Discover open access scientific publications

Search, annotate, share and cite publications

Publications by Michel van der Wel

Dynamic Factor Models for the Volatility Surface

Advances in Econometrics

English

Intraday Price Discovery in Fragmented Markets

Journal of Financial Markets

English

The Public and Private Information Sources of Volatility

SSRN Electronic Journal

English

Intraday Price Discovery in Fragmented Markets

SSRN Electronic Journal

English

What Do Professional Forecasters Actually Predict?

SSRN Electronic Journal

English

Dynamic Factor Models for the Volatility Surface

SSRN Electronic Journal

English

Why Do Pit-Hours Outlive the Pit?

SSRN Electronic Journal

English