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Publications

by alumni of

Erasmus Universiteit Rotterdam → Rotterdam School of Management (RSM Erasmus University) → Department of Finance

Erasmus University of Rotterdam

These are publications listed in RePEc written by alumni of the above institution who are registered with the RePEc Author Service and listed in the RePEc Genealogy. List of alumni. For a list of publications by current members of the department, see here. Register yourself.

This page is updated in the first days of each month.

| Working papers | Journal articles |

Working papers

2022

  1. Erik Kole & Dick van Dijk, 2022, "Moments, Shocks and Spillovers in Markov-switching VAR Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 21-080/III, Apr, revised 11 Jan 2022.

2019

  1. Erik Kole & Liesbeth Noordegraaf-Eelens & Bas Vringer, 2019, "Cognitive Biases and Consumer Sentiment," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 19-031/I, May, revised 21 Mar 2023.
  2. Sander Barendse & Erik Kole & Dick van Dijk, 2019, "Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 19-058/III, Aug.

2015

  1. Bart Keijsers & Bart Diris & Erik Kole, 2015, "Cyclicality in Losses on Bank Loans," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 15-050/III, May, revised 01 Sep 2017.
  2. Francine Gresnigt & Erik Kole & Philip Hans Franses, 2015, "Specification Testing in Hawkes Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 15-086/III, Jul.
  3. Francine Gresnigt & Erik Kole & Philip Hans Franses, 2015, "Exploiting Spillovers to forecast Crashes," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 15-118/III, Oct.
  4. Erik Kole & Thijs Markwat & Anne Opschoor & Dick van Dijk, 2015, "Forecasting Value-at-Risk under Temporal and Portfolio Aggregation," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 15-140/III, Jan, revised 19 Apr 2017.

2014

  1. Francine Gresnigt & Erik Kole & Philip Hans Franses, 2014, "Interpreting Financial Market Crashes as Earthquakes: A New early Warning System for Medium Term Crashes," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-067/III, Jun.

2013

  1. Kole, H.J.W.G. & van Dijk, D.J.C., 2013, "How to Identify and Forecast Bull and Bear Markets?," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam, number ERS-2013-016-F&A, Oct.

2009

  1. Markwat, T.D. & Kole, H.J.W.G. & van Dijk, D.J.C., 2009, "Time Variation in Asset Return Dependence: Strength or Structure?," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam, number ERS-2009-052-F&A, Oct.
  2. Günster, N.K. & Kole, H.J.W.G. & Jacobsen, B., 2009, "Riding Bubbles," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam, number ERS-2009-058-F&A, Dec.

2008

  1. Markwat, T.D. & Kole, H.J.W.G. & van Dijk, D.J.C., 2008, "Contagion as Domino Effect in Global Stock Markets," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam, number ERS-2008-071-F&A, Nov.

2006

  1. Koedijk, Kees & Verbeek, Marno & Kole, Erik, 2006, "Selecting Copulas for Risk Management," CEPR Discussion Papers, Centre for Economic Policy Research, number 5652, Apr.

2004

  1. Kole, H.J.W.G. & Koedijk, C.G. & Verbeek, M.J.C.M., 2004, "The effects of systemic crises when investors can be crisis ignorant," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam, number ERS-2004-027-F&A, Apr.

2003

  1. Kole, H.J.W.G. & Koedijk, C.G. & Verbeek, M.J.C.M., 2003, "Stress Testing with Student's t Dependence," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam, number ERS-2003-056-F&A, Sep.

Undated

  1. Erik Kole & Reza Brink, undated, "Constructing and Using Double-adjusted Alphas to Analyze Mutual Fund Performance," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 19-029/IV.

Journal articles

2025

  1. Erik Kole & Liesbeth Noordegraaf-Eelens & Bas Vringer, 2025, "Cognitive biases in consumer sentiment: the peak-end rule and herding," Empirical Economics, Springer, volume 69, issue 4, pages 2141-2211, October, DOI: 10.1007/s00181-025-02797-y.

2024

  1. van der Zwan, Terri & Kole, Erik & van der Wel, Michel, 2024, "Heterogeneous macro and financial effects of ECB asset purchase programs," Journal of International Money and Finance, Elsevier, volume 143, issue C, DOI: 10.1016/j.jimonfin.2024.103073.

2023

  1. Kole, Erik & van Dijk, Dick, 2023, "Moments, shocks and spillovers in Markov-switching VAR models," Journal of Econometrics, Elsevier, volume 236, issue 2, DOI: 10.1016/j.jeconom.2023.105474.
  2. Sander Barendse & Erik Kole & Dick van Dijk, 2023, "Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error," Journal of Financial Econometrics, Oxford University Press, volume 21, issue 2, pages 528-568.

2018

  1. Bart Keijsers & Bart Diris & Erik Kole, 2018, "Cyclicality in losses on bank loans," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 33, issue 4, pages 533-552, June, DOI: 10.1002/jae.2612.

2017

  1. Francine Gresnigt & Erik Kole & Philip Hans Franses, 2017, "Specification Testing in Hawkes Models," Journal of Financial Econometrics, Oxford University Press, volume 15, issue 1, pages 139-171.
  2. Erik Kole & Thijs Markwat & Anne Opschoor & Dick van Dijk, 2017, "Forecasting Value-at-Risk under Temporal and Portfolio Aggregation," Journal of Financial Econometrics, Oxford University Press, volume 15, issue 4, pages 649-677.
  3. Erik Kole & Dick Dijk, 2017, "How to Identify and Forecast Bull and Bear Markets?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 32, issue 1, pages 120-139, January.
  4. Francine Gresnigt & Erik Kole & Philip Hans Franses, 2017, "Exploiting Spillovers to Forecast Crashes," Journal of Forecasting, John Wiley & Sons, Ltd., volume 36, issue 8, pages 936-955, December.

2015

  1. Gresnigt, Francine & Kole, Erik & Franses, Philip Hans, 2015, "Interpreting financial market crashes as earthquakes: A new Early Warning System for medium term crashes," Journal of Banking & Finance, Elsevier, volume 56, issue C, pages 123-139, DOI: 10.1016/j.jbankfin.2015.03.003.

2009

  1. Markwat, Thijs & Kole, Erik & van Dijk, Dick, 2009, "Contagion as a domino effect in global stock markets," Journal of Banking & Finance, Elsevier, volume 33, issue 11, pages 1996-2012, November.

2007

  1. Kole, Erik & Koedijk, Kees & Verbeek, Marno, 2007, "Selecting copulas for risk management," Journal of Banking & Finance, Elsevier, volume 31, issue 8, pages 2405-2423, August.

2006

  1. Kole, Erik & Koedijk, Kees & Verbeek, Marno, 2006, "Portfolio implications of systemic crises," Journal of Banking & Finance, Elsevier, volume 30, issue 8, pages 2347-2369, August.

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