interest Rates using the Dynamic Nelson-Siegel Model with Time-Varying Parameters. Journal of Business and Economic Statistics, 28:3, p329-343

WORKING PAPERS

- Karstanje, D., M. van der Wel and Dick van Dijk (2017). Common Factors in Commodity Futures Curves

- Nibbering, D., R. Paap and M. van der Wel (2016). A Bayesian Infinite Hidden Markov Vector Autoregressive Model

- Ozturk, S.R., M. van der Wel and D.J. van Dijk (2016). Why do Pit-Hours Outlive the Pit?

- Pan, L., O. Posch and M. van der Wel (2012). Measuring Convergence using Dynamic Equilibrium Models: Evidence from Chinese Provinces

- Van der Wel, M., A.J. Menkveld and A. Sarkar (2009). Are Market Makers Uninformed and Passive? Signing Trades in the Absence of Quotes

GRANTS AND HONORS (selection)

- Top Researcher 2016 Award at the Erasmus School of Economics

- Top Lecturer 2015 Award at the Erasmus School of Economics, as part of MOOC team

- Netherlands Organization for Scientific Research (NWO) Veni Grant to fund research during 2012-2014 (EUR 250,000)

- VU PhD Fund Grant to co-fund 2006 working visit to Federal Reserve Bank of New York (EUR 1,200)

CO-SUPERVISION OF PHD STUDENTS

- Xun Gong (Michael), "Forecasting the Implied Volatility Surface," joint with Dick van Dijk (expected graduation 2019)

- Didier Nibbering, "Common Structural Breaks in Multivariate Macroeconomic Time Series," joint with Richard Paap (graduated July 5, 2018)

- Sait Ozturk, "Essays on Price Discovery in Stock and Option Markets," joint with Dick van Dijk (graduated September 16, 2016)

- Dennis Karstanje, "The Role of Commodities in Asset Allocation," joint with Wing Wah Tham and Dick van Dijk (graduated March 26, 2015)

- Anne Opschoor, "Understanding Financial Market Volatility," joint with Dick van Dijk (graduated February 20, 2014)

TEACHING EXPERIENCE (selection)

2017-present Teacher of MSc course "Quantitative Methods in Fixed Income"

2015-Present Instructor for MOOC "Econometrics: Methods and Applications"

2014-Present Teacher of second year BA course "Econometrics 2"

2013-Present Teacher of PhD/MPhil course "Seminar Asset Pricing"

2008-2016 Teacher of MSc course "Financial Derivatives"

2008-2017 (Occasional) Supervisor in MSc course "Financial Case Studies"

2009-2012 Teacher of first year BA course "Basic Math"

2009-2011 Teacher of second year BA course "Case Studies"

MANAGEMENT

2017-present Academic Director Master Specialization Econometrics

2013-2017 Member of Educational Committee of the Econometrics program

ACADEMIC AFFILIATIONS
2008-Present	Erasmus University Rotterdam, Econometric Institute
	Associate Professor (until Dec 2013 Assistant Professor)
2008-Present	CREATES, Aarhus University
	International Research Fellow (until Aug 2010 Visiting Postdoc)
2009-Present	Tinbergen Institute
	Research Fellow (until Jul 2012 Candidate Research Fellow)
2009-Present	Erasmus Research Institute of Management
	Member (until Aug 2013 Associate Member)
October 2006	Federal Reserve Bank of New York
	Visiting Scholar
2003-2004	VU University Amsterdam
	Research Assistant

EDUCATION
2004-2008	Tinbergen Institute, VU University Amsterdam
	PhD in Economics
	Dissertation: Riskfree Rate Dynamics
1999-2004	VU University Amsterdam
	Master of Science in Econometrics and Operations Research
	Thesis: Estimation and Simulation Procedures for Affine Term Structure Models

RESEARCH INTERESTS
Financial econometrics, time series econometrics, term structure modeling, macro-finance interaction

