Erik Kole

Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute

Assistant Professor of Financial Econometrics

P.O. Box 1738

3000 DR Rotterdam

Netherlands

http://people.few.eur.nl/kole

ERIM

P.O. Box 1738

3000 DR Rotterdam

Netherlands

Tinbergen Institute

Candidate Fellow

Burg. Oudlaan 50

Rotterdam, 3062 PA

Netherlands

http://people.few.eur.nl/kole

SCHOLARLY PAPERS

17

DOWNLOADS
Rank 6,580

SSRN RANKINGS

Top 6,580

in Total Papers Downloads

6,529

CITATIONS
Rank 12,061

SSRN RANKINGS

Top 12,061

in Total Papers Citations

33

Scholarly Papers (17)

1.
Downloads 2,204 ( 5,936)

Riding Bubbles

Paris December 2007 Finance International Meeting AFFI-EUROFIDAI Paper
Number of pages: 80 Posted: 17 Mar 2008 Last Revised: 18 Mar 2010
Nadja Guenster, Erik Kole and Ben Jacobsen
University of Muenster - Finance Center Muenster, Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute and Tilburg University - TIAS School for Business and Society
Downloads 1,643 (9,555)

Abstract:

Loading...

bubbles, limits to arbitrage, market efficiency, structural breaks

Riding Bubbles

ERIM Report Series Reference No. ERS-2009-058-F&A
Number of pages: 64 Posted: 17 May 2010
Nadja Guenster, Erik Kole and Ben Jacobsen
University of Muenster - Finance Center Muenster, Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute and Tilburg University - TIAS School for Business and Society
Downloads 561 (46,174)

Abstract:

Loading...

market efficiency, structural breaks, bubbles, asset pricing model, limits to arbitrage

2.

How to Identify and Forecast Bull and Bear Markets?

Paris December 2010 Finance Meeting EUROFIDAI - AFFI, ERIM Report Series Reference No. ERS-2013-016-F&A
Number of pages: 77 Posted: 22 Oct 2010
Erik Kole and Dick J. C. van Dijk
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 1,424 (12,251)
Citation 1

Abstract:

Loading...

forecast evaluation, regime switching, stock market, economic comparison

3.
Downloads 866 ( 26,003)
Citation 15

Selecting Copulas for Risk Management

Number of pages: 28 Posted: 07 Mar 2005
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute, Erasmus University - Rotterdam School of Management and Tilburg University - Department of Finance
Downloads 837 (26,875)
Citation 15

Abstract:

Loading...

Financial dependence, copulas, distributional tests, tail dependence

Selecting Copulas for Risk Management

CEPR Discussion Paper No. 5652
Number of pages: 24 Posted: 27 Jul 2006
Tilburg University - Department of Finance, Erasmus University - Rotterdam School of Management and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 29 (473,792)
Citation 15
  • Add to Cart

Abstract:

Loading...

Financial dependence, risk management, copulas, distributional tests, tail dependence

Selecting Copulas for Risk Management

Journal of Banking and Finance, Forthcoming
Posted: 22 Jun 2007
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute, Erasmus University - Rotterdam School of Management and Tilburg University - Department of Finance

Abstract:

Loading...

Financial dependence, Risk management, Copulas, Distributional tests, Tail dependence

4.

Stress Testing with Student's T Dependence

ERIM Report Series Reference No. ERS-2003-056-F&A
Number of pages: 39 Posted: 26 Aug 2006
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute, Tilburg University - Department of Finance and Erasmus University - Rotterdam School of Management
Downloads 396 (71,945)

Abstract:

Loading...

stress testing, dependence, extreme values, copulas, tail dependence

5.
Downloads 305 ( 96,808)
Citation 6

Portfolio Implications of Systemic Crises

EFA 2005 Moscow Meetings Paper
Number of pages: 40 Posted: 07 Aug 2005
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute, Erasmus University - Rotterdam School of Management and Tilburg University - Department of Finance
Downloads 305 (96,296)
Citation 6

Abstract:

Loading...

Asset allocation, systemic risk, international finance, emerging markets, regime switching

Portfolio Implications of Systemic Crises

Journal of Banking and Finance, Vol. 30, No. 8, pp. 2347-2369, August 2006
Posted: 31 Mar 2006
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute, Erasmus University - Rotterdam School of Management and Tilburg University - Department of Finance

Abstract:

Loading...

Asset allocation, Systemic risk, International finance, Regime switching models

6.

Time Variation in Asset Return Dependence: Strength or Structure?

22nd Australasian Finance and Banking Conference 2009, ERIM Report Series Reference No. ERS-2009-052-F&A
Number of pages: 64 Posted: 25 Aug 2009 Last Revised: 25 Nov 2013
Robeco Asset Management, Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 276 (107,820)
Citation 2

Abstract:

Loading...

