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Details about Erik Kole

E-mail:
Homepage:https://personal.eur.nl/kole/
Workplace:Econometrisch Instituut (Econometric Institute), Faculteit der Economische Wetenschappen (Erasmus School of Economics), Erasmus Universiteit Rotterdam (Erasmus University of Rotterdam), (more information at EDIRC)
Tinbergen Instituut (Tinbergen Institute), (more information at EDIRC)

Access statistics for papers by Erik Kole.

Last updated 2019-06-17. Update your information in the RePEc Author Service.

Short-id: pko187


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Working Papers

2019

  1. Cognitive Biases and Consumer Sentiment
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads

2017

  1. Cyclicality in Losses on Bank Loans
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (1)
    See also Journal Article in Journal of Applied Econometrics (2018)
  2. Forecasting Value-at-Risk under Temporal and Portfolio Aggregation
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (2)
    See also Journal Article in Journal of Financial Econometrics (2017)

2015

  1. Exploiting Spillovers to forecast Crashes
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    See also Journal Article in Journal of Forecasting (2017)
  2. Specification Testing in Hawkes Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (1)
    See also Journal Article in Journal of Financial Econometrics (2017)

2014

  1. Interpreting Financial Market Crashes as Earthquakes: A New early Warning System for Medium Term Crashes
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (3)
    See also Journal Article in Journal of Banking & Finance (2015)

2013

  1. 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 Downloads View citations (2)
    See also Journal Article in Journal of Applied Econometrics (2017)

2009

  1. 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 Downloads View citations (1)
  2. 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 Downloads View citations (6)

2008

  1. 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 Downloads View citations (2)
    See also Journal Article in Journal of Banking & Finance (2009)

2006

  1. Selecting Copulas for Risk Management
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (10)
    See also Journal Article in Journal of Banking & Finance (2007)

2004

  1. 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 Downloads

2003

  1. 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 Downloads

Undated

  1. Constructing and Using Double-adjusted Alphas to Analyze Mutual Fund Performance
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads

Journal Articles

2018

  1. Cyclicality in losses on bank loans
    Journal of Applied Econometrics, 2018, 33, (4), 533-552 Downloads
    See also Working Paper (2017)

2017

  1. Exploiting Spillovers to Forecast Crashes
    Journal of Forecasting, 2017, 36, (8), 936-955 Downloads
    See also Working Paper (2015)
  2. Forecasting Value-at-Risk under Temporal and Portfolio Aggregation
    Journal of Financial Econometrics, 2017, 15, (4), 649-677 Downloads View citations (1)
    See also Working Paper (2017)
  3. How to Identify and Forecast Bull and Bear Markets?
    Journal of Applied Econometrics, 2017, 32, (1), 120-139 Downloads View citations (3)
    See also Working Paper (2013)
  4. Specification Testing in Hawkes Models*
    Journal of Financial Econometrics, 2017, 15, (1), 139-171 Downloads
    See also Working Paper (2015)

2015

  1. Interpreting financial market crashes as earthquakes: A new Early Warning System for medium term crashes
    Journal of Banking & Finance, 2015, 56, (C), 123-139 Downloads View citations (4)
    See also Working Paper (2014)

2009

  1. Contagion as a domino effect in global stock markets
    Journal of Banking & Finance, 2009, 33, (11), 1996-2012 Downloads View citations (69)
    See also Working Paper (2008)

2007

  1. Selecting copulas for risk management
    Journal of Banking & Finance, 2007, 31, (8), 2405-2423 Downloads View citations (69)
    See also Working Paper (2006)

2006

  1. Portfolio implications of systemic crises
    Journal of Banking & Finance, 2006, 30, (8), 2347-2369 Downloads View citations (16)
 
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