Biography
Erik Kole is an assistant professor at the Econometric Institute of Erasmus University Rotterdam. His research interests include asset pricing, risk management and financial econometrics, with a focus on crises and crashes in financial markets. He has published his research in international academic journals, like the Journal of Applied Econometrics and the Journal of Banking and Finance. Professor Kole teaches in the Quantitative Finance program of the MSc Econometrics and Management Science. He is academic director of the Dutch and International bachelors in Econometrics and Operations Research. He was a visiting scholar in the department of Economics of Pompeu Fabra University in Barcelona in 2019. He obtained his PhD in 2006 from the Rotterdam School of Managament.
Erasmus School of Economics
- kole@ese.eur.nl
- Room
- ET-31
- Location
- Burg. Oudlaan 50, Rotterdam
More information
Work
- Sander Barendse, Erik Kole & Dick van Dijk (2023) - Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error - Journal of Financial Econometrics, 21 (2), 528-568 - 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]
Thesis Hub Bachelor Econometrics & OR
- Year
- 2023
- Course Code
- FEB63007
Thesis Hub BSc2 Econometrics / Economics
- Year
- 2023
- Course Code
- FEB63008
Asset Pricing
- Year Level
- master, master
- Year
- 2023
- Course Code
- FEM11008
Asset Pricing (QF variant)
- Level
- Lecture slides Exercises Literaturemaster
- Year Level
- Lecture slides Exercises Literaturemaster
- Year
- 2023
- Course Code
- FEM21003
Seminar Financial Case Studies
- Level
- master
- Year Level
- master
- Year
- 2023
- Course Code
- FEM21019
Bachelor's Thesis BSc² Econometrics/Econ
- Level
- bachelor 4
- Year Level
- bachelor 4
- Year
- 2023
- Course Code
- FEB24100
Bachelorscriptie Econometrie en Operatio
- Level
- bachelor 3
- Year Level
- bachelor 3
- Year
- 2023
- Course Code
- FEB23200
Kick off Bachelor-2 (Econometrics)
- Year
- 2023
- Course Code
- FEB62007
Take-Off Pre-Master (econometrics)
- Year
- 2023
- Course Code
- FEB63019X
Bachelor's Thesis Econometrics and Opera
- Level
- bachelor 3
- Year Level
- bachelor 3
- Year
- 2023
- Course Code
- FEB23200X