Erik Kole : Citation Profile

Erasmus Universiteit Rotterdam (99% share)
Tinbergen Instituut (1% share)

7

H index

5

i10 index

326

Citations

RESEARCH PRODUCTION:

12

Articles

15

Papers

RESEARCH ACTIVITY:

   21 years (2003 - 2024). See details.
   Cites by year: 15
   Journals where Erik Kole has often published
   Relations with other researchers
   Recent citing documents: 13.    Total self citations: 9 (2.69 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pko187
   Updated: 2025-04-05    RAS profile: 2025-03-17    
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Relations with other researchers

Works with:

van Dijk, Dick (3)

Authors registered in RePEc who have co-authored more than one work in the last five years with Erik Kole.

Is cited by:

Fischer, Justina A. V. (7)

Meinerding, Christoph (7)

Nguyen, Duc Khuong (6)

van Dijk, Dick (6)

Panchenko, Valentyn (5)

Perote, Javier (4)

Neuenkirch, Matthias (4)

Mora-Valencia, Andrés (4)

Guidolin, Massimo (4)

Lopez, Claude (4)

Delatte, Anne-Laure (4)

Cites to:

Timmermann, Allan (17)

Guidolin, Massimo (15)

Bekaert, Geert (14)

Hartmann, Philipp (13)

West, Kenneth (12)

Hamilton, James (12)

de Vries, Casper (11)

Kaminsky, Graciela (11)

Campbell, John (10)

Ang, Andrew (10)

Straetmans, Stefan (10)

Main data

Production by document typepaperarticle200320042005200620072008200920102011201220132014201520162017201820192020202120222023202402.557.5Documents Highcharts.comExport to raster or vector imagePrint the chart
Cumulative documents published20032004200520062007200820092010201120122013201420152016201720182019202020212022202320240102030Documents Highcharts.comExport to raster or vector imagePrint the chart

Citations received2006200720082009201020112012201320142015201620172018201920202021202220232024202502040Citations Highcharts.comExport to raster or vector imagePrint the chart
Citations by production year2006200720082009201020112012201320142015201620172018201920202021202220232024050100150Citations Highcharts.comExport to raster or vector imagePrint the chart

H-Index: 7Most cited documents123456789050100150Number of citations Highcharts.comExport to raster or vector imagePrint the chart
H-Index evolution20130820130920131020131120131220140120140220140320140420140520140620140720140820140920141020141120141220150120150220150320150420150520150620150720150820150920151020151120151220160120160220160320160420160520160620160720160820160920161020161120161220170120170220170320170420170520170620170720170820170920171020171120171220180120180220180320180420180520180620180720180820180920181020181120181220190120190220190320190420190520190620190720190820190920191020191120191220200120200220200320200420200520200620200720200820200920201020201120201220210120210220210320210420210520210620210720210820210920211020211120211220220120220220220320220420220520220620220720220820220920221020221120221220230120230220230320230420230520230620230720230820230920231020231120231220240120240220240320240420240520240620240720240820240920241020241120241220250120250220250320250402.557.5h-index Highcharts.comExport to raster or vector imagePrint the chart

Where Erik Kole has published?

Journals with more than one article published# docs
Journal of Banking & Finance4
Journal of Financial Econometrics3
Journal of Applied Econometrics2

Working Papers Series with more than one paper published# docs
Tinbergen Institute Discussion Papers / Tinbergen Institute8
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 Rotterdam6

Recent works citing Erik Kole (2025 and 2024)

Year  ↓Title of citing document  ↓
2024Nonparametric 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

2024Backtesting Expected Shortfall: Accounting for both duration and severity with bivariate orthogonal polynomials. (2024). Lu, Yang ; Hurlin, Christophe. In: Papers. RePEc:arx:papers:2405.02012.

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2024Evaluating 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.

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20242T-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.

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2024Forecasting day-ahead expected shortfall on the EUR/USD exchange rate: The (I)relevance of implied volatility. (2024). Vrost, Toma ; Plihal, Toma ; Lyocsa, Tefan. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:4:p:1275-1301.

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2024Marginals 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.

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2024Quantile 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.

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2024A hybrid approach integrating case mining (CM) and the Copula Bayesian Network (CBN) for accident causation probabilistic reasoning of building construction collapses. (2024). Nie, Benwu ; Jin, Lianghai ; Wang, Jie ; Chen, Yun ; Zheng, Xiazhong. In: Reliability Engineering and System Safety. RePEc:eee:reensy:v:252:y:2024:i:c:s0951832024005416.

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2024Navigating median and extreme volatility in stock markets: Implications for portfolio strategies. (2024). Naeem, Muhammad Abubakr. In: International Review of Economics & Finance. RePEc:eee:reveco:v:95:y:2024:i:c:s1059056024004994.

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Works by Erik Kole:

Year  ↓Title  ↓Type  ↓Cited  ↓
2006Selecting Copulas for Risk Management In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper124
2007Selecting copulas for risk management.(2007) In: Journal of Banking & Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 124		article
2023Moments, shocks and spillovers in Markov-switching VAR models In: Journal of Econometrics.
[Full Text][Citation analysis]		article1
2022Moments, 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
2006Portfolio implications of systemic crises In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article18
2009Contagion as a domino effect in global stock markets In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article110
2008Contagion 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: 110		paper
2015Interpreting financial market crashes as earthquakes: A new Early Warning System for medium term crashes In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article18
2014Interpreting 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
2024Heterogeneous macro and financial effects of ECB asset purchase programs In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article0
2004The effects of systemic crises when investors can be crisis ignorant In: ERIM Report Series Research in Management.
[Full Text][Citation analysis]		paper0
2009Time Variation in Asset Return Dependence: Strength or Structure? In: ERIM Report Series Research in Management.
[Full Text][Citation analysis]		paper7
2009Riding Bubbles In: ERIM Report Series Research in Management.
[Full Text][Citation analysis]		paper1
2013How to Identify and Forecast Bull and Bear Markets? In: ERIM Report Series Research in Management.
[Full Text][Citation analysis]		paper24
2017How 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: 24		article
2003Stress Testing with Students t Dependence In: ERIM Report Series Research in Management.
[Full Text][Citation analysis]		paper0
2017Specification Testing in Hawkes Models* In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article3
2015Specification Testing in Hawkes Models.(2015) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		paper
2017Forecasting Value-at-Risk under Temporal and Portfolio Aggregation In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article8
2017Forecasting 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
2023Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error* In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article5
2019Backtesting 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: 5		paper
2017Cyclicality in Losses on Bank Loans In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper4
2018Cyclicality in losses on bank loans.(2018) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		article
2015Exploiting Spillovers to forecast Crashes In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper3
2017Exploiting Spillovers to Forecast Crashes.(2017) In: Journal of Forecasting.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		article
2023Cognitive Biases and Consumer Sentiment In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper0

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