Details about Erik Kole
Access statistics for papers by Erik Kole.
Last updated 2025-03-17. Update your information in the RePEc Author Service.
Short-id: pko187
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Working Papers
2023
- Cognitive Biases and Consumer Sentiment
Tinbergen Institute Discussion Papers, Tinbergen Institute
2022
- Moments, Shocks and Spillovers in Markov-switching VAR Models
Tinbergen Institute Discussion Papers, Tinbergen Institute 
See also Journal Article Moments, shocks and spillovers in Markov-switching VAR models, Journal of Econometrics, Elsevier (2023) View citations (1) (2023)
2019
- Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (3)
See also Journal Article Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error*, Journal of Financial Econometrics, Oxford University Press (2023) View citations (2) (2023)
2017
- Cyclicality in Losses on Bank Loans
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
See also Journal Article Cyclicality in losses on bank loans, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2018) View citations (3) (2018)
- Forecasting Value-at-Risk under Temporal and Portfolio Aggregation
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (10)
See also Journal Article Forecasting Value-at-Risk under Temporal and Portfolio Aggregation, Journal of Financial Econometrics, Oxford University Press (2017) View citations (9) (2017)
2015
- Exploiting Spillovers to forecast Crashes
Tinbergen Institute Discussion Papers, Tinbergen Institute 
See also Journal Article Exploiting Spillovers to Forecast Crashes, Journal of Forecasting, John Wiley & Sons, Ltd. (2017) View citations (3) (2017)
- Specification Testing in Hawkes Models
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
See also Journal Article Specification Testing in Hawkes Models*, Journal of Financial Econometrics, Oxford University Press (2017) View citations (2) (2017)
2014
- Interpreting Financial Market Crashes as Earthquakes: A New early Warning System for Medium Term Crashes
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (3)
See also Journal Article Interpreting financial market crashes as earthquakes: A new Early Warning System for medium term crashes, Journal of Banking & Finance, Elsevier (2015) View citations (18) (2015)
2013
- How to Identify and Forecast Bull and Bear Markets?
ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam View citations (4)
See also Journal Article How to Identify and Forecast Bull and Bear Markets?, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2017) View citations (22) (2017)
2009
- Riding Bubbles
ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam View citations (1)
- Time Variation in Asset Return Dependence: Strength or Structure?
ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam View citations (7)
2008
- Contagion as Domino Effect in Global Stock Markets
ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam View citations (2)
See also Journal Article Contagion as a domino effect in global stock markets, Journal of Banking & Finance, Elsevier (2009) View citations (108) (2009)
2006
- Selecting Copulas for Risk Management
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (12)
See also Journal Article Selecting copulas for risk management, Journal of Banking & Finance, Elsevier (2007) View citations (113) (2007)
2004
- The effects of systemic crises when investors can be crisis ignorant
ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam
2003
- Stress Testing with Student's t Dependence
ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam
Undated
- Constructing and Using Double-adjusted Alphas to Analyze Mutual Fund Performance
Tinbergen Institute Discussion Papers, Tinbergen Institute
Journal Articles
2024
- Heterogeneous macro and financial effects of ECB asset purchase programs
Journal of International Money and Finance, 2024, 143, (C)
2023
- Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error*
Journal of Financial Econometrics, 2023, 21, (2), 528-568 View citations (2)
See also Working Paper Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error, Tinbergen Institute Discussion Papers (2019) View citations (3) (2019)
- Moments, shocks and spillovers in Markov-switching VAR models
Journal of Econometrics, 2023, 236, (2) View citations (1)
See also Working Paper Moments, Shocks and Spillovers in Markov-switching VAR Models, Tinbergen Institute Discussion Papers (2022) (2022)
2018
- Cyclicality in losses on bank loans
Journal of Applied Econometrics, 2018, 33, (4), 533-552 View citations (3)
See also Working Paper Cyclicality in Losses on Bank Loans, Tinbergen Institute Discussion Papers (2017) View citations (1) (2017)
2017
- Exploiting Spillovers to Forecast Crashes
Journal of Forecasting, 2017, 36, (8), 936-955 View citations (3)
See also Working Paper Exploiting Spillovers to forecast Crashes, Tinbergen Institute Discussion Papers (2015) (2015)
- Forecasting Value-at-Risk under Temporal and Portfolio Aggregation
Journal of Financial Econometrics, 2017, 15, (4), 649-677 View citations (9)
See also Working Paper Forecasting Value-at-Risk under Temporal and Portfolio Aggregation, Tinbergen Institute Discussion Papers (2017) View citations (10) (2017)
- How to Identify and Forecast Bull and Bear Markets?
Journal of Applied Econometrics, 2017, 32, (1), 120-139 View citations (22)
See also Working Paper How to Identify and Forecast Bull and Bear Markets?, ERIM Report Series Research in Management (2013) View citations (4) (2013)
- Specification Testing in Hawkes Models*
Journal of Financial Econometrics, 2017, 15, (1), 139-171 View citations (2)
See also Working Paper Specification Testing in Hawkes Models, Tinbergen Institute Discussion Papers (2015) View citations (2) (2015)
2015
- Interpreting financial market crashes as earthquakes: A new Early Warning System for medium term crashes
Journal of Banking & Finance, 2015, 56, (C), 123-139 View citations (18)
See also Working Paper Interpreting Financial Market Crashes as Earthquakes: A New early Warning System for Medium Term Crashes, Tinbergen Institute Discussion Papers (2014) View citations (3) (2014)
2009
- Contagion as a domino effect in global stock markets
Journal of Banking & Finance, 2009, 33, (11), 1996-2012 View citations (108)
See also Working Paper Contagion as Domino Effect in Global Stock Markets, ERIM Report Series Research in Management (2008) View citations (2) (2008)
2007
- Selecting copulas for risk management
Journal of Banking & Finance, 2007, 31, (8), 2405-2423 View citations (113)
See also Working Paper Selecting Copulas for Risk Management, CEPR Discussion Papers (2006) View citations (12) (2006)
2006
- Portfolio implications of systemic crises
Journal of Banking & Finance, 2006, 30, (8), 2347-2369 View citations (20)
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