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

20

DOWNLOADS
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Top 6,687

in Total Papers Downloads

6,780

SSRN CITATIONS
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SSRN RANKINGS

Top 9,675

in Total Papers Citations

12

CROSSREF CITATIONS

92

Scholarly Papers (20)

1.
Downloads 2,236 ( 6,240)

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 1,674 (9,953)

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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 562 (48,877)

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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 1,448 (12,750)
Citation 2

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forecast evaluation, regime switching, stock market, economic comparison

3.
Downloads 879 ( 26,986)
Citation 36

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 850 (27,857)
Citation 8

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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 (500,492)
Citation 1
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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

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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 398 (75,742)

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

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 308 (100,660)

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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

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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 283 (110,925)
Citation 9

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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 239 (132,184)
Citation 3

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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 223 (141,427)

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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 201 (156,041)

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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 188 (165,887)
Citation 2

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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 102 (269,866)

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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 77 (321,827)

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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 62 (362,040)
Citation 2

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Hawkes processes, specification tests, extremal dependence, financial crashes

14.

Some Advice for Writing a Report or Thesis in Econometrics

Number of pages: 9 Posted: 18 Dec 2019
Erik Kole
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 58 (383,763)

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writing advice, econometric writing, economic writing

15.

Constructing and Using Double-Adjusted Alphas to Analyze Mutual Fund Performance

Tinbergen Institute Discussion Paper 2019-029/IV
Number of pages: 64 Posted: 21 May 2019
Reza Brink and Erik Kole
Erasmus University Rotterdam (EUR), Erasmus School of Economics (ESE), Students and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 31 (477,263)

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

16.

Cognitive Biases and Consumer Sentiment

Tinbergen Institute Discussion Paper 2019-031/I
Number of pages: 86 Posted: 21 May 2019 Last Revised: 20 Jun 2019
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 22 (526,313)

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

17.

Markov Switching Models: An Example for a Stock Market Index

Number of pages: 19 Posted: 14 Jun 2019
Erik Kole
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 17 (556,555)

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Markov switching, Expectation maximization, bull and bear markets

18.

Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error

Tinbergen Institute Discussion Paper 2019-058/III
Number of pages: 51 Posted: 22 Aug 2019 Last Revised: 29 Aug 2019
Erasmus University Rotterdam (EUR), Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 8 (614,432)

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expected shortfall, backtesting, risk management, tail risk, Value-at-Risk

19.

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:

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

20.

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

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bubbles, crashes, skewness