Erik Kole

Research Fellow

Erasmus University Rotterdam

Econometrics

financial econometrics, risk management

Key publications

Keijsers, B., Diris, B., and Kole, H. (2018). Cyclicality in losses on bank loans. Journal of Applied Econometrics, 33(4):533-552.

Kole, H. and van Dijk, D. (2017). How to identify and forecast bull and bear markets? Journal of Applied Econometrics, 32(1):120-139.

List of publications

Keijsers,B.J.L. and Diris,B.F. and Kole,H.J.W.G.. 2018. Cyclicality in Losses on Bank Loans. Journal of Applied Econometrics, 33, 533--552

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, 120--139

Erik Kole and Thijs Markwat and Anne Opschoor and Van Dijk, Dick. 2017. Forecasting Value-at-Risk under Temporal and Portfolio Aggregation*. Journal of Financial Econometrics, 15, 649--677, 1479-8409

Gresnigt,F. and Kole,H.J.W.G. and Franses,P.H.B.F.. 2017. Exploiting Spillovers to Forecast Crashes. Journal of Forecasting, 36, 936--955

Gresnigt,F. and Kole,H.J.W.G. and Franses,P.H.B.F.. 2016. Specification Testing in Hawkes Models. Journal of Financial Econometrics, 15, 139--171

Gresnigt,F. and 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. and 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, 1996--2012

Kole,H.J.W.G. and Koedijk,C.G. and Verbeek,M.J.C.M.. 2007. Selecting copulas for risk management. Journal of Banking and Finance, 31, 2405--2423

Kole,H.J.W.G. and Koedijk,C.G. and Verbeek,M.J.C.M.. 2006. Portfolio Implications of Systemic Crises. Journal of Banking and Finance, 30, 2347--2369