Dr. Rutger-Jan Lange
About me: I am an associate professor (in Dutch: universitair hoofddocent) in econometrics at the Econometric Institute at Erasmus School of Economics, Rotterdam, The Netherlands.
Office: Woudenstein Campus (Burgemeester Oudlaan 50, Rotterdam), E building, T floor (that is -1), flex offices, but often ET-03.
Email: lange at ese dot eur dot nl
Research interests: time-series econometrics, filtering, stochastic processes, real options, optimal stopping, and (formerly) quantum physics
Online profiles: Scholar Orcid Scopus ResearchGate LinkedIn SSRN Web of Science Pure
Affiliations: ESE ERIM Tinbergen
Short bio: I studied theoretical physics and completed my master's degree in Cambridge. I obtained my PhD in management science & operations research at the Cambridge Judge Business School. I worked at Boston Consulting Group before returning to academia as a post-doc at the Faculty of Economics in Cambridge. After a post-doc position at the Vrije Universiteit Amsterdam, I was in a tenure track position at the Econometric Institute at Erasmus School of Economics. Early 2024 I was promoted to (tenured) assicate prof.
Recent news
April 2024: Simon is presenting work on error bounds for (implicit and explicit) score-driven filters at conferences in Oxford and New York
January 2024: I will present my paper (slides are here) on Bellman filtering and smoothing (forthcoming in Journal of Econometrics) at the Mathematics department of the Vrije Univeriteit Amsterdam and the Epidemiology & Data Science department of the Amsterdam University Medical Centers
December 2023: my article on Bellman filtering (open access) is now available at Journal of Econometrics, including online supplement and replication code
December 2023: the Dean of ESE decided to grant tenure and the promotion to associate professor effective 1 April 2024 (no joke)
December 2023: my article with Coen Teulings is now available (open access) at Journal of Economic Theory
November 2023: I received a Starter Grant from ESE to (co)fund a new PhD position
November 2023: Bram van Os succesfully defended his PhD thesis titled "On dynamic models: Optimization-based methods and practical applications"
October 2023: Simon Donker van Heel started his PhD project on explicit and implicit score-driven filters
Journal articles
2024. Bellman filtering and smoothing for state-space models. Journal of Econometrics. 238(2):105632. Published article (open access) ArXiv version Scholar link Replication code Online supplement Slides
2024. Irreversible investment under predictable growth: Why land stays vacant when housing demand is booming. With Coen Teulings. Journal of Economic Theory. 215:105776 Published article (open access) Scholar link Online appendix
2020. Real-option valuation in multiple dimensions using Poisson optional stopping times. With Daniel Ralph and Christian Store. Journal of Financial and Quantitative Analysis 55(2):653-677. Published article Accepted version (open access) Scholar link
2020. Can Google search data help predict macroeconomic series? With Robin Niesert, Jochem Oorshot, Chris Veldhuisen and Kester Brons. International Journal of Forecasting 36(3):1163-1172. Published article Accepted version (open access) Scholar link
2018. Modelling the interactions between volaltiy and returns using EGARCH-M. With Andrew Harvey. Journal of Time Series Analysis 39.6: 909-919. Published article Accepted version (open access) Scholar link
2017. Volatility modeling with a generalised t distribution. With Andrew Harvey. Journal of Time Series Analysis 38.2: 175-190. Published article Accepted version (open access) Scholar link
2016. When is information sufficient for action? Search with unreliable yet informative intelligence. With Michael Atkinson and Moshe Kress. Operations Research 64(2): 315-328. Published article Full text (open access) Accepted version (open access) Scholar link
2015. Distribution theory for Schrödinger's integral equation. Journal of Mathematical Physics. 56(12), 122105: 1-17. Published article Public full text Accepted version (ArXiv) Scholar link
2012. Potential theory, path integrals and the Laplacian of the indicator. Journal of High Energy Physics 11: 1–46. Published article Accepted version (ArXiv) Accepted version (RG) Scholar link
Dutch-language publications
Uitstel is niet altijd afstel: Stijgende huizenprijzen leiden tot uitstel van nieuwbouw en dat is maar goed ook, Real Estate Research Quarterly, November 2022: 1-9 (with Coen Teulings). Nominated for the VOGON Research Award 2022
Piek in volatiliteit laat zien dat groot deel daling aandelenkoersen tijdelijk is, Economisch-Statistische Berichten 105(4784): 153-155 (with Bram van der Kroft and Coen Teulings)
Book chapters
2016. Score-driven systemic risk signaling for European sovereign bond yields and CDS spreads, Chapter 5, with André Lucas and Arjen Siegmann. In Systemic risk tomography: Signals, measurement and transmission channels (pp. 129-149). Oxford: Elsevier.
2014. The importance of inertia and adaptability: A simple model, with Michael Grubb & Pablo Salas. In Planetary economics: Energy, climate change and the three domains of sustainable development (pp. 495–505). Oxford: Taylor & Francis.
