Erik Kole
Associate Professor of Financial Econometrics (Econometric and statistical methods; Econometrics not elsewhere classified; Time-series analysis; Financial economics; Time series and spatial modelling)
Rotterdam, Netherlands
Erik Kole is an Associate Professor at the Econometric Institute of Erasmus University Rotterdam. He earned his PhD in 2006 from the Rotterdam School of Management. His primary research interests lie in asset pricing, risk management, and financial econometrics, with a particular focus on the dynamics of financial crises and market crashes.
Professor Kole teaches in the Quantitative Finance track of the MSc program in Econometrics and Management Science. Additionally, he serves as the Academic Director of the Dutch and International bachelors in Econometrics and Operations Research.
Publications
- Forecasting Value-at-Risk under temporal and portfolio aggregation
- Specification testing in Hawkes models
- Cyclicality in losses on bank loans
- Het failliet van de normale verdeling
- Stress testing with Student's t dependence
- On Crises, Crashes and Comovements
- Moments, Shocks and Spillovers in Markov Switching VAR Models
- Constructing and Using Double-Adjusted Alphas to Analyze Mutual Fund Performance
- Markov Switching Models: An Example for a Stock Market Index
- Some Advice for Writing a Report or Thesis in Econometrics
- Moments, shocks and spillovers in Markov-switching VAR models
- Optimale Asset Allocatie op Korte en Lange Termijn
- The effects of systemic crises when investors can be crisis ignorant
- Time Variation in Asset Return Dependence: Strength or Structure
- Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error
- Cognitive Biases and Consumer Sentiment
- Interpreting financial market crashes as earthquakes: A new Early Warning System for medium term crashes
- Contagion as a domino effect in global stock markets
- Selecting copulas for risk management
- How to Identify and Forecast Bull and Bear Markets?
- Portfolio implications of systemic crises
- Exploiting Spillovers to Forecast Crashes
- Heterogeneous macro and financial effects of ECB asset purchase programs
- Cognitive biases in consumer sentiment: the peak-end rule and herding
- Research Data for Consumer Sentiment
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Co-workers & collaborators
- LN
Liesbeth Noordegraaf-Eelens