7
H index
5
i10 index
321
Citations
Erik Kole : Citation Profile
Erasmus Universiteit Rotterdam (99% share) | RESEARCH PRODUCTION: 12 Articles 16 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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21 years (2003 - 2024). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Erik Kole. | Is cited by:
| Cites to:
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Main data
Where Erik Kole has published?
| Journals with more than one article published | # docs |
|---|---|
| Journal of Banking & Finance | 4 |
| Journal of Financial Econometrics | 3 |
| Journal of Applied Econometrics | 2 |
Recent works citing Erik Kole (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | Generative Learning of Heterogeneous Tail Dependence. (2020). Yan, Xing ; Sun, Xiangqian ; Wu, QI. In: Papers. RePEc:arx:papers:2011.13132. Full description at Econpapers || Download paper |
| 2024 | Nonparametric Test for Volatility in Clustered Multiple Time Series. (2021). Barrios, Erniel B ; Victor, Paolo. In: Papers. RePEc:arx:papers:2104.14412. Full description at Econpapers || Download paper |
| 2023 | Examining the Effect of Monetary Policy and Monetary Policy Uncertainty on Cryptocurrencies Market. (2023). Mahmoudi, Mohammadreza. In: Papers. RePEc:arx:papers:2311.10739. Full description at Econpapers || Download paper |
| 2024 | Backtesting Expected Shortfall: Accounting for both duration and severity with bivariate orthogonal polynomials. (2024). Lu, Yang ; Hurlin, Christophe. In: Papers. RePEc:arx:papers:2405.02012. Full description at Econpapers || Download paper |
| 2023 | Frequency heterogeneity of tail connectedness: Evidence from global stock markets. (2023). Xu, Huiling ; Zhu, Zhican ; Lu, Haisong ; Jian, Zhihong. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001669. Full description at Econpapers || Download paper |
| 2023 | A corrected Clarke test for model selection and beyond. (2023). Min, Aleksey ; Fermanian, Jean-David ; Bruck, Florian. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:1:p:105-132. Full description at Econpapers || Download paper |
| 2023 | Financial markets, energy shocks, and extreme volatility spillovers. (2023). Boubaker, Sabri ; Karim, Sitara ; Sharma, Gagan Deep ; Naeem, Muhammad Abubakr. In: Energy Economics. RePEc:eee:eneeco:v:126:y:2023:i:c:s0140988323005297. Full description at Econpapers || Download paper |
| 2024 | Evaluating the dynamic connectedness of financial assets and bank indices during black-swan events: A Quantile-VAR approach. (2024). Corbet, Shaen ; Kyriazis, Nikolaos. In: Energy Economics. RePEc:eee:eneeco:v:131:y:2024:i:c:s0140988324000379. Full description at Econpapers || Download paper |
| 2023 | Where is the distribution tail threshold? A tale on tail and copulas in financial risk measurement. (2023). Nave, Juan M ; Gonzalez-Sanchez, Mariano. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000285. Full description at Econpapers || Download paper |
| 2023 | Who are the vectors of contagion? Evidence from emerging markets. (2023). Munera, Daimer J ; Agudelo, Diego A. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001151. Full description at Econpapers || Download paper |
| 2023 | A closer look at the regime-switching evidence of bull and bear markets. (2023). Kirby, Chris. In: Finance Research Letters. RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322005463. Full description at Econpapers || Download paper |
| 2023 | Forecasting expected shortfall: Should we use a multivariate model for stock market factors?. (2023). Dionne, Georges ; Simonato, Jean-Guy ; Fortin, Alain-Philippe. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:314-331. Full description at Econpapers || Download paper |
| 2023 | Predictability of bull and bear markets: A new look at forecasting stock market regimes (and returns) in the US. (2023). Neuenkirch, Matthias ; Haase, Felix. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:587-605. Full description at Econpapers || Download paper |
| 2024 | 2T-POT Hawkes model for left- and right-tail conditional quantile forecasts of financial log returns: Out-of-sample comparison of conditional EVT models. (2024). Mucha-Kruczyski, Marcin ; Greenwood, David ; Tomlinson, Matthew F. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:1:p:324-347. Full description at Econpapers || Download paper |
| 2024 | Marginals versus copulas: Which account for more model risk in multivariate risk forecasting?. (2024). Weiss, Gregor ; Timphus, Maike ; Fritzsch, Simon. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:158:y:2024:i:c:s0378426623002261. Full description at Econpapers || Download paper |
| 2024 | Quantile coherency across bonds, commodities, currencies, and equities. (2024). Stenvall, David ; Rahman, Md Lutfur ; Lucey, Brian ; Uddin, Gazi Salah. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:33:y:2024:i:c:s2405851323000697. Full description at Econpapers || Download paper |
| 2023 | Bubble behaviors in lithium price and the contagion effect: An industry chain perspective. (2023). Su, Chi-Wei ; Moldovan, Nicoleta-Claudia ; Qin, Meng ; Wang, Xiao-Qing. In: Resources Policy. RePEc:eee:jrpoli:v:83:y:2023:i:c:s0301420723004361. Full description at Econpapers || Download paper |
