Research output per year
Research output per year
- 24 results
Search results
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2024
Heterogeneous macro and financial effects of ECB asset purchase programs
van der Zwan, T., Kole, E. & van der Wel, M., May 2024, In: Journal of International Money and Finance. 143, 17 p., 103073.Research output: Contribution to journal › Article › Academic › peer-review
Open AccessFile24 Downloads (Pure) -
2023
Moments, shocks and spillovers in Markov-switching VAR models
Kole, E. & van Dijk, D., Oct 2023, In: Journal of Econometrics. 236, 2, 26 p., 105474.Research output: Contribution to journal › Article › Academic › peer-review
Open AccessFile1 Downloads (Pure) -
Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error
Barendse, S., Kole, E. & van Dijk, D., 2023, In: Journal of Financial Econometrics. 21, 2, p. 528-568 41 p., nbab008.Research output: Contribution to journal › Article › Academic › peer-review
Open Access3 Citations (Web of Science) -
2021
Moments, Shocks and Spillovers in Markov-switching VAR Models
Kole, E. & van Dijk, D., 14 Sept 2021, (Accepted/In press) Tinbergen Institute, 67 p. (Journal of Econometrics).Research output: Working paper › Discussion paper › Academic
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2018
Cyclicality in Losses on Bank Loans
Keijsers, B., Diris, B. & Kole, E., 2018, In: Journal of Applied Econometrics. 33, 4, p. 533-552 20 p.Research output: Contribution to journal › Article › Academic › peer-review
Open AccessFile5 Citations (Scopus)18 Downloads (Pure) -
2017
Forecasting Value-at-Risk under temporal and portfolio aggregation
Kole, E., Markwat, T., Opschoor, A. & van Dijk, D., 1 Aug 2017, In: Journal of Financial Econometrics. 15, 4, p. 649-677 29 p.Research output: Contribution to journal › Article › Academic › peer-review
Open AccessFile13 Citations (Scopus)74 Downloads (Pure) -
How to identify and forecast bull and bear markets?
Kole, E. & van Dijk, D., 2017, In: Journal of Applied Econometrics. 32, 1, p. 120-139 20 p.Research output: Contribution to journal › Article › Academic › peer-review
32 Citations (Scopus) -
2016
Exploiting Spillovers to Forecast Crashes
Gresnigt, F., Kole, E. & Franses, P. H., 18 Aug 2016, In: Journal of Forecasting. 36, 8, p. 936-955 20 p.Research output: Contribution to journal › Article › Academic › peer-review
7 Citations (Scopus) -
Specification Testing in Hawkes Models
Gresnigt, F., Kole, E. & Franses, P. H., 2016, In: Journal of Financial Econometrics. 15, 1, p. 139-171 33 p.Research output: Contribution to journal › Article › Academic › peer-review
9 Citations (Scopus) -
2015
Interpreting financial market crashes as earthquakes: A new early warning system for medium term crashes
Gresnigt, F., Kole, E. & Franses, P. H., 2015, In: Journal of Banking and Finance. 56, p. 123-139 17 p.Research output: Contribution to journal › Article › Academic › peer-review
34 Citations (Scopus) -
Interpreting financial market crashes as earthquakes: A new early warning system for medium term crashes
Gresnigt, F., Kole, E. & Franses, P. H., 2015, EI reprint reeks EI-1636 ed. Rotterdam. 17 p. (EI reprint reeks, Vol. EI-1636).Research output: Book/Report/Inaugural speech/Farewell speech › Report › Academic
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2014
Cyclicality in losses on bank loans (working paper)
Keijsers, B., Diris, B. & Kole, E., 2014.Research output: Contribution to conference › Paper › Academic
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2013
How to identify and forecast bull and bear markets?
van Dijk, D. & Kole, E., 2013, Rotterdam: Erasmus Research Institute of Management (ERIM), (Report, Vol. 2013-016-F.Research output: Working paper › Academic
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2011
Het failliet van de normale verdeling
Kole, E., 2011, In: VBA Journaal. 26, 1, p. 8-17 10 p.Research output: Contribution to journal › Article › Professional › peer-review
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2010
Optimale Asset Allocatie op Korte en Lange Termijn
Slagter, E., Vermaes, Y. & Kole, E., 2010, In: VBA Journaal. 26, p. 8-17 10 p.Research output: Contribution to journal › Article › Professional › peer-review
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2009
Contagion as a domino effect in global stock markets
Markwat, T., Kole, E. & van Dijk, D., 2009, EI reprint reeks EI-1523 ed. 3000 DR Rotterdam. 17 p. (EI reprint reeks, Vol. EI-1523).Research output: Book/Report/Inaugural speech/Farewell speech › Report › Academic
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Contagion as a domino effect in global stock markets
Markwat, T., Kole, E. & van Dijk, D., 2009, In: Journal of Banking and Finance. 33, 11, p. 1996-2012 17 p.Research output: Contribution to journal › Article › Academic › peer-review
124 Citations (Scopus) -
Time Variation in Asset Return Dependence: Strength or Structure
Markwat, T., Kole, E. & van Dijk, D., 2009, ERIM Report Series ERS-2009-052-F&A ed. 3000 DR Rotterdam. (ERIM Report Series, Vol. ERS-2009-052-FResearch output: Book/Report/Inaugural speech/Farewell speech › Report › Academic
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2008
Contagion as a Domino Effect in Global Stock Markets
Markwat, T., Kole, E. & van Dijk, D., 2008, ERIM Report Series 2008-071-F&A ed. 3000 DR Rotterdam. (ERIM Report Series, Vol. 2008-071-FResearch output: Book/Report/Inaugural speech/Farewell speech › Report › Academic
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2007
Selecting copulas for risk management
Kole, E., Koedijk, C. & Verbeek, M., 2007, In: Journal of Banking and Finance. 31, 8, p. 2405-2423 19 p.Research output: Contribution to journal › Article › Academic › peer-review
209 Citations (Scopus) -
2006
On Crises, Crashes and Comovements
Kole, E., 23 Jun 2006, Rotterdam: Erasmus Universiteit Rotterdam (EUR). 191 p.Research output: Types of Thesis › Doctoral Thesis › Internal
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Portfolio Implications of Systemic Crises
Kole, E., Koedijk, C. & Verbeek, M., 2006, In: Journal of Banking and Finance. 30, 8, p. 2347-2369 23 p.Research output: Contribution to journal › Article › Academic › peer-review
24 Citations (Scopus) -
2004
The effects of systemic crises when investors can be crisis ignorant
Kole, E., Koedijk, C. & Verbeek, M., 2004, Report Series in Management 2004-027FA ed. onbekend: Erasmus Research Institute of Management (ERIM). 55 p. (Report Series in Management, Vol. 2004-027FA).Research output: Book/Report/Inaugural speech/Farewell speech › Report › Academic
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2003
Stress testing with Student's t dependence
Kole, E., Koedijk, C. & Verbeek, M., 2003, Report Series in Management 2003-056FA ed. onbekend: Erasmus Research Institute of Management (ERIM). 35 p. (Report Series in Management, Vol. 2003-056FA).Research output: Book/Report/Inaugural speech/Farewell speech › Report › Academic