Erik Kole

Research Fellow

Erasmus University Rotterdam

Econometrics

Financial Econometrics, Risk Management

Key publications

Kole, E. and van Dijk, D. (2023). Moments, shocks and spillovers in Markov-switching VAR models Journal of Econometrics, 236(2):.

Keijsers, B., Diris, B. and Kole, E. (2018). Cyclicality in losses on bank loans Journal of Applied Econometrics, 33(4):533--552.

Kole, E. and van Dijk, D. (2017). How to identify and forecast bull and bear markets? Journal of Applied Econometrics, 32(1):120--139.

List of publications

van der Zwan, T., Kole, E. and van der Wel, M. (2024). Heterogeneous macro and financial effects of ECB asset purchase programs Journal of International Money and Finance, 143:.

Barendse, S., Kole, E. and van Dijk, D. (2023). Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error Journal of Financial Econometrics, 21(2):528--568.

Kole, E. and van Dijk, D. (2023). Moments, shocks and spillovers in Markov-switching VAR models Journal of Econometrics, 236(2):.

Keijsers, B., Diris, B. and Kole, E. (2018). Cyclicality in losses on bank loans Journal of Applied Econometrics, 33(4):533--552.

Gresnigt, F., Kole, E. and Franses, P.H. (2016). Exploiting Spillovers to Forecast Crashes Journal of Forecasting, 36(8):936--955.

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

Kole, E. and van Dijk, D. (2017). How to identify and forecast bull and bear markets? Journal of Applied Econometrics, 32(1):120--139.

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

Gresnigt, F., Kole, E. and Franses, P.H. (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.(., Kole, E. and van Dijk, D. (2009). Contagion as a domino effect in global stock markets Journal of Banking and Finance, 33(11):1996--2012.

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

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