| 2023 | Civil aircraft engine operation life resilient monitoring via usage trajectory mapping on the reliability contour. (2023). Parlikad, Ajith Kumar ; Harrison, Andrew ; Farsi, Maryam ; Zhou, Hang ; Brintrup, Alexandra. In: Reliability Engineering and System Safety. RePEc:eee:reensy:v:230:y:2023:i:c:s0951832022004951. Full description at Econpapers || Download paper |
| 2023 | When a correction turns into a bear market: What explains the depth of the stock market drawdown? A discretionary global macro approach. (2023). Jackson, Dave ; Tokic, Damir. In: Journal of Asset Management. RePEc:pal:assmgt:v:24:y:2023:i:3:d:10.1057_s41260-023-00306-3. Full description at Econpapers || Download paper |
| 2023 | Financial Risk Meter for The Romanian Stock Market. (2023). Strat, Vasile Alecsandru ; Mazurencu-Marinescu, Miruna ; Bag, Raul Cristian ; Conda, Alexandra Ioana ; Pele, Daniel Traian. In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2023:i:1:p:5-24. Full description at Econpapers || Download paper |
| 2023 | Crisis transmission degree measurement under crisis propagation model. (2023). Jilani, Faouzi ; Hallara, Slaheddine ; Bedoui-Belghith, Imen. In: SN Business & Economics. RePEc:spr:snbeco:v:3:y:2023:i:1:d:10.1007_s43546-022-00361-9. Full description at Econpapers || Download paper |
| 2023 | Asset allocation with recursive parameter updating and macroeconomic regime identifiers. (2023). Meinerding, Christoph ; Goodarzi, Milad. In: Discussion Papers. RePEc:zbw:bubdps:062023. Full description at Econpapers || Download paper |
Works by Erik Kole:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2006 | Selecting Copulas for Risk Management In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 122 |
| 2007 | Selecting copulas for risk management.(2007) In: Journal of Banking & Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 122 | article | |
| 2023 | Moments, shocks and spillovers in Markov-switching VAR models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 1 |
| 2022 | Moments, Shocks and Spillovers in Markov-switching VAR Models.(2022) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2006 | Portfolio implications of systemic crises In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 18 |
| 2009 | Contagion as a domino effect in global stock markets In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 109 |
| 2008 | Contagion as Domino Effect in Global Stock Markets.(2008) In: ERIM Report Series Research in Management. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 109 | paper | |
| 2015 | Interpreting financial market crashes as earthquakes: A new Early Warning System for medium term crashes In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 18 |
| 2014 | Interpreting Financial Market Crashes as Earthquakes: A New early Warning System for Medium Term Crashes.(2014) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 18 | paper | |
| 2024 | Heterogeneous macro and financial effects of ECB asset purchase programs In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 0 |
| 2004 | The effects of systemic crises when investors can be crisis ignorant In: ERIM Report Series Research in Management. [Full Text][Citation analysis] | paper | 0 |
| 2009 | Time Variation in Asset Return Dependence: Strength or Structure? In: ERIM Report Series Research in Management. [Full Text][Citation analysis] | paper | 7 |
| 2009 | Riding Bubbles In: ERIM Report Series Research in Management. [Full Text][Citation analysis] | paper | 1 |
| 2013 | How to Identify and Forecast Bull and Bear Markets? In: ERIM Report Series Research in Management. [Full Text][Citation analysis] | paper | 23 |
| 2017 | How to Identify and Forecast Bull and Bear Markets?.(2017) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 23 | article | |
| 2003 | Stress Testing with Students t Dependence In: ERIM Report Series Research in Management. [Full Text][Citation analysis] | paper | 0 |
| 2017 | Specification Testing in Hawkes Models* In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 3 |
| 2015 | Specification Testing in Hawkes Models.(2015) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 2017 | Forecasting Value-at-Risk under Temporal and Portfolio Aggregation In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 8 |
| 2017 | Forecasting Value-at-Risk under Temporal and Portfolio Aggregation.(2017) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | paper | |
| 2023 | Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error* In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 4 |
| 2019 | Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error.(2019) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2017 | Cyclicality in Losses on Bank Loans In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 4 |
| 2018 | Cyclicality in losses on bank loans.(2018) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | article | |
| 2015 | Exploiting Spillovers to forecast Crashes In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 3 |
| 2017 | Exploiting Spillovers to Forecast Crashes.(2017) In: Journal of Forecasting. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
| 0000 | Constructing and Using Double-adjusted Alphas to Analyze Mutual Fund Performance In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2023 | Cognitive Biases and Consumer Sentiment In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
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