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dr. H.J.W.G. Kole

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Erik Kole

dr. H.J.W.G. Kole

Department of Econometrics

Erasmus School of Economics

Erasmus University Rotterdam

 

Personal website: http://people.few.eur.nl/kole/


 

Profile

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Professional experience

Present position
Assistant Professor
University Erasmus University Rotterdam
School Erasmus School of Economics
Department Econometrics
   
Other position

Research

Erik Kole is affiliated with the Econometric Institute of Erasmus University Rotterdam as assistant professor in financial econometrics. He recently won a Veni-grant from the Netherlands Organisation for Scientific Research, which finances his position for three years. His research includes risk management, asset pricing and financial econometrics, and he specializes in crises and crashes in financial markets. Kole has published his research in international academic journals, like the Journal of Banking and Finance. He is a regular presenter at international conferences of the European Finance Association and the Society for Financial Econometrics.

Econometrics
Role Member
 
Organisation Management
 
Financial Management
Role Member
 

Publications

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Scholarly publications (10)
  • Kole, H.J.W.G. (2011). Het failliet van de normale verdeling. VBA Journaal, 26(1), 8-17.
  • Slagter, E., Vermaes, Y & Kole, H.J.W.G. (2010). Optimale Asset Allocatie op Korte en Lange Termijn. VBA Journaal, 26, 8-17.
  • Markwat, T.D., Kole, H.J.W.G. & Dijk, D.J.C. van (2009). Time Variation in Asset Return Dependence: Strength or Structure. (ERIM Report SeriesERS-2009-052-F&A ). 3000 DR Rotterdam: ERIM.
  • Markwat, T.D., Kole, H.J.W.G. & Dijk, D.J.C. van (2009). Contagion as a domino effect in global stock markets. Journal of Banking and Finance, 33(11), 1996-2012.
  • Markwat, T.D., Kole, H.J.W.G. & Dijk, D.J.C. van (2009). Contagion as a domino effect in global stock markets. (EI reprint reeksEI-1523 ). 3000 DR Rotterdam: DEPARTMENT OF ECONOMETRICS.
  • Markwat, T.D., Kole, H.J.W.G. & Dijk, D.J.C. van (2008). Contagion as a Domino Effect in Global Stock Markets. (ERIM Report Series2008-071-F&A ). 3000 DR Rotterdam: ERIM.
  • Kole, H.J.W.G., Koedijk, C.G. & Verbeek, M.J.C.M. (2007). Selecting copulas for risk management. Journal of Banking and Finance, 31(8), 2405-2423.
  • Kole, H.J.W.G., Koedijk, C.G. & Verbeek, M.J.C.M. (2006). Portfolio Implications of Systemic Crises. Journal of Banking and Finance, 30(8), 2347-2369.
  • Kole, H.J.W.G., Koedijk, C.G. & Verbeek, M.J.C.M. (2004). The effects of systemic crises when investors can be crisis ignorant. (Report Series in Management2004-027FA ). onbekend: Erasmus Research Institute of Management.
  • Kole, H.J.W.G., Koedijk, C.G. & Verbeek, M.J.C.M. (2003). Stress testing with Student's t dependence. (Report Series in Management2003-056FA ). onbekend: Erasmus Research Institute of Management.
Doctoral thesis (1)
  • Kole, H.J.W.G. (2006, juni 23). On Crises, Crashes and Comovements. Erasmus Universiteit Rotterdam (191 pag.) ( Erasmus Research Institute of Management (PhD Serie 083)). Prom./coprom.: Prof.Dr. C.G. Koedijk & Prof.Dr. M.J.C.M. Verbeek.