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Details about Erik Kole

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 2024-03-07. Update your information in the RePEc Author Service.

Short-id: pko187


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Working Papers

2023

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

2022

  1. Moments, Shocks and Spillovers in Markov-switching VAR Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    See also Journal Article Moments, shocks and spillovers in Markov-switching VAR models, Journal of Econometrics, Elsevier (2023) Downloads View citations (1) (2023)

2019

  1. Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads 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) Downloads View citations (1) (2023)

2017

  1. Cyclicality in Losses on Bank Loans
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (1)
    See also Journal Article Cyclicality in losses on bank loans, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2018) Downloads View citations (3) (2018)
  2. Forecasting Value-at-Risk under Temporal and Portfolio Aggregation
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (10)
    See also Journal Article Forecasting Value-at-Risk under Temporal and Portfolio Aggregation, Journal of Financial Econometrics, Oxford University Press (2017) Downloads View citations (9) (2017)

2015

  1. Exploiting Spillovers to forecast Crashes
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    See also Journal Article Exploiting Spillovers to Forecast Crashes, Journal of Forecasting, John Wiley & Sons, Ltd. (2017) Downloads View citations (2) (2017)
  2. Specification Testing in Hawkes Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (2)
    See also Journal Article Specification Testing in Hawkes Models*, Journal of Financial Econometrics, Oxford University Press (2017) Downloads View citations (2) (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 Interpreting financial market crashes as earthquakes: A new Early Warning System for medium term crashes, Journal of Banking & Finance, Elsevier (2015) Downloads View citations (18) (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 (4)
    See also Journal Article How to Identify and Forecast Bull and Bear Markets?, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2017) Downloads View citations (20) (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 (7)

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 Contagion as a domino effect in global stock markets, Journal of Banking & Finance, Elsevier (2009) Downloads View citations (106) (2009)

2006

  1. Selecting Copulas for Risk Management
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (12)
    See also Journal Article Selecting copulas for risk management, Journal of Banking & Finance, Elsevier (2007) Downloads View citations (112) (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

2023

  1. Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error*
    Journal of Financial Econometrics, 2023, 21, (2), 528-568 Downloads View citations (1)
    See also Working Paper Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error, Tinbergen Institute Discussion Papers (2019) Downloads View citations (3) (2019)
  2. Moments, shocks and spillovers in Markov-switching VAR models
    Journal of Econometrics, 2023, 236, (2) Downloads View citations (1)
    See also Working Paper Moments, Shocks and Spillovers in Markov-switching VAR Models, Tinbergen Institute Discussion Papers (2022) Downloads (2022)

2018

  1. Cyclicality in losses on bank loans
    Journal of Applied Econometrics, 2018, 33, (4), 533-552 Downloads View citations (3)
    See also Working Paper Cyclicality in Losses on Bank Loans, Tinbergen Institute Discussion Papers (2017) Downloads View citations (1) (2017)

2017

  1. Exploiting Spillovers to Forecast Crashes
    Journal of Forecasting, 2017, 36, (8), 936-955 Downloads View citations (2)
    See also Working Paper Exploiting Spillovers to forecast Crashes, Tinbergen Institute Discussion Papers (2015) Downloads (2015)
  2. Forecasting Value-at-Risk under Temporal and Portfolio Aggregation
    Journal of Financial Econometrics, 2017, 15, (4), 649-677 Downloads View citations (9)
    See also Working Paper Forecasting Value-at-Risk under Temporal and Portfolio Aggregation, Tinbergen Institute Discussion Papers (2017) Downloads View citations (10) (2017)
  3. How to Identify and Forecast Bull and Bear Markets?
    Journal of Applied Econometrics, 2017, 32, (1), 120-139 Downloads View citations (20)
    See also Working Paper How to Identify and Forecast Bull and Bear Markets?, ERIM Report Series Research in Management (2013) Downloads View citations (4) (2013)
  4. Specification Testing in Hawkes Models*
    Journal of Financial Econometrics, 2017, 15, (1), 139-171 Downloads View citations (2)
    See also Working Paper Specification Testing in Hawkes Models, Tinbergen Institute Discussion Papers (2015) Downloads View citations (2) (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 (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) Downloads View citations (3) (2014)

2009

  1. Contagion as a domino effect in global stock markets
    Journal of Banking & Finance, 2009, 33, (11), 1996-2012 Downloads View citations (106)
    See also Working Paper Contagion as Domino Effect in Global Stock Markets, ERIM Report Series Research in Management (2008) Downloads View citations (2) (2008)

2007

  1. Selecting copulas for risk management
    Journal of Banking & Finance, 2007, 31, (8), 2405-2423 Downloads View citations (112)
    See also Working Paper Selecting Copulas for Risk Management, CEPR Discussion Papers (2006) Downloads View citations (12) (2006)

2006

  1. Portfolio implications of systemic crises
    Journal of Banking & Finance, 2006, 30, (8), 2347-2369 Downloads View citations (19)
 
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