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

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

Assistant Professor Erasmus School of Economics Econometrics
Location
Erasmus University Rotterdam
Room
H11-13
Telephone
+31 10 4081258
Email
kole@ese.eur.nl

Latest academic publication

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

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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.

      • 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). 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 (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 (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 (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.
  • Assistant Professor

    University
    Erasmus University Rotterdam
    School
    Erasmus School of Economics
    Department
    Econometrics
    Country
    The Netherlands
    Telephone
    +31 10 4081258
  • Erasmus School of Economics

    Role
    Academic Director BSc Programmes Econometrics & Operations Research
    Obtained Wage
    yes
    Start Date
    Jan/2012

Address

Visiting address

Burg. Oudlaan 50 3062 PA Rotterdam

Postal address

Postbus 1738 3000 DR Rotterdam