| Analyzing the term structure of interest rates using the dynamic Nelson–Siegel model with time-varying parameters SJ Koopman, MIP Mallee, M Van der Wel Journal of Business & Economic Statistics 28 (3), 329-343, 2010 | 232 | 2010 |
| Maximum likelihood estimation for dynamic factor models with missing data B Jungbacker, SJ Koopman, M Van der Wel Journal of Economic Dynamics and Control 35 (8), 1358-1368, 2011 | 110* | 2011 |
| Forecasting interest rates with shifting endpoints D Van Dijk, SJ Koopman, M Van der Wel, JH Wright Journal of Applied Econometrics 29 (5), 693-712, 2014 | 74 | 2014 |
| Smooth Dynamic Factor Analysis with Application to the US Term Structure of Interest Rates B Jungbacker, SJ Koopman, M Wel Journal of Applied Econometrics, 2013 | 73* | 2013 |
| Intraday Price Discovery in Fragmented Markets S Ozturk, M Van der Wel, D Van Dijk Tinbergen Institute Discussion Papers, 2014 | 64* | 2014 |
| Forecasting the US term structure of interest rates using a macroeconomic smooth dynamic factor model SJ Koopman, M Van der Wel International Journal of Forecasting 29 (4), 676-694, 2013 | 57 | 2013 |
| Customer order flow, intermediaries, and discovery of the equilibrium risk-free rate AJ Menkveld, A Sarkar, M Wel Journal of Financial and Quantitative Analysis 47 (04), 821-849, 2012 | 56* | 2012 |
| Combining density forecasts using focused scoring rules A Opschoor, D van Dijk, M van der Wel Journal of Applied Econometrics 32 (7), 1298-1313, 2017 | 54 | 2017 |
| Non-standard errors AJ Menkveld, A Dreber, F Holzmeister, J Huber, M Johannesson, ... | 46 | 2022 |
| Predicting volatility and correlations with Financial Conditions Indexes A Opschoor, D van Dijk, M van der Wel Journal of Empirical Finance 29, 435-447, 2014 | 32 | 2014 |
| Order flow and volatility: An empirical investigation A Opschoor, N Taylor, M van der Wel, D van Dijk Journal of Empirical Finance 28, 185-201, 2014 | 28 | 2014 |
| Common Factors in Commodity Futures Curves D Karstanje, M Van der Wel, DJC Van Dijk Available at SSRN 2558014, 2015 | 26 | 2015 |
| Economic valuation of liquidity timing D Karstanje, E Sojli, WW Tham, M van der Wel Journal of Banking & Finance 37 (12), 5073-5087, 2013 | 23 | 2013 |
| Estimating dynamic equilibrium models using mixed frequency macro and financial data BJ Christensen, O Posch, M van der Wel Journal of Econometrics 194 (1), 116-137, 2016 | 22* | 2016 |
| An Asset Pricing Approach to Testing General Term Structure Models BJ Christensen, M van der Wel | 22 | 2016 |
| Market Set-Up in Advance of Federal Reserve Policy Decisions D van Dijk, RL Lumsdaine, M Van der Wel National Bureau of Economic Research, 2014 | 14* | 2014 |
| Modelling sovereign credit ratings: Evaluating the accuracy and driving factors using machine learning techniques BHL Overes, M van der Wel Computational Economics 61 (3), 1273-1303, 2023 | 13 | 2023 |
| Are market makers uninformed and passive? Signing trades in the absence of quotes M Van der Wel, AJ Menkveld, A Sarkar Signing Trades in the Absence of Quotes (September 1, 2009). FRB of New York …, 2009 | 12* | 2009 |
| Riskfree Rate Dynamics: Information, Trading and State Space Modeling M Wel Amsterdam: Vrije Universiteit, 2008 | 11* | 2008 |
| Riskfree Rate Dynamics: Information M VAN DER WEL Trading, and State Space Modeling, 0 | 11* | |
Dick van DijkProfessor of Financial Econometrics, Erasmus University RotterdamGeverifieerd e-mailadres voor ese.eur.nl
