Assistant professor Erasmus School of Economics Econometrics
- Location
- Burg. Oudlaan 50, Rotterdam
- Room
- ET-31
- kole@ese.eur.nl
‹ Back to overview
Profile
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.
- Sander Barendse, Erik Kole & Dick van Dijk (2021) - Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error - Journal of Financial Econometrics - doi: 10.1093/jjfinec/nbab008 - [link]
- Bart Keijsers, Bart Diris & Erik Kole (2018) - Cyclicality in Losses on Bank Loans - Journal of Applied Econometrics, 33 (4), 533-552 - doi: 10.1002/jae.2612 - [link]
- Erik Kole, TD (Thijs) Markwat, A (Anne) Opschoor & Dick van Dijk (2017) - Forecasting Value-at-Risk under temporal and portfolio aggregation - Journal of Financial Econometrics, 15 (4), 649-677 - doi: 10.1093/jjfinec/nbx019 - [link]
- Francine Gresnigt, Erik Kole & Philip Hans Franses (2015) - Interpreting financial market crashes as earthquakes: A new early warning system for medium term crashes - Journal of Banking and Finance, 56, 123-139 - doi: 10.2469/dig.v45.n12.10
- Erik Kole & Dick van Dijk (2017) - How to identify and forecast bull and bear markets? - Journal of Applied Econometrics, 32 (1), 120-139 - doi: 10.1002/jae.2511 - [link]
Asset Pricing (QF variant)
- Level
- Lecture slides Exercises Literaturemaster
- Year Level
- Lecture slides Exercises Literaturemaster
- Year
- 2022
- Course Code
- FEM21003
Seminar Financial Case Studies
- Level
- master
- Year Level
- master
- Year
- 2022
- Course Code
- FEM21019
Bachelorscriptie Econometrie en Operatio
- Year
- 2022
- Course Code
- FEB23100
Bachelor's Thesis Econometrics and Opera
- Level
- bachelor 3
- Year Level
- bachelor 3
- Year
- 2022
- Course Code
- FEB23100X
Bachelorscriptie Econometrie en Operatio
- Level
- bachelor 3
- Year Level
- bachelor 3
- Year
- 2022
- Course Code
- FEB23200
Bachelor's Thesis Econometrics and Opera
- Level
- bachelor 3
- Year Level
- bachelor 3
- Year
- 2022
- Course Code
- FEB23200X
Bachelor's Thesis BSc² Econometrics/Econ
- Level
- bachelor 4
- Year Level
- bachelor 4
- Year
- 2022
- Course Code
- FEB24100
Kick off Bachelor-2 (Econometrics)
- Year
- 2022
- Course Code
- FEB62007
Take-Off Pre-Master Econometrics
- Year
- 2022
- Course Code
- FEB63000ET
Thesis Hub Bachelor Econometrics & OR
- Year
- 2022
- Course Code
- FEB63007
Thesis Hub BSc2 Econometrics / Economics
- Year
- 2022
- Course Code
- FEB63008
Asset Pricing
- Year Level
- master, master
- Year
- 2022
- Course Code
- FEM11008