Assistant Professor Erasmus School of Economics Econometrics
- Location
- Burg. Oudlaan 50, Rotterdam
- Room
- ET-31
- Telephone
- 0104081258
- kole@ese.eur.nl
More information
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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.
- 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: 10.1002/jae.2511 [go to publisher's site]
- 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: 10.1002/jae.2511 [go to publisher's site]
- B.J.L. Keijsers, B.F. Diris & H.J.W.G. Kole (2018). Cyclicality in Losses on Bank Loans. Journal of Applied Econometrics, 33 (4), 533-552. doi: 10.1002/jae.2612
- 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: 10.1002/for.2434
- 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: 10.1002/jae.2511 [go to publisher's site]
- 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]
- 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: 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: 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: 10.1016/j.jbankfin.2009.05.008
- 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: 10.1016/j.jbankfin.2006.09.010
- 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: 10.1016/j.jbankfin.2005.08.006
- 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.
- 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
- H.J.W.G. Kole (2012-2018). Academic director BSc Programme Econometrics & Operations Research. Erasmus School of Economics.
- 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.
Bachelor's Thesis Econometrics
- Title
- Bachelor's Thesis Econometrics
- Year
- 2020
- Year level
- bachelor 3
Bachelor's Thesis Econometrics
- Title
- Bachelor's Thesis Econometrics
- Year
- 2020
- Year level
- bachelor 3
Bachelor's Thesis BSc²
- Title
- Bachelor's Thesis BSc²
- Year
- 2020
- Year level
- bachelor 4
YFC4ESE template
- Title
- YFC4ESE template
- Year
- 2020
Asset Pricing (QF variant)
- Title
- Asset Pricing (QF variant)
- Year
- 2020
- Year level
- Lecture slides Exercises Literaturemaster
Seminar Financial Case Studies
- Title
- Seminar Financial Case Studies
- Year
- 2020
- Year level
- master
Kick off Bachelor-2 (Econometrics)
- Title
- Kick off Bachelor-2 (Econometrics)
- Year
- 2020
Thesis Hub Bachelor Econometrics & OR
- Title
- Thesis Hub Bachelor Econometrics & OR
- Year
- 2020
Thesis Hub BSc2 Econometrics / Economics
- Title
- Thesis Hub BSc2 Econometrics / Economics
- Year
- 2020
Asset Pricing
- Title
- Asset Pricing
- Year
- 2020
- Year level
- master, master
Take-Off Pre-Master Econometrics
- Title
- Take-Off Pre-Master Econometrics
- Year
- 2020
Assistant Professor
- University
- Erasmus University Rotterdam
- School
- Erasmus School of Economics
- Department
- Econometrics
- Country
- The Netherlands
- Telephone
- 0104081258
Erasmus School of Economics
- Role
- Academic Director BSc Programmes Econometrics & Operations Research
- Obtained Wage
- yes
- Start date approval
- Jan/2012