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.
Research
Job market paper
Filtering without recursion and some of its uses in financial economics
Working papers
An implicit dynamic multiple quantile filter
arXiv preprint expected later in 2026.
Work in progress
Implicit score-driven high-dimensional precision matrices
News
- Oct 2026Presenting the job market paper at the Brown Bag Seminar of the Department of Econometrics and Data Science, Vrije Universiteit Amsterdam, 1 October, 12:45.
- Sep 2026Presenting the job market paper at the Econometric Institute Seminar, Erasmus University Rotterdam, 15 September, 11:30.
- Jun 2026Presented at the Symposium on Econometric Theory and Applications (SETA), University of Tokyo.
- May 2026Runner-up for the Best Poster Award at the Netherlands Econometrics Study Group, Tilburg.
Teaching
Erasmus University Rotterdam (Erasmus School of Economics)
- Seminar Case Studies in Financial and Applied Econometrics (MSc)2025–2026
- Quantitative Risk Management (MSc)2023–present
- Financial Econometrics Case Study (BSc)2023–2025
- Academic Skills (BSc)2023–2025
- Thesis supervision (BSc and MSc)2023–present
Curriculum Vitae
Download CV (PDF)
Last updated August 2026
Contact
Econometric Institute, Erasmus University RotterdamBurgemeester Oudlaan 50, 3062 PA Rotterdam, the Netherlands