Work in progress
Robust observation-driven models using proximal-parameter updates. With Bram van Os and Dick van Dijk. SSRN link Kind comment by Frank Diebold
Dynamic determinants of optimal global climate policy. With Michael Grubb, Nicolas Cerkez, Pablo Salas and Ida Sognnaes. SSRN link
Error bounds for score-driven filters. With Simon Donker van Heel, Bram van Os and Dick van Dijk
POST as an all-purpose algorithm for solving penalised stopping problems: from function spaces to finite dimensions. With Daniel Ralph, Jan-Claude Hessing and Jan van Casteren.
Volatility feedback, leverage or both? With Ekaterina Smetanina and Stijn van Zoggel.
Why r can be smaller than g. With Coen Teulings
Recent conferences and seminars
Robust observation-driven models using proximal-parameter updates (with Bram van Os and Dick van Dijk)
5th Meeting of the Netherlands Econometric Study Group (NESG 2022)
28th International Conference on Computing in Economics and Finance (CEF 2022)
14th Annual Conference of the Society for Financial Econometrics, Cambridge (SoFiE 2022)
Aarhus Workshop in Econometrics (2022)
Workshop for Young Scholars and the Econometrics Seminars (SNDE 2022)
Workshop Series at the University of Amsterdam (2022)
Workshop at Center for Research in Economics and Statistics, Paris (CREST 2023)
Barcelona Workshop in Financial Econometrics (2023)
Time Series conference, Montreal (NBER-NSF 2023)
Error bounds for score-driven filters (with Simon Donker van Heel, Dick van Dijk en Bram van Os, presented by Simon)
Erasmus internal PhD conference (EIPC) January 2024
Tinbergen Institute PhD seminar March 2024
Dynamic Econometrics Conference Oxford April 2024
New York Camp Econometrics April 2024
NESG Maastricht May 2024
I.S.E.O. summer school June 2024
QFFE Marseille June 2024
IAAE Thessaloniki June 2024
Bellman filtering and smoothing for state-space models
North American Summer Meeting of the Econometric Society (NASMES 2021)
27th International Conference on Computing in Economics and Finance (CEF 2021)
VU-campus Statistics Seminar (17 January 2024)
The option value of vacant land: Don’t build when demand for housing is booming (with Coen Teulings)
European Winter Meeting of the Econometric Society (EWMES 2020)
POST as an all-purpose algorithm for solving penalised stopping problems: from function spaces to finite dimensions (with Daniel Ralph, Jean-Claude Hessing and Jan van Casteren)
Operational Research Society Annual Conference, Portsmouth (OR58 2016, presenter: DR)
Sixth International Conference on Continuous Optimization, Berlin (ICCOPT, 2019, presenter: DR)
Workshop on Optimisation, Equilibrium and Complementarity, The Hong Kong Polytechnic University (2023, presenter: DR)
Reviewing
I have reviewed for the following journals (see my Orcid profile for details): Journal of Econometrics, Journal of Business and Economic Statistics, Journal of Financial Econometrics, Journal of Financial and Quantitative Analysis, Operations Research, International Journal of Forecasting, Oxford Bulletin of Economics & Statistics, Studies in Nonlinear Dynamics and Econometrics, Statistical Methods and Applications, Empirical Economics, Journal of Housing Economics, Journal of Productivity Analysis, Journal of Optimization Theory and Applications, Physics Letters A.
Teaching at ESE
Introduction to Statistics (in both English and Dutch), approx. 400 students, Bachelor in Econometrics and Operations Research, 2021–current
Advanced Time Series Econometrics, approx. 150 students, Master in Econometrics and Management Science, 2016–20
Financial Case Studies module, approx. 16 students, Master in Econometrics and Management Science, 2016–current
Introductory Seminar to Quantitative Finance/Econometrics, approx. 300 students, Bachelor in Econometrics and Operations Research, 2017–current
BSc/MSc thesis supervision: approx. 6 bachelor’s and 10 master’s theses per year
PhD supervision
Simon Donker van Heel (started 2023)
Bram van Os (graduated 2023, now in tenure-track position at the Vrije Universiteit, Amsterdam)
In the Dutch system, assis./assoc. profs act as co-supervisor in a team of two with a (full) professor; in tthe above two cases, Dick van Dijk.
MSc thesis students
You can sign up for meetings here. For each draft, it is crucial that you have implemented all writing tips below. It will take some time to go through all documents below, but it will be worth it.
Writing tips for master/PhD students
John Cochrane's writing tips for PhD students
Abadir & Magnus' proposal for standard notation in econometrics, along with Erik Kole's LaTeX package with documentation to implement it
A nice blog post by Onno Kleen
Academic writing tips by Andreas Pick
How to write a great research paper by Simon Peyton Jones (fun to watch!)
Writing tips by Mark Schmidt (in computer science, but the same applies for us)
Lasse Pedersen on How to succeed in academia
Ben Jacobsen's tips part 1 (on research) and part 2 (on writing)
Parts I, II and IV of A Guide to Writing in Economics, in particular check out the ``six principles of clear and cohesive writing"
How to write good referee reports
Journal rankings
An account with Clarivate is needed to log in. It differs per field, but in our field (econometrics, statistics and/or OR), journals with an article influence score (AIS) above 1 (or 2) are typically considered to be good (very good).