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Rutger-Jan Lange

Personal Details

First Name:Rutger-Jan
Middle Name:
Last Name:Lange
Suffix:
RePEc Short-ID:pla919

Affiliation

Econometrisch Instituut
Faculteit der Economische Wetenschappen
Erasmus Universiteit Rotterdam

Rotterdam, Netherlands
http://www.econometric-institute.org/

: 010 - 40 81278
010 - 40 89162
Burgemeester Oudlaan 50, 3062 PA Rotterdam
RePEc:edi:eieurnl (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Lange, Rutger-Jan & Teulings, Coen N, 2018. "The option value of vacant land and the optimal timing of city extensions," CEPR Discussion Papers 12847, C.E.P.R. Discussion Papers.
  2. Michael Grubb & Jean-Francois Mercure & Pablo Salas & Rutger-Jan Lange & Ida Sognnaes, 2018. "Systems Innovation, Inertia and Pliability: A mathematical exploration with implications for climate change abatement," Working Papers EPRG 1808, Energy Policy Research Group, Cambridge Judge Business School, University of Cambridge.
  3. Rutger-Jan Lange & Andre Lucas & Arjen H. Siegmann, 2016. "Score-Driven Systemic Risk Signaling for European Sovereign Bond Yields and CDS Spreads," Tinbergen Institute Discussion Papers 16-064/IV, Tinbergen Institute.
  4. Andrew Harvey & Rutger-Jan Lange, 2015. "Modeling the Interactions between Volatility and Returns," Cambridge Working Papers in Economics 1518, Faculty of Economics, University of Cambridge.
  5. Andrew Harvey & Rutger-Jan Lange, 2015. "Volatility Modeling with a Generalized t-distribution," Cambridge Working Papers in Economics 1517, Faculty of Economics, University of Cambridge.
  6. Robin Niesert & Jochem Oorschot & Chris Veldhuisen & Kester Brons & Rutger-Jan Lange, "undated". "Can Google Search Data Help Predict Macroeconomic Series?," Tinbergen Institute Discussion Papers 19-021/III, Tinbergen Institute.

Articles

  1. Andrew Harvey & Rutger‐Jan Lange, 2018. "Modeling the Interactions between Volatility and Returns using EGARCH‐M," Journal of Time Series Analysis, Wiley Blackwell, vol. 39(6), pages 909-919, November.
  2. Michael Atkinson & Moshe Kress & Rutger-Jan Lange, 2016. "When Is Information Sufficient for Action? Search with Unreliable yet Informative Intelligence," Operations Research, INFORMS, vol. 64(2), pages 315-328, April.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Rutger-Jan Lange & Andre Lucas & Arjen H. Siegmann, 2016. "Score-Driven Systemic Risk Signaling for European Sovereign Bond Yields and CDS Spreads," Tinbergen Institute Discussion Papers 16-064/IV, Tinbergen Institute.

    Cited by:

    1. Rebekka Gätjen & Melanie Schienle, 2015. "Measuring Connectedness of Euro Area Sovereign Risk," SFB 649 Discussion Papers SFB649DP2015-019, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.

  2. Andrew Harvey & Rutger-Jan Lange, 2015. "Modeling the Interactions between Volatility and Returns," Cambridge Working Papers in Economics 1518, Faculty of Economics, University of Cambridge.

    Cited by:

    1. Tata Subba Rao & Granville Tunnicliffe Wilson & Andrew Harvey & Rutger-Jan Lange, 2017. "Volatility Modeling with a Generalized t Distribution," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(2), pages 175-190, March.
    2. Ochiabuto Emeka & Ihejirika Peters O. & Ndugbu Michael, 2018. "Volatility - return paradigm of foreign private portfolio investment in Nigeria," Asian Journal of Empirical Research, Asian Economic and Social Society, vol. 8(5), pages 162-173, May.
    3. Liu, Dehong & Gu, Hongmei & Lung, Peter, 2016. "The equity mispricing: Evidence from China's stock market," Pacific-Basin Finance Journal, Elsevier, vol. 39(C), pages 211-223.

