• Graduate program
    • Why Tinbergen Institute?
    • Program Structure
    • Courses
    • Course Registration
    • Recent PhD Placements
    • Admissions
    • Facilities
  • Research
  • News
  • Events
    • Events Calendar
    • Tinbergen Institute Lectures
    • Annual Tinbergen Institute Conference
    • Events Archive
    • Summer School
      • Econometric Methods for Forecasting and Data Science
      • Introduction in Genome-Wide Data Analysis
      • Business Data Science Summer School Program
  • Times
Home | People | Erik Kole
 placeholder

Erik Kole

Research Fellow

University
Erasmus University Rotterdam
Research field
Econometrics
Interests
Financial Econometrics, Risk Management

List of publications

Keijsers, B.J.L., Diris, B.F. and Kole, H.J.W.G. (2018). Cyclicality in Losses on Bank Loans Journal of Applied Econometrics, 33(4):533--552.

Gresnigt, F., Kole, H.J.W.G. and Franses, P.H.B.F. (2017). Exploiting Spillovers to Forecast Crashes Journal of Forecasting, 36(8):936--955.

Kole, H.J.W.G., Markwat, T.D., Opschoor, A. and van Dijk, D.J.C. (2017). Forecasting Value-at-Risk under Temporal and Portfolio Aggregation* Journal of Financial Econometrics, 15(4):649--677.

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(1):120--139.

Gresnigt, F., Kole, H.J.W.G. and Franses, P.H.B.F. (2016). Specification Testing in Hawkes Models Journal of Financial Econometrics, 15(1):139--171.

Gresnigt, F., 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., 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(11):1996--2012.

Kole, H.J.W.G., Koedijk, C.G. and Verbeek, M.J.C.M. (2007). Selecting copulas for risk management Journal of Banking and Finance, 31(8):2405--2423.

Kole, H.J.W.G., Koedijk, C.G. and Verbeek, M.J.C.M. (2006). Portfolio Implications of Systemic Crises Journal of Banking and Finance, 30(8):2347--2369.