Hendrikus J.W.G. Kole

Erik Kole is affiliated with the Econometric Institute of Erasmus University Rotterdam as assistant professor in financial econometrics. He recently won a Veni-grant from the Netherlands Organisation for Scientific Research, which finances his position for three years. His research includes risk management, asset pricing and financial econometrics, and he specializes in crises and crashes in financial markets. Kole has published his research in international academic journals, like the Journal of Banking and Finance. He is a regular presenter at international conferences of the European Finance Association and the Society for Financial Econometrics.

Education

• Erasmus University Rotterdam
  PhD in Management, Erasmus Research Institute of Management,

• Maastricht University
  MSc. in Econometrics, School of Business and Economics

Research Interests

• Asset Pricing, Financial Stability, Financial Econometrics, Risk Management

Publications

Barendse, S., E. Kole and D. van Dijk, 2021, Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error, Journal of Financial Econometrics, 41 pages. Download from JFEC. Avalaible at SSRN and as Tinbergen Institute Discussion Paper TI 2019-058/III.

Keijsers, B., Diris, B. and Kole, E., 2018, Cyclicality in Losses on Bank Loans, Journal of Applied Econometrics, 33(4), 533-552. Download from JAE. Available at SSRN and as Tinbergen Institute Discussion Paper 15-050/III.

Gresnigt, F. E. Kole and P.H. Franses, 2017, Exploiting Spillovers to Forecast Crashes, Journal of Forecasting, 36(8), 936-955. Download from JoF. Available at SSRN and as Tinbergen Institute Discussion Paper 15-118/III.

Kole, E., T. Markwat, A. Opschoor, and D. Van Dijk, 2017, Forecasting Value-at-Risk under Temporal and Portfolio Aggregation, Journal of Financial Econometrics, 15(4):649-677. Download from JFEC. Available at SSRN and as Tinbergen Institute Discussion paper 15-140/III.

Gresnigt, F. E. Kole and P.H. Franses, 2016, Specification Testing in Hawkes Models, Journal of Financial Econometrics, 15(1):139-171. Download from JFEC. Available at SSRN and as Tinbergen Institute Discussion Paper 15-086/III.

Kole, E., D. van Dijk, 2017, How to identitfy and forecast bull and bear markets, Journal of Applied Econometrics, 32(1):120-139. Download from JAE. Available at SSRN and as ERS-2013-016-F&A.

Gresnigt, F. E. Kole and P.H. Franses, 2015, Interpreting Financial Market Crashes as Earthquakes: A New Early Warning System for Medium-term Crashes, Journal of Banking & Finance, 56:123-139. Download from JBF. Available at SSRN and as TI 14-067/III.

Markwat, T., E. Kole and D. van Dijk, 2009, Contagion as a Domino Effect in Financial Markets, Journal of Banking & Finance, 33(11):1996-2012. Download from JBF. Available at SSRN and as ERS-2008-071-F&A.

Kole, E., K. Koedijk and M. Verbeek, 2007, Selecting Copulas for Risk Management, Journal of Banking & Finance, 31(8):2405-2423. Download from JBF. Download working paper version (also available at SSRN).

Kole, E., K. Koedijk and M. Verbeek, 2006, Portfolio Implications of Systemic Crises, Journal of Banking & Finance, 30(8):2347-2369. Download from JBF. Download working paper version (also available at SSRN).

Kole, H.J.W.G., 2006, On Crises, Crashes and Comovements (Over crises, crashes en afhankelijkheid in koersverloop), ERIM Ph.D. Series in Management, No. 83, xiv + 191 pages, ERIM, Rotterdam, The Netherlands