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Kole, Erik's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
4,100 |
Total
Citations
34 |
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1.
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Riding Bubbles
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Guenster, Nadja
Maastricht University - Department of Finance Kole, Erik
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute Jacobsen, Ben
New Zealand Institute of Advanced Study
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Posted:
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17 Mar 08
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Last Revised:
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24 May 12
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1,576
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Guenster, Nadja
Maastricht University - Department of Finance Kole, Erik
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute Jacobsen, Ben
New Zealand Institute of Advanced Study
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451
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market efficiency, structural breaks, bubbles, asset pricing model, limits to arbitrage
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Guenster, Nadja
Maastricht University - Department of Finance Kole, Erik
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute Jacobsen, Ben
New Zealand Institute of Advanced Study
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17 Mar 08
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Last Revised:
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18 Mar 10
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1,125
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bubbles, limits to arbitrage, market efficiency, structural breaks
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2.
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Selecting Copulas for Risk Management
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Kole, Erik
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute Verbeek, Marno
Erasmus University - Rotterdam School of Management Koedijk, Kees C. G.
Tilburg University - Department of Finance
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Posted:
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07 Mar 05
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Last Revised:
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22 Jun 07
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716
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16
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Kole, Erik
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute Verbeek, Marno
Erasmus University - Rotterdam School of Management Koedijk, Kees C. G.
Tilburg University - Department of Finance
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0
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Financial dependence, Risk management, Copulas, Distributional tests, Tail dependence
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Koedijk, Kees C. G.
Tilburg University - Department of Finance Verbeek, Marno
Erasmus University - Rotterdam School of Management Kole, Erik
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
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29
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16
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Financial dependence, risk management, copulas, distributional tests, tail dependence
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Kole, Erik
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute Verbeek, Marno
Erasmus University - Rotterdam School of Management Koedijk, Kees C. G.
Tilburg University - Department of Finance
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687
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16
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Financial dependence, copulas, distributional tests, tail dependence
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3.
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Kole, Erik
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute van Dijk, Dick J. C.
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
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684
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1
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Bull and Bear Markets, Regime Switching Models, Portfolio Selection, Active Management
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4.
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Kole, Erik
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute Koedijk, Kees C. G.
Tilburg University - Department of Finance Verbeek, Marno
Erasmus University - Rotterdam School of Management
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375
(37,293)
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stress testing, dependence, extreme values, copulas, tail dependence
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5.
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Portfolio Implications of Systemic Crises
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Versions (2)
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Kole, Erik
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute Verbeek, Marno
Erasmus University - Rotterdam School of Management Koedijk, Kees C. G.
Tilburg University - Department of Finance
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Posted:
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07 Aug 05
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Last Revised:
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07 Aug 06
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288
(51,085)
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6
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Kole, Erik
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute Verbeek, Marno
Erasmus University - Rotterdam School of Management Koedijk, Kees C. G.
Tilburg University - Department of Finance
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0
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Asset allocation, Systemic risk, International finance, Regime switching models
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Kole, Erik
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute Verbeek, Marno
Erasmus University - Rotterdam School of Management Koedijk, Kees C. G.
Tilburg University - Department of Finance
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288
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6
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Asset allocation, systemic risk, international finance, emerging markets, regime switching
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6.
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Time Variation in Asset Return Dependence: Strength or Structure?
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Versions (2)
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Markwat, Thijs D.
Robeco Asset Managment Kole, Erik
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute van Dijk, Dick J. C.
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
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Posted:
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25 Aug 09
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Last Revised:
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19 Sep 12
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202
(74,836)
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2
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Markwat, Thijs D.
Robeco Asset Managment Kole, Erik
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute van Dijk, Dick J. C.
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
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35
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2
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copulas, dependence, international correlations, stock markets
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Markwat, Thijs D.
Robeco Asset Managment Kole, Erik
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute van Dijk, Dick J. C.
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
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25 Aug 09
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Last Revised:
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27 Jan 10
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167
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2
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Dependence, Stock markets, Copulas, International correlations
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7.
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Markwat, Thijs D.
Robeco Asset Managment Kole, Erik
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute van Dijk, Dick J. C.
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
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167
(89,745)
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9
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contagion, stock market crises, interdependence
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8.
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Kole, Erik
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute Verbeek, Marno
Erasmus University - Rotterdam School of Management Koedijk, Kees C. G.
Tilburg University - Department of Finance
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92
(144,451)
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asset allocation, systemic risk, international finance, regime switching
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9.
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Guenster, Nadja
Maastricht University - Department of Finance Kole, Erik
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
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| Posted: |
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09 Oct 09
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Last Revised:
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03 Nov 09
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bubbles, limits-to-arbitrage, feedback, regime switching
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10.
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Kole, Erik
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute Guenster, Nadja
Maastricht University - Department of Finance Jacobsen, Ben
New Zealand Institute of Advanced Study
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bubbles, crashes, skewness
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