dr. (Erik) H.J.W.G. Kole

All publications (20)

• Key publication (1)

  • H.J.W.G. Kole & D.J.C. van Dijk (2017). How to identify and forecast bull and bear markets? Journal of Applied Econometrics, 32 (1), 120-139. doi: http://dx.doi.org/10.1002/jae.2511[go to publisher's site]

• Article (11)

  • Scholarly Publication (9)

    • H.J.W.G. Kole, T.D. Markwat, A. Opschoor & D.J.C. 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[go to publisher's site]
    • B.J.L. Keijsers, B.F. Diris & H.J.W.G. Kole (2017). Cyclicality in Losses on Bank Loans (Forthcoming). Journal of Applied Econometrics.
    • H.J.W.G. Kole & D.J.C. van Dijk (2017). How to identify and forecast bull and bear markets? Journal of Applied Econometrics, 32 (1), 120-139. doi: http://dx.doi.org/10.1002/jae.2511[go to publisher's site]
    • F. Gresnigt, H.J.W.G. Kole & P.H.B.F. Franses (2017). Exploiting Spillovers to Forecast Crashes. Journal of Forecasting, 36 (8), 936-955. doi: http://dx.doi.org/ 10.1002/for.2434
    • F. Gresnigt, H.J.W.G. Kole & P.H.B.F. Franses (2016). Specification Testing in Hawkes Models. Journal of Financial Econometrics, 15 (1), 139-171. doi: http://dx.doi.org/10.1093/jjfinec/nbw011
    • F. Gresnigt, H.J.W.G. Kole & P.H.B.F. 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: http://dx.doi.org/10.2469/dig.v45.n12.10
    • T.D. Markwat, H.J.W.G. Kole & D.J.C. van Dijk (2009). Contagion as a domino effect in global stock markets. Journal of Banking and Finance, 33 (11), 1996-2012. doi: http://dx.doi.org/10.1016/j.jbankfin.2009.05.008[go to publisher's site]
    • H.J.W.G. Kole, C.G. Koedijk & M.J.C.M. Verbeek (2007). Selecting copulas for risk management. Journal of Banking and Finance, 31 (8), 2405-2423. doi: http://dx.doi.org/10.1016/j.jbankfin.2006.09.010[go to publisher's site]
    • H.J.W.G. Kole, C.G. Koedijk & M.J.C.M. Verbeek (2006). Portfolio Implications of Systemic Crises. Journal of Banking and Finance, 30 (8), 2347-2369. doi: http://dx.doi.org/10.1016/j.jbankfin.2005.08.006[go to publisher's site]

  • Professional Publication (2)

    • H.J.W.G. Kole (2011). Het failliet van de normale verdeling. VBA Journaal, 26 (1), 8-17.
    • E. Slagter, Y. Vermaes & H.J.W.G. Kole (2010). Optimale Asset Allocatie op Korte en Lange Termijn. VBA Journaal, 26, 8-17.

• Report (7)

  • F. Gresnigt, H.J.W.G. Kole & P.H.B.F. Franses (2015). Interpreting financial market crashes as earthquakes: A new early warning system for medium term crashes. (Intern rapport, EI reprint reeks, no EI-1636). Rotterdam: Econometric Institute
  • D.J.C. van Dijk & H.J.W.G. Kole (2013). How to identify and forecast bull and bear markets? (Preprints, Report, no 2013-016-F&A). Rotterdam: Erasmus Research Institute of Management
  • T.D. Markwat, H.J.W.G. Kole & D.J.C. van Dijk (2009). Contagion as a domino effect in global stock markets. (Intern rapport, EI reprint reeks, no EI-1523). 3000 DR Rotterdam: DEPARTMENT OF ECONOMETRICS
  • T.D. Markwat, H.J.W.G. Kole & D.J.C. van Dijk (2009). Time Variation in Asset Return Dependence: Strength or Structure. (Intern rapport, ERIM Report Series, no ERS-2009-052-F&A). 3000 DR Rotterdam: ERIM
  • T.D. Markwat, H.J.W.G. Kole & D.J.C. van Dijk (2008). Contagion as a Domino Effect in Global Stock Markets. (Intern rapport, ERIM Report Series, no 2008-071-F&A). 3000 DR Rotterdam: ERIM
  • H.J.W.G. Kole, C.G. Koedijk & M.J.C.M. Verbeek (2004). The effects of systemic crises when investors can be crisis ignorant. (Intern rapport, Report Series in Management, no 2004-027FA). onbekend: Erasmus Research Institute of Management
  • H.J.W.G. Kole, C.G. Koedijk & M.J.C.M. Verbeek (2003). Stress testing with Student's t dependence. (Intern rapport, Report Series in Management, no 2003-056FA). onbekend: Erasmus Research Institute of Management

• Doctoral thesis (1)

  • H.J.W.G. Kole (2006, juni 23). On Crises, Crashes and Comovements. Erasmus Universiteit Rotterdam (191 pag.) (Rotterdam: Erasmus Research Institute of Management (PhD Serie 083)) Prom./coprom.: Prof.Dr. C.G. Koedijk & prof.dr. M.J.C.M. Verbeek.

PhD list (1)

Present position

Other positions (1)