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Erik Kole
Erik Kole
Assistant Professor of Financial Econometrics, Erasmus University Rotterdam
Verified email at ese.eur.nl - Homepage
Title
Cited by
Cited by
Year
Selecting copulas for risk management
E Kole, K Koedijk, M Verbeek
Journal of Banking & Finance 31 (8), 2405-2423, 2007
4042007
Contagion as a domino effect in global stock markets
T Markwat, E Kole, D Van Dijk
Journal of Banking & Finance 33 (11), 1996-2012, 2009
2842009
How to identify and forecast bull and bear Markets?
E Kole, D Dijk
Journal of Applied Econometrics 32 (1), 120-139, 2017
96*2017
Interpreting financial market crashes as earthquakes: A new Early Warning System for medium term crashes
F Gresnigt, E Kole, PH Franses
Journal of Banking & Finance 56, 123-139, 2015
582015
Portfolio implications of systemic crises
E Kole, K Koedijk, M Verbeek
Journal of Banking & Finance 30 (8), 2347-2369, 2006
412006
Forecasting Value-at-Risk under Temporal and Portfolio Aggregation
E Kole, T Markwat, A Opschoor, D van Dijk
Journal of Financial Econometrics 15 (4), 649-677, 2017
282017
On crises, crashes and comovements
HJWG Kole
Erasmus University Rotterdam, 2006
272006
Cyclicality in losses on bank loans
B Keijsers, B Diris, E Kole
Journal of Applied Econometrics 33 (4), 533-552, 2018
182018
Specification testing in Hawkes models
F Gresnigt, E Kole, PH Franses
Journal of Financial Econometrics 15 (1), 139-171, 2016
162016
Time Variation in Asset Return Dependence: Strength or Structure?
TD Markwat, E Kole, DJC Dijk
Erasmus Research Institute of Management, Erasmus University, 2009
152009
Riding bubbles
NK Guenster, H Kole
ERIM report series research in management Erasmus Research Institute of …, 2009
142009
Crash risk in the cross section of stock returns
E Kole, M Verbeek
Erasmus University Rotterdam, Netherlands Working Paper, 2006
132006
Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error
S Barendse, E Kole, DJC van Dijk
Tinbergen Institute Discussion Paper 2019-058/III, 2019
12*2019
Markov Switching Models: An Example for a Stock Market Index
E Kole
Available at SSRN 3398954, 2019
11*2019
Exploiting Spillovers to Forecast Crashes
F Gresnigt, E Kole, PH Franses
Journal of Forecasting 36 (8), 936-955, 2017
102017
Bubbles and Long-term Investors
N Guenster, E Kole
5*2013
Moments, shocks and spillovers in Markov-switching VAR models
E Kole, D van Dijk
Journal of Econometrics 236 (2), 105474, 2023
42023
Bubbles and crashes: Empirical evidence
E Kole, N Guenster, B Jacobsen
Available at SSRN 887689, 2006
4*2006
Constructing and using double-adjusted alphas to analyze mutual fund performance
R Brink, E Kole
Tinbergen Institute Discussion Paper 2019-029/IV, 2023
12023
Cognitive Biases in Consumer Sentiment: the Peak-End Rule and Herding
E Kole, L Noordegraaf-Eelens, B Vringer
Tinbergen Institute Discussion Paper 2019-031/I, 2023
2023
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