Dependence, Stock markets, Copulas, International correlations

7.

Interpreting Financial Market Crashes as Earthquakes: A New Early Warning System for Medium Term Crashes

Tinbergen Institute Discussion Paper 14-067/III
Number of pages: 48 Posted: 24 Jul 2014
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute and Erasmus University Rotterdam (EUR) - Department of Econometrics
Downloads 232 (128,903)

Abstract:

Loading...

Financial crashes, Hawkes process, self-exciting process, Early Warning System

8.

Cyclicality in Losses on Bank Loans

Tinbergen Institute Discussion Paper 15-050/III
Number of pages: 68 Posted: 05 May 2015 Last Revised: 07 Oct 2017
Bart Keijsers, Bart F. Diris and Erik Kole
University of Amsterdam - Amsterdam School of Economics (ASE), Erasmus University Rotterdam (EUR) - Department of Econometrics and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 216 (138,124)

Abstract:

Loading...

Loss-given-default, default rates, credit risk, capital requirements, dynamic factor models

9.

Contagion as Domino Effect in Global Stock Markets

ERIM Report Series Reference No. ERS-2008-071-F&A
Number of pages: 50 Posted: 21 Nov 2008
Robeco Asset Management, Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 197 (150,565)
Citation 9

Abstract:

Loading...

contagion, stock market crises, interdependence

10.

Forecasting Value-at-Risk Under Temporal and Portfolio Aggregation

Tinbergen Institute Discussion Paper 15-140/III
Number of pages: 91 Posted: 06 Jan 2016 Last Revised: 25 Apr 2017
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute, Robeco Asset Management, Vrije Universiteit Amsterdam and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 185 (159,520)

Abstract:

Loading...

forecast evaluation, aggregation, Value-at-Risk, model comparison

11.

The Effects of Systemic Crises When Investors Can Be Crisis Ignorant

ERIM Report Series Reference No. ERS-2004-027-F&A
Number of pages: 58 Posted: 26 Aug 2006
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute, Erasmus University - Rotterdam School of Management and Tilburg University - Department of Finance
Downloads 100 (259,513)

Abstract:

Loading...

asset allocation, systemic risk, international finance, regime switching

12.

Exploiting Spillovers to Forecast Crashes

Tinbergen Institute Discussion Paper 15-118/III
Number of pages: 37 Posted: 24 Oct 2015
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute and Erasmus University Rotterdam (EUR) - Department of Econometrics
Downloads 73 (314,796)

Abstract:

Loading...

Hawkes processes, extremal dependence, Value-at-Risk, financial crashes, spillover

13.

Specification Testing in Hawkes Models

Tinbergen Institute Discussion Paper 15-086/III
Number of pages: 38 Posted: 25 Jul 2015 Last Revised: 09 Sep 2015
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute and Erasmus University Rotterdam (EUR) - Department of Econometrics
Downloads 53 (370,097)

Abstract:

Loading...

Hawkes processes, specification tests, extremal dependence, financial crashes

14.

Constructing and using double-adjusted alphas to analyze mutual fund performance

Tinbergen Institute Discussion Paper 2019-029/IV
Number of pages: 64
Erik Kole and Reza Brink
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute and Erasmus University Rotterdam (EUR), Erasmus School of Economics (ESE), Students
Downloads 2

Abstract:

Loading...

Mutual fund performance, Double-adjusted performance, Firm characteristics, Hierarchical Bayes

15.

Bubbles and Investment Horizons

Paris December 2009 Finance International Meeting AFFI - EUROFIDAI
Posted: 09 Oct 2009 Last Revised: 03 Nov 2009
Nadja Guenster and Erik Kole
University of Muenster - Finance Center Muenster and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute

Abstract:

Loading...

bubbles, limits-to-arbitrage, feedback, regime switching

16.

Bubbles and Crashes: Empirical Evidence

Posted: 06 Mar 2006
Erik Kole, Nadja Guenster and Ben Jacobsen
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute, University of Muenster - Finance Center Muenster and Tilburg University - TIAS School for Business and Society

Abstract:

Loading...

bubbles, crashes, skewness

17.

Cognitive Biases and Consumer Sentiment

Tinbergen Institute Discussion Paper 2019-031/I
Number of pages: 86
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute, Erasmus University Rotterdam (EUR) - Faculty of Philosophy and Erasmus University Rotterdam (EUR), Erasmus School of Economics (ESE), Students
Downloads 0

Abstract:

Loading...

Consumer sentiment, cognitive biases, peak-end rule, herding