dr. (Erik) HJWG Kole

Assistant professor Erasmus School of Economics Econometrics

Location: Burg. Oudlaan 50, Rotterdam
Room: ET-31
Email: kole@ese.eur.nl

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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 Dijk (2021) - Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error - Journal of Financial Econometrics - doi: 10.1093/jjfinec/nbab008
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
Erik Kole & Dick 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]
Erik Kole, TD (Thijs) Markwat, A (Anne) Opschoor & Dick 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 (2016) - Exploiting Spillovers to Forecast Crashes - Journal of Forecasting, 36 (8), 936-955 - doi: 10.1002/for.2434
Francine Gresnigt, Erik Kole & Philip Hans Franses (2016) - Specification Testing in Hawkes Models - Journal of Financial Econometrics, 15 (1), 139-171 - doi: 10.1093/jjfinec/nbw011
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
TD (Thijs) Markwat, Erik Kole & Dick Dijk (2009) - Contagion as a domino effect in global stock markets - Journal of Banking and Finance, 33 (11), 1996-2012 - doi: 10.1016/j.jbankfin.2009.05.008
Erik Kole, CG (Kees) Koedijk & Marno Verbeek (2007) - Selecting copulas for risk management - Journal of Banking and Finance, 31 (8), 2405-2423 - doi: 10.1016/j.jbankfin.2006.09.010
Erik Kole, CG (Kees) Koedijk & Marno Verbeek (2006) - Portfolio Implications of Systemic Crises - Journal of Banking and Finance, 30 (8), 2347-2369 - doi: 10.1016/j.jbankfin.2005.08.006

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

Erik Kole (2006) - On Crises, Crashes and Comovements - Erasmus Universiteit Rotterdam (EUR)

Bart Keijsers, Bart Diris & Erik Kole (2014) - Cyclicality in losses on bank loans (working paper)

Francine Gresnigt, Erik Kole & Philip Hans Franses (2015) - Interpreting financial market crashes as earthquakes: A new early warning system for medium term crashes - Econometric Institute, Erasmus University
TD (Thijs) Markwat, Erik Kole & Dick Dijk (2009) - Contagion as a domino effect in global stock markets - DEPARTMENT OF ECONOMETRICS
TD (Thijs) Markwat, Erik Kole & Dick Dijk (2009) - Time Variation in Asset Return Dependence: Strength or Structure - ERIM
TD (Thijs) Markwat, Erik Kole & Dick Dijk (2008) - Contagion as a Domino Effect in Global Stock Markets - ERIM
Erik Kole, CG (Kees) Koedijk & Marno Verbeek (2004) - The effects of systemic crises when investors can be crisis ignorant - Erasmus Research Institute of Management (ERIM)
Erik Kole, CG (Kees) Koedijk & Marno Verbeek (2003) - Stress testing with Student's t dependence - Erasmus Research Institute of Management (ERIM)