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

  • Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute

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SCHOLARLY PAPERS

22

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91

Scholarly Papers (22)

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1.

Riding Bubbles

Downloads 2,570 ( 9,395)
Citation 1

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 Münster - Finance Center Muenster, Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute and Tilburg University - TIAS School for Business and Society
Downloads 1,945 (14,459)

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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 Münster - Finance Center Muenster, Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute and Tilburg University - TIAS School for Business and Society
Downloads 625 (73,432)

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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 1,842 (16,010)
Citation 8

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forecast evaluation, regime switching, stock market, economic comparison

3.

Some Advice for Writing a Report or Thesis in Econometrics

Number of pages: 10 Posted: 18 Dec 2019 Last Revised: 16 Apr 2020
Erik Kole
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 1,838 (16,060)

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writing advice, econometric writing, economic writing

4.

Selecting Copulas for Risk Management

Downloads 1,060 (36,456)
Citation 42

Selecting Copulas for Risk Management

Number of pages: 28 Posted: 07 Mar 2005
Erik Kole, Marno Verbeek and Kees C. G. Koedijk
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute, Erasmus University - Rotterdam School of Management and Tilburg University - Department of Finance
Downloads 1,031 (37,388)
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
Kees C. G. Koedijk, Marno Verbeek and Erik Kole
Tilburg University - Department of Finance, Erasmus University - Rotterdam School of Management and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 29 (823,798)
Citation 4
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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
Erik Kole, Marno Verbeek and Kees C. G. Koedijk
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

5.

Stress Testing with Student's T Dependence

Number of pages: 39 Posted: 26 Aug 2006
Erik Kole, Kees C. G. Koedijk and Marno Verbeek
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute, Tilburg University - Department of Finance and Erasmus University - Rotterdam School of Management
Downloads 430 (117,368)

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

6.

Portfolio Implications of Systemic Crises

Downloads 332 (156,547)

Portfolio Implications of Systemic Crises

EFA 2005 Moscow Meetings Paper
Number of pages: 40 Posted: 07 Aug 2005
Erik Kole, Marno Verbeek and Kees C. G. Koedijk
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute, Erasmus University - Rotterdam School of Management and Tilburg University - Department of Finance
Downloads 332 (155,516)
Citation 1

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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
Erik Kole, Marno Verbeek and Kees C. G. Koedijk
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

7.

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
Thijs D. Markwat, Erik Kole and Dick J. C. van Dijk
Robeco Asset Management, Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 318 (163,971)
Citation 9

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Dependence, Stock markets, Copulas, International correlations

8.

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
Francine Gresnigt, Erik Kole and Philip Hans Franses
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 275 (190,661)
Citation 3

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

9.

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, Bart F. Diris and Erik Kole
University of Amsterdam - Amsterdam School of Economics (ASE), Erasmus University Rotterdam (EUR) - Department of EconometricsNetspar and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 260 (201,638)
Citation 1

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

10.

Markov Switching Models: An Example for a Stock Market Index

Number of pages: 21 Posted: 14 Jun 2019 Last Revised: 14 Aug 2020
Erik Kole
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 243 (215,552)

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Markov switching, Expectation maximization, bull and bear markets

11.

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
Erik Kole, Thijs D. Markwat, Anne Opschoor and Dick J. C. van Dijk
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 238 (219,912)
Citation 5

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

12.

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
Thijs D. Markwat, Erik Kole and Dick J. C. van Dijk
Robeco Asset Management, Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 234 (223,572)
Citation 10

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contagion, stock market crises, interdependence

13.

Moments, Shocks and Spillovers in Markov-switching VAR Models

Tinbergen Institute Discussion Paper 2021-080/III
Number of pages: 67 Posted: 20 Sep 2021 Last Revised: 18 Jan 2023
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 167 (303,321)

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Markov-switching VAR, moments, impulse response analysis, bull and bear markets

14.

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
Erik Kole, Marno Verbeek and Kees C. G. Koedijk
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute, Erasmus University - Rotterdam School of Management and Tilburg University - Department of Finance
Downloads 122 (389,458)

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asset allocation, systemic risk, international finance, regime switching

15.

Exploiting Spillovers to Forecast Crashes

Tinbergen Institute Discussion Paper 15-118/III
Number of pages: 37 Posted: 24 Oct 2015
Francine Gresnigt, Erik Kole and Philip Hans Franses
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 107 (428,398)

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

16.

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

Tinbergen Institute Discussion Paper 2019-029/IV
Number of pages: 76 Posted: 21 May 2019 Last Revised: 30 May 2023
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 105 (434,076)

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

17.

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
Francine Gresnigt, Erik Kole and Philip Hans Franses
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 88 (487,735)
Citation 2

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Hawkes processes, specification tests, extremal dependence, financial crashes

18.

Cognitive Biases in Consumer Sentiment: the Peak-End Rule and Herding

Tinbergen Institute Discussion Paper 2019-031/I
Number of pages: 97 Posted: 21 May 2019 Last Revised: 20 Mar 2023
Erik Kole, Liesbeth Noordegraaf-Eelens and Bas Vringer
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 87 (494,603)

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

19.

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

Tinbergen Institute Discussion Paper 2019-058/III
Number of pages: 75 Posted: 22 Aug 2019 Last Revised: 11 Mar 2021
Sander Barendse, Erik Kole and Dick J. C. van Dijk
University of Amsterdam - Faculty of Economics and Business (FEB), Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 85 (498,148)
Citation 1

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

20.

Heterogeneous Macro and Financial Effects of ECB Asset Purchase Programs

Tinbergen Institute Discussion Paper 2021-109/III
Number of pages: 71 Posted: 05 Jan 2022 Last Revised: 25 Oct 2023
Terri van der Zwan, Erik Kole and Michel van der Wel
Erasmus University Rotterdam (EUR), Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute and Erasmus University Rotterdam
Downloads 1 (1,046,086)

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Unconventional monetary policy, financial markets, heterogeneity, structural vector autoregression

21.

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 Münster - Finance Center Muenster and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute

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

22.

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 Münster - Finance Center Muenster and Tilburg University - TIAS School for Business and Society

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bubbles, crashes, skewness