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Research Interests

Dynamic Conditional Score (DCS) models: time-series models with fat tails and time-changing parameters. Stochastic calculus. Brownian motion.


Rutger-Jan is a Research Associate working with Professor Harvey on "Dynamic Conditional Score" (DCS) models: time-series models where 1) the distribution of observations has fat tails, and 2) some underlying parameter changes over time. Prior, Rutger-Jan worked for the Boston Consulting Group in Amsterdam. Rutger-Jan has two Master's degrees from Cambridge (Mathematics and Operations Research), and completed his PhD at the Cambridge Judge Business School with the Electricity Policy Research Group.

Dr Rutger-Jan Lange

Research Associate

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