PUBLICATIONS
- Christensen, B.J., and M. van der Wel (2018). An Asset Pricing Approach to Testing General Term Structure Models. Journal of Financial Economics, forthcoming
- Nibbering, D., R. Paap and M. van der Wel (2018). What do Professional Forecasters actually predict? International Journal of Forecasting, 34:2, p288-311
- Opschoor, A., D.J. van Dijk and M. van der Wel (2017). Combining Density Forecasts Using Censored Likelihood Scoring Rules. Journal of Applied Econometrics, 32:7, p1298-1313
- Ozturk, S.R., M. van der Wel and D.J. van Dijk (2017). Intraday Price Discovery in Fragmented Markets. Journal of Financial Markets, 32, p28-48
- Christensen, B.J., O. Posch and M. van der Wel (2016). Estimating Dynamic Equilibrium Models using Mixed Frequency Macro and Financial Data. Journal of Econometrics, 194:1, p116-137
- Van Dijk, D.J., R.L. Lumsdaine and M. van der Wel (2016). Market Set-Up in Advance of Federal Reserve Policy Rate Decisions. Economic Journal, 126, p618-653
- Van der Wel, M., S.R. Ozturk and D.J. van Dijk (2016). Dynamic Factor Models for the Volatility Surface. Advances in Econometrics, 35, p127-174
- Van Dijk, D.J., S.J. Koopman, M. van der Wel and J.H. Wright (2014). Forecasting Interest Rates with Shifting Endpoints. Journal of Applied Econometrics, 29:5, p693-712
- Jungbacker, B., S.J. Koopman and M. van der Wel (2014). Smooth Dynamic Factor Analysis with Application to the U.S. Term Structure of Interest Rates. Journal of Applied Econometrics, 29:1, p65-90
- Opschoor, A., D.J. van Dijk and M. van der Wel (2014). Predicting Volatility and Correlations with Financial Conditions Indexes. Journal of Empirical Finance, 29, p435-447
- Opschoor, A., M. van der Wel, D.J. van Dijk and N. Taylor (2014). Order Flow and Volatility: An Empirical Investigation. Journal of Empirical Finance, 28, p185-201
- Karstanje, D., E. Sojli, W.W. Tham and M. van der Wel (2013). Economic Valuation of Liquidity Timing. Journal of Banking and Finance, 37:12, p5073-5087
- Koopman, S.J., and M. van der Wel (2013). Forecasting the U.S. Term Structure of Interest Rates Using a Macroeconomic Smooth Dynamic Factor Model. International Journal of Forecasting, 29:4, p676-694
- Menkveld, A.J., A. Sarkar and M. van der Wel (2012). Customer Order Flow, Intermediaries, and Discovery of the Equilibrium Risk-free Rate. Journal of Financial and Quantitative Analysis, 47:4, p821-849
- Jungbacker, B., S.J. Koopman and M. van der Wel (2011). Maximum Likelihood Estimation for Dynamic Factor Models with Missing Data. Journal of Economic Dynamics and Control, 35:8, p1358-1368
- Koopman, S.J., M. Mallee and M. van der Wel (2010). Analyzing the Term Structure of Interest Rates using the Dynamic Nelson-Siegel Model with Time-Varying Parameters. Journal of Business and Economic Statistics, 28:3, p329-343

WORKING PAPERS
- Karstanje, D., M. van der Wel and Dick van Dijk (2017). Common Factors in Commodity Futures Curves
- Nibbering, D., R. Paap and M. van der Wel (2016). A Bayesian Infinite Hidden Markov Vector Autoregressive Model
- Ozturk, S.R., M. van der Wel and D.J. van Dijk (2016). Why do Pit-Hours Outlive the Pit?
- Pan, L., O. Posch and M. van der Wel (2012). Measuring Convergence using Dynamic Equilibrium Models: Evidence from Chinese Provinces
- Van der Wel, M., A.J. Menkveld and A. Sarkar (2009). Are Market Makers Uninformed and Passive? Signing Trades in the Absence of Quotes

GRANTS AND HONORS (selection)
- Top Researcher 2016 Award at the Erasmus School of Economics
- Top Lecturer 2015 Award at the Erasmus School of Economics, as part of MOOC team
- Netherlands Organization for Scientific Research (NWO) Veni Grant to fund research during 2012-2014 (EUR 250,000)
- VU PhD Fund Grant to co-fund 2006 working visit to Federal Reserve Bank of New York (EUR 1,200)

CO-SUPERVISION OF PHD STUDENTS
- Xun Gong (Michael), "Forecasting the Implied Volatility Surface," joint with Dick van Dijk (expected graduation 2019)
- Didier Nibbering, "Common Structural Breaks in Multivariate Macroeconomic Time Series," joint with Richard Paap (graduated July 5, 2018)
- Sait Ozturk, "Essays on Price Discovery in Stock and Option Markets," joint with Dick van Dijk (graduated September 16, 2016)
- Dennis Karstanje, "The Role of Commodities in Asset Allocation," joint with Wing Wah Tham and Dick van Dijk (graduated March 26, 2015)
- Anne Opschoor, "Understanding Financial Market Volatility," joint with Dick van Dijk (graduated February 20, 2014)

TEACHING EXPERIENCE (selection)
2017-present	Teacher of MSc course "Quantitative Methods in Fixed Income"
2015-Present	Instructor for MOOC "Econometrics: Methods and Applications"
2014-Present	Teacher of second year BA course "Econometrics 2"
2013-Present	Teacher of PhD/MPhil course "Seminar Asset Pricing"
2008-2016	Teacher of MSc course "Financial Derivatives"
2008-2017	(Occasional) Supervisor in MSc course "Financial Case Studies"
2009-2012	Teacher of first year BA course "Basic Math"
2009-2011	Teacher of second year BA course "Case Studies"

MANAGEMENT
2017-present	Academic Director Master Specialization Econometrics
2013-2017	Member of Educational Committee of the Econometrics program