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
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