Erik Kole : Citation Profile

Are you Erik Kole?

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

7

H index

5

i10 index

312

Citations

RESEARCH PRODUCTION:

11

Articles

16

Papers

RESEARCH ACTIVITY:

   20 years (2003 - 2023). See details.
   Cites by year: 15
   Journals where Erik Kole has often published
   Relations with other researchers
   Recent citing documents: 18.    Total self citations: 9 (2.8 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pko187
   Updated: 2024-04-18    RAS profile: 2024-03-07    
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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:

Meinerding, Christoph (7)

Fischer, Justina A. V. (7)

van Dijk, Dick (6)

Nguyen, Duc Khuong (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)

West, Kenneth (13)

Hartmann, Philipp (12)

Kaminsky, Graciela (11)

Hamilton, James (11)

Campbell, John (10)

de Vries, Casper (10)

Ang, Andrew (10)

Straetmans, Stefan (9)

Main data

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 Institute9
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 (2024 and 2023)

YearTitle of citing document
2023Generative Learning of Heterogeneous Tail Dependence. (2020). Yan, Xing ; Sun, Xiangqian ; Wu, QI. In: Papers. RePEc:arx:papers:2011.13132.

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2023Nonparametric Test for Volatility in Clustered Multiple Time Series. (2021). Barrios, Erniel B ; Victor, Paolo. In: Papers. RePEc:arx:papers:2104.14412.

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2023Examining the Effect of Monetary Policy and Monetary Policy Uncertainty on Cryptocurrencies Market. (2023). Mahmoudi, Mohammadreza. In: Papers. RePEc:arx:papers:2311.10739.

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2023Frequency 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.

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2023A 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.

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2023Where 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.

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2023Who 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.

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2023A 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.

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2023Forecasting 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.

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2023Predictability 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.

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2023Bubble 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.

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2023Civil 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.

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2023When 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.

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2023Financial 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.

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2023Crisis 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.

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2023Asset allocation with recursive parameter updating and macroeconomic regime identifiers. (2023). Meinerding, Christoph ; Goodarzi, Milad. In: Discussion Papers. RePEc:zbw:bubdps:062023.

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Works by Erik Kole:

YearTitleTypeCited
2006Selecting Copulas for Risk Management In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper121
2007Selecting copulas for risk management.(2007) In: Journal of Banking & Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 121		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]		article17
2009Contagion as a domino effect in global stock markets In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article107
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: 107		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]		article17
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: 17		paper
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]		paper22
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: 22		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]		article7
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: 7		paper
2023Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error* In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article3
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: 3		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]		paper2
2017Exploiting Spillovers to Forecast Crashes.(2017) In: Journal of Forecasting.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		article
0000Constructing and Using Double-adjusted Alphas to Analyze Mutual Fund Performance In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper0
2023Cognitive Biases and Consumer Sentiment In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper0

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