Zobrazeno 1 - 10 of 44 pro vyhledávání: '"Michel van der Wel"'
1
Modelling Sovereign Credit Ratings: Evaluating the Accuracy and Driving Factors using Machine Learning Techniques
Autor: Bart H. L. Overes, Michel van der Wel
Publikováno v: Computational Economics, 61(3), 1273-1303. Springer Netherlands
Sovereign credit ratings summarize the creditworthiness of countries. These ratings have a large influence on the economy and the yields at which governments can issue new debt. This paper investigates the use of a multilayer perceptron (MLP), classi
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::4785a17e35d2a0c1d426e6053367c98f
https://pure.eur.nl/en/publications/70fbe612-7544-44c3-9d51-38d31f298902
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3
An asset pricing approach to testing general term structure models
Autor: Bent Jesper Christensen, Michel van der Wel
Publikováno v: Christensen, B J & van der Wel, M 2019, ' An asset pricing approach to testing general term structure models ', Journal of Financial Economics, vol. 134, no. 1, pp. 165-191 . https://doi.org/10.1016/j.jfineco.2019.03.010
Journal of Financial Economics, 134(1), 165-191. Elsevier
Christensen, B J & van der Wel, M 2019, ' An asset pricing approach to testing general term structure models ' Journal of Financial Economics . https://doi.org/10.1016/j.jfineco.2019.03.010
We develop a new empirical approach to term structure analysis that allows testing for time-varying risk premiums and arbitrage opportunities in models with both unobservable factors and factors identified as the innovations to observed macroeconomic
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::664516a77bb2e4cadd0889365e0666c9
https://doi.org/10.1016/j.jfineco.2019.03.010
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4
Global Evidence on Unspanned Macro Risks in Dynamic Term Structure Models
Autor: Yaoyuan Zhang, Michel van der Wel
Publikováno v: SSRN Electronic Journal.
There are mixed results on whether macro risks are spanned by the yield curve. This paper reviews the major arguments and takes a global perspective to obtain comprehensive evidence. We study a large cross-section of 22 countries, including both deve
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::39264a1bbac7bfcf28f86ca771779e4c
https://doi.org/10.2139/ssrn.3853648
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5
Forecasting Bond Risk Premia using Stationary Yield Factors
Autor: Martin Martens, Michel van der Wel, Tobias Hoogteijling
Publikováno v: SSRN Electronic Journal.
The standard way to summarize the yield curve is to use the first three principal components of the yield curve, resulting in level, slope and curvature factors. Yields, however, are non-stationary. We analyze the first three principal components of
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::31567e4c74f1d91e223d636a738ad673
https://doi.org/10.2139/ssrn.3824896
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7
Intraday price discovery in fragmented markets
Autor: Dick van Dijk, Michel van der Wel, Sait R. Ozturk
Publikováno v: Ozturk, S R, van der Wel, M & van Dijk, D 2017, ' Intraday price discovery in fragmented markets ', Journal of Financial Markets, vol. 32, pp. 28-48 . https://doi.org/10.1016/j.finmar.2016.10.001
Journal of Financial Markets, 32(1), 28-48. Elsevier
We explore intraday variation in the contribution to price discovery across different exchanges. We estimate a structural model with time-varying parameters in state space form using maximum likelihood. We analyze data for 50 S&P 500 stocks in 2013 a
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b7f37625b077521f26c9c6bae4c28e5a
https://doi.org/10.1016/j.finmar.2016.10.001
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8
Combining density forecasts using focused scoring rules
Autor: Dick van Dijk, Anne Opschoor, Michel van der Wel
Publikováno v: Opschoor, A, Van Dijk, D & van der Wel, M 2017, ' Combining density forecasts using focused scoring rules ', Journal of Applied Econometrics, vol. 32, no. 7, pp. 1298-1313 . https://doi.org/10.1002/jae.2575
Journal of Applied Econometrics, 32(7), 1298-1313. John Wiley and Sons Ltd
Journal of Applied Econometrics, 32(7), 1298-1313. John Wiley & Sons Ltd.
Opschoor, A, van Dijk, D & van der Wel, M 2017, ' Combining density forecasts using focused scoring rules ', Journal of Applied Econometrics, vol. 32, no. 7, pp. 1298-1313 . https://doi.org/10.1002/jae.2575
We investigate the added value of combining density forecasts focused on a specific region of support. We develop forecast combination schemes that assign weights to individual predictive densities based on the censored likelihood scoring rule and th
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::8f4d86b6fe59a9ea5716d38ca6ed95a9
https://pure.eur.nl/en/publications/0e96c9ca-0372-431c-b00f-152fb7611b94
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9
Estimating dynamic equilibrium models using mixed frequency macro and financial data
Autor: Michel van der Wel, Bent Jesper Christensen, Olaf Posch
Publikováno v: Christensen, B J, Posch, O & Van Der Wel, M 2016, ' Estimating dynamic equilibrium models using mixed frequency macro and financial data ', Journal of Econometrics, vol. 194, no. 1, pp. 116-137 . https://doi.org/10.1016/j.jeconom.2016.04.005
We provide a framework for inference in dynamic equilibrium models including financial market data at daily frequency, along with macro series at standard lower frequency. Our formulation of the macro-finance model in continuous time conveniently acc
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ae9d28c81a71527115556b69689f5699
https://doi.org/10.1016/j.jeconom.2016.04.005
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10
Market set-up in advance of Federal Reserve policy rate decisions
Autor: Dick van Dijk, Robin L. Lumsdaine, Michel van der Wel
Publikováno v: The Economic Journal, 126(592), 618-653. Wiley-Blackwell
van Dijk, D, Lumsdaine, R L & van der Wel, M 2016, ' Market Set-up in Advance of Federal Reserve Policy Rate Decisions ', The Economic Journal, vol. 126, no. 592, pp. 618-653 . https://doi.org/10.1111/ecoj.12372
textabstractThis paper considers the uncertainty associated with upcoming Federal Open Market Committee (FOMC) announcements and the extent to which participants in the fed funds futures market prepare for such announcements before they actually occu
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a89e0e38da48a6ac91fc4a706b80a934
https://pure.eur.nl/en/publications/8d33d009-7aa9-454e-b966-fd6cb00d54e3
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