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
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.