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Market set-up in advance of Federal Reserve policy decisions

Dijk, Dick van; Lumsdaine, Robin L.; Wel, Michel van der - 2014

Persistent link: https://www.econbiz.de/10010239989

Combining density forecasts using focused scoring rules

Opschoor, Anne; Dijk, Dick van; Wel, Michel van der - In: Journal of applied econometrics 32 (2017) 7, pp. 1298-1313

Persistent link: https://www.econbiz.de/10011862725

Estimating dynamic equilibrium models using mixed frequency macro and financial data

Christensen, Bent Jesper; Posch, Olaf; Wel, Michel van der - In: Journal of econometrics 194 (2016) 1, pp. 116-137

Persistent link: https://www.econbiz.de/10011705052

Market set‐up in advance of federal reserve policy rate decisions

Dijk, Dick van; Lumsdaine, Robin L.; Wel, Michel van der - In: The economic journal : the journal of the Royal … 126 (2016) 592, pp. 618-653

Persistent link: https://www.econbiz.de/10011620467

Intraday price discovery in fragmented markets

Ozturk, Sait R.; Wel, Michel van der; Dijk, Dick van - In: Journal of financial markets 32 (2017), pp. 28-48

Persistent link: https://www.econbiz.de/10011814977

What do professional forecasters actually predict?

Nibbering, Didier; Paap, Richard; Wel, Michel van der - In: International journal of forecasting 34 (2018) 2, pp. 288-311

Persistent link: https://www.econbiz.de/10012030904

An asset pricing approach to testing general term structure models

Christensen, Bent Jesper; Wel, Michel van der - In: Journal of financial economics 134 (2019) 1, pp. 165-191

Persistent link: https://www.econbiz.de/10012166772

Crowded positions: an overlooked systemic risk for central clearing parties

Menkveld, Albert J. - In: Review of asset pricing studies 7 (2017) 2, pp. 209-242

Persistent link: https://www.econbiz.de/10011779081

The economics of high-frequency trading : taking stock

Menkveld, Albert J. - In: Annual review of financial economics 8 (2016), pp. 1-24

Persistent link: https://www.econbiz.de/10011595858

Predicting volatility and correlations with Financial Conditions Indexes

Opschoor, Anne; van Dijk, Dick; van der Wel, Michel - In: Journal of Empirical Finance 29 (2014) C, pp. 435-447

We model the impact of financial conditions on asset market volatilities and correlations. We extend the Spline-GARCH model for volatility and DCC model for correlation to allow for inclusion of indexes that measure financial conditions. In our empirical application we consider daily stock...

Persistent link: https://www.econbiz.de/10011116271