Author

Erik Kole

Observed name: Kole, Erik

Institutions: Environmental Research Institute of Michigan, Tinbergen Institute, Erasmus University Rotterdam

Observed institutions: Environmental Research Institute of Michigan, Tinbergen Institute, Erasmus University Rotterdam

ORCID: 0000-0001-9698-4072

Observed ORCID: 0000-0001-9698-4072

OpenAlex ID: A5044565441

Selecting copulas for risk management

2007 · Erik Kole, Kees Koedijk, et al. · Journal of Banking & Finance · 283

Contagion as a domino effect in global stock markets

2009 · Thijs Markwat, Erik Kole, et al. · Journal of Banking & Finance · 202

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Selecting Copulas for Risk Management

2006 · Erik Kole, Marno Verbeek, et al. · SSRN Electronic Journal · 60

How to Identify and Forecast Bull and Bear Markets?

2016 · Erik Kole, Dick van Dijk · Journal of Applied Econometrics · 58

Interpreting financial market crashes as earthquakes: A new Early Warning System for medium term crashes

2015 · Francine Gresnigt, Erik Kole, et al. · Journal of Banking & Finance · 49

Portfolio implications of systemic crises

2005 · Erik Kole, Kees Koedijk, et al. · Journal of Banking & Finance · 35

Forecasting Value-at-Risk under Temporal and Portfolio Aggregation*

2017 · Erik Kole, Thijs Markwat, et al. · Journal of Financial Econometrics · 21

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Moments, shocks and spillovers in Markov-switching VAR models

2023 · Erik Kole, Dick van Dijk · Journal of Econometrics · 19

Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error

2019 · Sander Barendse, Erik Kole, et al. · Journal of Financial Econometrics · 19

On crises, crashes and comovements

2006 · Erik Kole · RePub (Erasmus University Rotterdam) · 18

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How to Identify and Predict Bull and Bear Markets

2010 · Erik Kole, Dick van Dijk · 13

Time Variation in Asset Return Dependence: Strength or Structure?

2009 · Thijs Dingeman Markwat, Erik Kole, et al. · SSRN Electronic Journal · 13

Heterogeneous macro and financial effects of ECB asset purchase programs

2024 · Terri van der Zwan, Erik Kole, et al. · Journal of International Money and Finance · 10

Specification Testing in Hawkes Models

2016 · Francine Gresnigt, Erik Kole, et al. · Journal of Financial Econometrics · 10

Exploiting Spillovers to Forecast Crashes

2016 · Francine Gresnigt, Erik Kole, et al. · Journal of Forecasting · 8

Cyclicality in Losses on Bank Loans

2015 · Bart Keijsers, Bart Diris, et al. · Journal of Applied Econometrics · 6

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Crash Risk in the Cross Section of Stock Returns

2007 · Erik Kole, Marno Verbeek · SSRN Electronic Journal · 4

Selecting Copulas for Risk Management

2006 · Kees Koedijk, Erik Kole, et al. · RePEc: Research Papers in Economics · 3

Constructing and Using Double-Adjusted Alphas to Analyze Mutual Fund Performance

2019 · Reza Brink, Erik Kole · SSRN Electronic Journal · 2

Markov Switching Models: An Example for a Stock Market Index

2019 · Erik Kole · SSRN Electronic Journal · 2

Cognitive Biases and Consumer Sentiment

2019 · Erik Kole, Liesbeth Noordegraaf-Eelens, et al. · Empirical Economics · 2

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Riding Bubbles

2009 · Nadja Guenster, Erik Kole, et al. · SSRN Electronic Journal · 2

Bubbles and Investment Horizons

2009 · Nadja Guenster, Erik Kole · SSRN Electronic Journal · 1

Bubbles and Crashes: Empirical Evidence

2006 · Erik Kole, Nadja Guenster, et al. · SSRN Electronic Journal · 1

Stress Testing with Student's t Dependence

2003 · Erik Kole, Kees Koedijk, et al. · EUR Research Repository (Erasmus University Rotterdam) · 1

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Works count: 45

Citation count: 842

H-index: 12

I10-index: 14