Working Papers

On this part of the site you can find a list of my working papers. For questions, suggestions, comments, or anything else related to my research please feel free to contact me at: vanderwel@ese.eur.nl.

A Smooth Shadow-Rate Dynamic Nelson-Siegel Model for Yields at the Zero Lower Bound. Joint work with Daan Opschoor. Please click on the title to find the paper on SSRN.

Global Evidence on Unspanned Macro Risks in Dynamic Term Structure Models. Joint work with Yaoyuan Zhang. Please click on the title to find the paper on SSRN.

Forecasting Bond Risk Premia using Stationary Yield Factors. Joint work with Martin Martens and Tobias Hoogteijling. Please click on the title to find the paper on SSRN.

Common Factors in Commodity Futures Curves. Joint work with Dennis Karstanje and Dick van Dijk. Please click on the title to find the paper on SSRN.

A Bayesian Infinite Hidden Markov Vector Autoregressive Model. Joint work with Didier Nibbering and Richard Paap. Please click on the title to find the paper on SSRN.

Why do the Pit-Hours Outlive the Pit? Joint work with Sait Ozturk and Dick van Dijk. Please click on the title to find the paper on SSRN.

Measuring Convergence using Dynamic Equilibrium Models: Evidence from Chinese Provinces. Joint work with Lei Pan and Olaf Posch. Please click on the title to find the paper on SSRN.

Are Market Makers Uninformed and Passive? Signing Trades in the Absence of Quotes. First author, joint work with Albert Menkveld and Asani Sarkar. Please click on the title to find the paper on SSRN.