Dr. (michel) M. Van Der Wel
Erasmus University Rotterdam
Michel van der Wel is Associate Professor at the Econometric Institute with the Erasmus School of Economics of the Erasmus University Rotterdam. His main research areas are financial econometrics, time series econometrics, term structure modeling and the macro-finance interaction. His work has been published in journals in the fields of econometrics, economics and finance, such as the Journal of Business and Economic Statistics, Journal of Applied Econometrics, Journal of Economic Dynamics and Control and the Journal of Financial and Quantitative Analysis. During 2012-2014, he worked on a prestigious Netherlands Organization for Scientific Research Veni grant. He teaches in the Bachelor program of Econometrics and Management Science, the MSc program specializing in Quantitative Finance, and the MPhil program of the Erasmus Research Institute of Management. The course topics include (Applied) Econometrics and Financial Derivatives.
S.R. Ozturk, M. van der Wel & D.J.C. van Dijk (2017). Intraday price discovery in fragmented markets. Journal of Financial Markets, 32 (1), 28-48. doi: http://dx.doi.org/10.1016/j.finmar.2016.10.001
D.J.C. van Dijk, R.L. Lumsdaine & M. van der Wel (2016). Market set-up in advance of Federal Reserve policy rate decisions. The Economic Journal, 126 (592), 618-653. doi: http://dx.doi.org/10.1111/ecoj.12372[go to publisher's site]