PhD Candidate in Econometrics

Simon Donker van Heel

Erasmus University Rotterdam & Tinbergen Institute

I develop filtering, prediction and smoothing methods for time series, with applications in financial economics. My PhD is supervised by Dick van Dijk and Rutger-Jan Lange. In the fall of 2025 I visited the Department of Statistics at Harvard University as a Fulbright Scholar, hosted by Neil Shephard.

On the 2026–2027 academic job market.

Download CV Email me
Google Scholar·Tinbergen Institute·LinkedIn·GitHub
Portrait of Simon Donker van Heel
Research

Job market paper

AdaDMQ: An adaptive filter for multiple time-varying quantiles
Single-authored
Draft expected September 2026.

Working papers

Filtering without recursion and some of its uses in financial economics
2026, with Neil Shephard
arXiv preprint expected August 2026.
Exponentially weighted estimands and the exponential family: Filtering, prediction and smoothing
2025, with Neil Shephard
arXiv·Tinbergen Institute Discussion Paper
Gradient-based filtering under misspecification: Stability and error bounds
2025, with Rutger-Jan Lange, Bram van Os and Dick van Dijk
arXiv·Tinbergen Institute Discussion Paper·SSRN

Work in progress

Implicit score-driven high-dimensional precision matrices
with Rutger-Jan Lange, Bram van Os and Dick van Dijk
Teaching
Erasmus University Rotterdam (Erasmus School of Economics)
Curriculum Vitae
Download CV (PDF) Last updated July 2026
Contact

donkervanheel@ese.eur.nl

Econometric Institute, Erasmus University Rotterdam
Burgemeester Oudlaan 50, 3062 PA Rotterdam, the Netherlands