Keijsers, B.J.L., Diris, B.F. and Kole, H.J.W.G. (2018). Cyclicality in Losses on Bank Loans Journal of Applied Econometrics, 33(4):533--552.
Erik Kole
University
Erasmus University Rotterdam
E-mail
Research field
Econometrics
Interests
Financial Econometrics, Risk Management
Website
Key publications
List of publications
Barendse, S.C., Kole, H.J.W.G. and van Dijk, D.J.C. (2021). Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error Journal of Financial Econometrics, :.
Keijsers, B.J.L., Diris, B.F. and Kole, H.J.W.G. (2018). Cyclicality in Losses on Bank Loans Journal of Applied Econometrics, 33(4):533--552.
Gresnigt, F., Kole, H.J.W.G. and Franses, P.H.B.F. (2017). Exploiting Spillovers to Forecast Crashes Journal of Forecasting, 36(8):936--955.
Kole, H.J.W.G., Markwat, T.D., Opschoor, A. and van Dijk, D.J.C. (2017). Forecasting Value-at-Risk under Temporal and Portfolio Aggregation* Journal of Financial Econometrics, 15(4):649--677.
Kole, H.J.W.G. and van Dijk, D.J.C. (2017). How to identify and forecast bull and bear markets? Journal of Applied Econometrics, 32(1):120--139.
Gresnigt, F., Kole, H.J.W.G. and Franses, P.H.B.F. (2016). Specification Testing in Hawkes Models Journal of Financial Econometrics, 15(1):139--171.
Gresnigt, F., Kole, H.J.W.G. and Franses, P.H.B.F. (2015). Interpreting financial market crashes as earthquakes: A new early warning system for medium term crashes Journal of Banking and Finance, 56:123--139.
Markwat, T.D., Kole, H.J.W.G. and van Dijk, D.J.C. (2009). Contagion as a domino effect in global stock markets Journal of Banking and Finance, 33(11):1996--2012.
Kole, H.J.W.G., Koedijk, C.G. and Verbeek, M.J.C.M. (2007). Selecting copulas for risk management Journal of Banking and Finance, 31(8):2405--2423.
Kole, H.J.W.G., Koedijk, C.G. and Verbeek, M.J.C.M. (2006). Portfolio Implications of Systemic Crises Journal of Banking and Finance, 30(8):2347--2369.