Michel van der Wel

Michel van der Wel is a faculty member at the Erasmus School of Economics, affiliated with the Econometric Institute at Erasmus University Rotterdam. His research focuses on finance, econometrics, and dynamic modeling of financial markets, particularly term structure of interest rates, liquidity, and volatility surfaces. He has extensively collaborated on empirical studies involving market microstructure, order flow, and financial time series analysis.

His recent work includes high-impact papers in the Journal of Finance and other top journals, addressing topics such as nonstandard errors, shadow-rate models at the zero lower bound, and macro-finance interactions. These studies leverage advanced econometric techniques like Kalman filtering, dynamic factor models, and machine learning for forecasting bond risk premia and volatility.

He has co-authored over 27 scholarly papers, many published in journals like Journal of Empirical Finance, Journal of Applied Econometrics, and Journal of Business and Economic Statistics. His collaborative network includes leading academics and institutions globally, though no specific awards, grants, or student advisory roles are detailed in the provided data.