  3. Andrew Harvey & Rutger-Jan Lange, 2015. "Volatility Modeling with a Generalized t-distribution," Cambridge Working Papers in Economics 1517, Faculty of Economics, University of Cambridge.

    Cited by:

    1. Andrew Harvey & Ryoko Ito, 2017. "Modeling time series with zero observations," Economics Papers 2017-W01, Economics Group, Nuffield College, University of Oxford.
    2. Ryoko Ito, 2016. "Asymptotic Theory for Beta-t-GARCH," Cambridge Working Papers in Economics 1607, Faculty of Economics, University of Cambridge.
    3. Harvey, A. & Palumbo, D., 2019. "Score-Driven Models for Realized Volatility," Cambridge Working Papers in Economics 1950, Faculty of Economics, University of Cambridge.
    4. Ayala, Astrid & Blazsek, Szabolcs Istvan & Escribano Sáez, Álvaro, 2019. "Score-driven time series models with dynamic shape : an application to the Standard & Poor's 500 index," UC3M Working papers. Economics 28133, Universidad Carlos III de Madrid. Departamento de Economía.
    5. Blazsek, Szabolcs & Ayala, Astrid & Escribano, Álvaro, 2017. "Dynamic conditional score models with time-varying location, scale and shape parameters," UC3M Working papers. Economics 25043, Universidad Carlos III de Madrid. Departamento de Economía.
    6. Ito, R., 2016. "Spline-DCS for Forecasting Trade Volume in High-Frequency Finance," Cambridge Working Papers in Economics 1606, Faculty of Economics, University of Cambridge.
    7. Andrew Harvey & Rutger‐Jan Lange, 2018. "Modeling the Interactions between Volatility and Returns using EGARCH‐M," Journal of Time Series Analysis, Wiley Blackwell, vol. 39(6), pages 909-919, November.
    8. Harvey, A. & Liao, Y., 2019. "Dynamic Tobit models," Cambridge Working Papers in Economics 1913, Faculty of Economics, University of Cambridge.
    9. Escribano Sáez, Álvaro & Blazsek, Szabolcs Istvan & Ayala, Astrid, 2019. "Maximum likelihood estimation of score-driven models with dynamic shape parameters : an application to Monte Carlo value-at-risk," UC3M Working papers. Economics 28638, Universidad Carlos III de Madrid. Departamento de Economía.

Articles

  1. Andrew Harvey & Rutger‐Jan Lange, 2018. "Modeling the Interactions between Volatility and Returns using EGARCH‐M," Journal of Time Series Analysis, Wiley Blackwell, vol. 39(6), pages 909-919, November.

    Cited by:

    1. Harvey, A. & Liao, Y., 2019. "Dynamic Tobit models," Cambridge Working Papers in Economics 1913, Faculty of Economics, University of Cambridge.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 7 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-RMG: Risk Management (3) 2015-06-20 2015-07-11 2016-09-04. Author is listed
  2. NEP-MAC: Macroeconomics (2) 2018-04-16 2018-04-30. Author is listed
  3. NEP-URE: Urban & Real Estate Economics (2) 2018-04-16 2018-04-30. Author is listed
  4. NEP-BIG: Big Data (1) 2019-04-22
  5. NEP-CBA: Central Banking (1) 2016-09-04
  6. NEP-ECM: Econometrics (1) 2015-06-20
  7. NEP-EEC: European Economics (1) 2016-09-04
  8. NEP-ENE: Energy Economics (1) 2019-03-25
  9. NEP-ENV: Environmental Economics (1) 2019-03-25
  10. NEP-ETS: Econometric Time Series (1) 2015-06-20
  11. NEP-FMK: Financial Markets (1) 2015-07-11
  12. NEP-FOR: Forecasting (1) 2019-04-22
  13. NEP-HME: Heterodox Microeconomics (1) 2019-03-25

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