Erik Kole
Names
Identifer
Contact
Affiliations
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Erasmus Universiteit Rotterdam
/ Faculteit der Economische Wetenschappen
/ Econometrisch Instituut (weight: 99%)
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Tinbergen Instituut (weight: 1%)
Research profile
author of:
- Selecting Copulas for Risk Management (RePEc:cpr:ceprdp:5652)
by Koedijk, Kees & Verbeek, Marno & Kole, Erik - Moments, shocks and spillovers in Markov-switching VAR models (RePEc:eee:econom:v:236:y:2023:i:2:s0304407623001902)
by Kole, Erik & van Dijk, Dick - Portfolio implications of systemic crises (RePEc:eee:jbfina:v:30:y:2006:i:8:p:2347-2369)
by Kole, Erik & Koedijk, Kees & Verbeek, Marno - Selecting copulas for risk management (RePEc:eee:jbfina:v:31:y:2007:i:8:p:2405-2423)
by Kole, Erik & Koedijk, Kees & Verbeek, Marno - Contagion as a domino effect in global stock markets (RePEc:eee:jbfina:v:33:y:2009:i:11:p:1996-2012)
by Markwat, Thijs & Kole, Erik & van Dijk, Dick - Interpreting financial market crashes as earthquakes: A new Early Warning System for medium term crashes (RePEc:eee:jbfina:v:56:y:2015:i:c:p:123-139)
by Gresnigt, Francine & Kole, Erik & Franses, Philip Hans - The effects of systemic crises when investors can be crisis ignorant (RePEc:ems:eureri:1270)
by Kole, H.J.W.G. & Koedijk, C.G. & Verbeek, M.J.C.M. - Contagion as Domino Effect in Global Stock Markets (RePEc:ems:eureri:13835)
by Markwat, T.D. & Kole, H.J.W.G. & van Dijk, D.J.C. - Time Variation in Asset Return Dependence: Strength or Structure? (RePEc:ems:eureri:17096)
by Markwat, T.D. & Kole, H.J.W.G. & van Dijk, D.J.C. - Riding Bubbles (RePEc:ems:eureri:17525)
by Günster, N.K. & Kole, H.J.W.G. & Jacobsen, B. - How to Identify and Forecast Bull and Bear Markets? (RePEc:ems:eureri:41558)
by Kole, H.J.W.G. & van Dijk, D.J.C. - Stress Testing with Student's t Dependence (RePEc:ems:eureri:923)
by Kole, H.J.W.G. & Koedijk, C.G. & Verbeek, M.J.C.M. - Specification Testing in Hawkes Models (RePEc:oup:jfinec:v:15:y:2017:i:1:p:139-171.)
by Francine Gresnigt & Erik Kole & Philip Hans Franses - Forecasting Value-at-Risk under Temporal and Portfolio Aggregation (RePEc:oup:jfinec:v:15:y:2017:i:4:p:649-677.)
by Erik Kole & Thijs Markwat & Anne Opschoor & Dick van Dijk - Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error (RePEc:oup:jfinec:v:21:y:2023:i:2:p:528-568.)
by Sander Barendse & Erik Kole & Dick van Dijk - Interpreting Financial Market Crashes as Earthquakes: A New early Warning System for Medium Term Crashes (RePEc:tin:wpaper:20140067)
by Francine Gresnigt & Erik Kole & Philip Hans Franses - Cyclicality in Losses on Bank Loans (RePEc:tin:wpaper:20150050)
by Bart Keijsers & Bart Diris & Erik Kole - Specification Testing in Hawkes Models (RePEc:tin:wpaper:20150086)
by Francine Gresnigt & Erik Kole & Philip Hans Franses - Exploiting Spillovers to forecast Crashes (RePEc:tin:wpaper:20150118)
by Francine Gresnigt & Erik Kole & Philip Hans Franses - Forecasting Value-at-Risk under Temporal and Portfolio Aggregation (RePEc:tin:wpaper:20150140)
by Erik Kole & Thijs Markwat & Anne Opschoor & Dick van Dijk - Constructing and Using Double-adjusted Alphas to Analyze Mutual Fund Performance (RePEc:tin:wpaper:20190029)
by Erik Kole & Reza Brink - Cognitive Biases and Consumer Sentiment (RePEc:tin:wpaper:20190031)
by Erik Kole & Liesbeth Noordegraaf-Eelens & Bas Vringer - Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error (RePEc:tin:wpaper:2019058)
by Sander Barendse & Erik Kole & Dick van Dijk - Moments, Shocks and Spillovers in Markov-switching VAR Models (RePEc:tin:wpaper:20210080)
by Erik Kole & Dick van Dijk - How to Identify and Forecast Bull and Bear Markets? (RePEc:wly:japmet:v:32:y:2017:i:1:p:120-139)
by Erik Kole & Dick Dijk - Cyclicality in losses on bank loans (RePEc:wly:japmet:v:33:y:2018:i:4:p:533-552)
by Bart Keijsers & Bart Diris & Erik Kole - Exploiting Spillovers to Forecast Crashes (RePEc:wly:jforec:v:36:y:2017:i:8:p:936-955)
by Francine Gresnigt & Erik Kole & Philip Hans Franses