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

Working Papers

2023

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

2022

2. 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

3. 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

4. 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)
5. 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

6. 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)
7. 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

8. 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

9. 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

10. 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)
11. 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

12. 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

13. 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 (114) (2007)

2004

14. 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

15. 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

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

Journal Articles

2024

1. Heterogeneous macro and financial effects of ECB asset purchase programs
   Journal of International Money and Finance, 2024, 143, (C)

2023

2. 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)
3. 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

4. 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

5. 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)
6. 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)
7. 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)
8. 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

9. 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

10. 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

11. Selecting copulas for risk management
    Journal of Banking & Finance, 2007, 31, (8), 2405-2423 View citations (114)
    See also Working Paper Selecting Copulas for Risk Management, CEPR Discussion Papers (2006) View citations (12) (2006)

2006

12. Portfolio implications of systemic crises
    Journal of Banking & Finance, 2006, 30, (8), 2347-2369 View citations (20)