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Welcome to my home page! 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 ArXiv
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) associate prof.
Recent news
June 2025: Bram presented our work at the SoFiE conference in Paris (slides are here)
June 2025: Ramon presented our work at the QFFE conference in Marseille (slides are here)
March 2025: Dick presented our work at the Tinbergen Institute in Amsterdam (slides are here)
Feb 2025: Simon finished our joint draft of his first PhD project
Aug 2024: Timo presented our work at the Bernoulli-IMS conference (Bochum, Germany)
July 2024: Ramon presented our work at the ISF conference (Dijon, France)
May 2024: Simon presented a poster highlighting our work at the Netherlands Econometrics Study Group (NESG) in Maastricht and won the best poster award from 19 posters
May 2024: I wrote a short explainer for the Bellman filter & smoother that may be helpful to practitioners/students who want to implement the proposed method
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 on optimal stopping 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. Dynamic determinants of optimal global climate policy. Structural Change and Economic Dynamics. 71:490-508. With Michael Grubb, Nicolas Cerkez, Claudia Wieners, Ida Sognnaes and Pablo Salas. Published article (open access) SSRN link Scholar link Replication code
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.
Working papers
Implicit score-driven filters for time-varying parameter models. Current status: Revise and resubmit. Recent presentation slides are here (presented at Tinbergen Institute). RG link. SSRN link. TI link. With Bram van Os and Dick van Dijk. Kind comment by Frank Diebold
Stability and performance guarantees for multivariate misspecified score-driven filters. Current status: Submitted. Recent presentation slides are here (as presented at SoFiE in Paris). RG link. SSRN link. ArXiv link. TI link. With Simon Donker van Heel, Dick van Dijk and Bram van Os
Kullback Leibler-based characterizations of score-driven updates. RG link. ArXiv link. TI link. Recent presentation slides are here (as presented at QFFE in Marseille 2025). With Ramon de Punder and Timo Dimitriatis.
POST as an all-purpose algorithm for solving Poisson stopping problems: from function spaces to finite differences. With Daniel Ralph and Jan van Casteren
Short & simple introduction to Bellman filtering and smoothing. RG link. ArXiv link. Not intended for publication, just for fun and helping students/practitioners implement the proposed method.
Current projects
Volatility feedback, leverage or both? With Onno Kleen and Ekaterina Smetanina
Why r can be smaller than g. With Coen Teulings
Optimal timing and capacity of city extensions. With Coen Teulings
Implicit score-driven filters for high-dimensional covariance and precision matrices. With Simon Donker van Heel, Bram van Os and Dick van Dijk
Adaptive score-driven filters. With Ramon de Punder and Timo Dimitriatis
Recent conferences and seminars
Implicit score-driven filters for high-dimensional covariance and precision matrices (with Simon Donker van Heel, Bram van Os and Dick van Dijk)
Poster at the Netherlands Econometrics Study Group (NESG), 24-24 May 2025, Leuven, Belgium (presenter: SDvH)
Kullback Leibler-based characterizations of score-driven updates (with Ramon de Punder and Timo Dimitriatis).
44th International Symposium On Forecasting, Dijon, France (ISF 2024, presenter: RdP)
Bernoulli-IMS 11th World Congress in Probability and Statistics, Bochum, Germany (2024, presenter: TD)
IAEE 2025, June 25-27, 2025, Turin, Italy (presenter: RdP)
QFFE 2025, 3 to 6 June, Marseille, France (presenter: RdP)
Implicit score-driven filters for time-varying parameter models (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)
Stability and performance guarantees for multivariate misspecified score-driven filters (with Simon Donker van Heel, Dick van Dijk and Bram van Os).
Erasmus internal PhD conference (EIPC) January 2024 (presenter: SDvH)
Tinbergen Institute PhD seminar March 2024 (presenter: SDvH)
Dynamic Econometrics Conference Oxford April 2024 (presenter: SDvH)
New York Camp Econometrics April 2024 (presenter: SDvH)
NESG Maastricht May 2024 (presenter: SDvH)
I.S.E.O. summer school June 2024 (presenter: SDvH)
QFFE Marseille June 2024 (presenter: SDvH)
IAAE Thessaloniki June 2024 (presenter: SDvH)
EEA-ESEM Rotterdam 2024 (presenter: SDvH)
Seventeenth Annual SoFiE Conference, Paris, June 10-12, 2025 (presenter: BvO)
Workshop on "Developments in observation-driven time series models", 24 March 2025, VU Amsterdam (presenter: DvD)
17th Annual SoFiE Conference, June 10-12, 2025, ESSEC Campus of Cergy, France (presenter: BvO)
Poster at the NBER-NSF Conference, 19-20 September 2025, Rutgers University (presenter: SDvH)
The 8th International Conference on Econometrics and Statistics (EcoSta 2025), Waseda University, Tokyo, Japan, 21-23, August 2025 (presenter: RJL)
Leverage, feedback or both? (with Onno Kleen and Ekaterina Smetanina)
Macro and Financial Econometrics Workshop, Heidelberg University, 23 April 2025
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). Presenter: CT
European Winter Meeting of the Econometric Society (EWMES 2020)
POST as an all-purpose algorithm for solving Poisson stopping problems: from function spaces to finite dimensions (with Daniel Ralph and Jan van Casteren). Presenter: DR
Operational Research Society Annual Conference, Portsmouth (OR58 2016)
Sixth International Conference on Continuous Optimization, Berlin (ICCOPT, 2019)
Workshop on Optimisation, Equilibrium and Complementarity, The Hong Kong Polytechnic University (2023)
Seminar at U Mass, Amherst, M&IE Department
Talk at IMSI energy workshop Aug 2024
Optimization models, algorithms, and applications, July 29-30, 2024. In honor of the 60th birthday of Michael Ferris, The Study at University of Chicago, Chicago, Illinois, USA
International Conference on Continuous Optimization (ICCOPT), July 20-24, 2025, University of Southern California, Los Angeles, California, USA
Reviewing
I have reviewed for the following journals (see my Orcid profile for details): Journal of Econometrics, Journal of Business and Economic Statistics, Econometric Theory, 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 Applied Economics, Journal of Productivity Analysis, Journal of Optimization Theory and Applications, International Journal of Machine Learning and Cybernetics, Annals of Physics, 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 the 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
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"
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
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).
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