Erik Kole : Citation Profile


Are you Erik Kole?

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

6

H index

3

i10 index

227

Citations

RESEARCH PRODUCTION:

9

Articles

15

Papers

RESEARCH ACTIVITY:

   16 years (2003 - 2019). See details.
   Cites by year: 14
   Journals where Erik Kole has often published
   Relations with other researchers
   Recent citing documents: 35.    Total self citations: 6 (2.58 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pko187
   Updated: 2020-11-21    RAS profile: 2020-09-09    
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Relations with other researchers


Works with:

Franses, Philip Hans (5)

van Dijk, Dick (3)

Keijsers, Bart (2)

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)

Nguyen, Duc Khuong (6)

van Dijk, Dick (6)

Mora-Valencia, Andrés (4)

AROURI, Mohamed (4)

Perote, Javier (4)

Meinerding, Christoph (4)

Panchenko, Valentyn (4)

Lopez, Claude (4)

Delatte, Anne-Laure (4)

Uddin, Gazi (3)

Cites to:

Timmermann, Allan (11)

West, Kenneth (10)

Bekaert, Geert (10)

Kaminsky, Graciela (8)

de Vries, Casper (7)

Straetmans, Stefan (7)

Hamilton, James (7)

Ang, Andrew (7)

Engle, Robert (7)

Schmukler, Sergio (6)

pagan, adrian (6)

Main data


Where Erik Kole has published?


Journals with more than one article published# docs
Journal of Banking & Finance4
Journal of Financial Econometrics2
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 (2020 and 2019)


YearTitle of citing document
2019Change-point Analysis in Financial Networks. (2019). Guhathakurta, Kousik ; Banerjee, Sayantan. In: Papers. RePEc:arx:papers:1911.05952.

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2020Predicting tail events in a RIA-EVT-Copula framework. (2020). Zhou, Wei-Xing ; Wang, Gang-Jin ; Jiang, Zhi-Qiang ; Zhai, Jin-Rui ; Li, Wei-Zhen. In: Papers. RePEc:arx:papers:2004.03190.

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2020A nested copula duration model for competing risks with multiple spells. (2020). Wilke, Ralf ; Mammen, Enno ; Simon, . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:150:y:2020:i:c:s0167947320300773.

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2019Crises in economic complex networks: Black Swans or Dragon Kings?. (2019). Bruno, Bruna ; Faggini, Marisa ; Parziale, Anna . In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:62:y:2019:i:c:p:105-115.

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2019Financial contagion across major stock markets: A study during crisis episodes. (2019). Bensaida, Ahmed ; Benmim, Imen. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:187-201.

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2019Network connectedness and net spillover between financial and commodity markets. (2019). Yoon, Seong-Min ; Uddin, Gazi ; al Mamun, MD ; Kang, Sang Hoon. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:801-818.

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2020Dynamic risk spillovers and portfolio risk management between precious metals and global foreign exchange markets. (2020). Kang, Sang Hoon ; Ali, Alanoud ; Ur, Mobeen ; Hammoudeh, Shawkat ; Mensi, Walid. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819301615.

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2019A new approach to measure systemic risk: A bivariate copula model for dependent censored data. (2019). Osmetti, Silvia Angela ; Calabrese, Raffaella. In: European Journal of Operational Research. RePEc:eee:ejores:v:279:y:2019:i:3:p:1053-1064.

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2019Dynamic portfolio allocation with time-varying jump risk. (2019). Wang, Yudong ; Wu, Chongfeng ; Zhou, Chunyang . In: Journal of Empirical Finance. RePEc:eee:empfin:v:50:y:2019:i:c:p:113-124.

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2019Forecasting the joint distribution of Australian electricity prices using dynamic vine copulae. (2019). Pourkhanali, Armin ; Alavifard, Farzad ; Manner, Hans ; Tafakori, Laleh. In: Energy Economics. RePEc:eee:eneeco:v:78:y:2019:i:c:p:143-164.

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2019Energy contagion analysis: A new perspective with application to a small petroleum economy. (2019). Mahadeo, Scott ; Heinlein, Reinhold ; Legrenzi, Gabriella D. In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:890-903.

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2019Using nonparametric copulas to measure crude oil price co-movements. (2019). Jacho-Chávez, David ; Huynh, Kim ; Jacho-Chavez, David T. In: Energy Economics. RePEc:eee:eneeco:v:82:y:2019:i:c:p:211-223.

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2019Model-free bounds on Value-at-Risk using extreme value information and statistical distances. (2019). Papapantoleon, Antonis ; Lux, Thibaut. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:86:y:2019:i:c:p:73-83.

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2020Forecasting in social settings: The state of the art. (2020). Petropoulos, Fotios ; Hyndman, Rob J ; Makridakis, Spyros. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:1:p:15-28.

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2019Directional spillover effects between ASEAN and world stock markets. (2019). Uddin, Gazi ; Troster, Victor ; Yoon, Seong-Min ; Kang, Sang Hoon. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:52-53:y:2019:i::s1042444x19300751.

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2019Diversification benefits of Shariah compliant equity ETFs in emerging markets. (2019). Andrikopoulos, Panagiotis ; Gad, Samar. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:53:y:2019:i:c:p:133-144.

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2019Energy, precious metals, and GCC stock markets: Is there any risk spillover?. (2019). Sensoy, Ahmet ; Mensi, Walid ; Al-Yahyaee, Khamis Hamed ; Kang, Sang Hoon. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:56:y:2019:i:c:p:45-70.

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2019Double correlation model for operational risk: Evidence from Chinese commercial banks. (2019). Xu, Chi ; Wang, Nuan ; Ji, Jingru ; Zheng, Chunling. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:516:y:2019:i:c:p:327-339.

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2019Leverage effect and dynamics correlation between international crude oil and China’s precious metals. (2019). Qu, Fang ; Chen, Yufeng. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:534:y:2019:i:c:s0378437119313238.

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2020Market-crash forecasting based on the dynamics of the alpha-stable distribution. (2020). Perote, Javier ; Mora-Valencia, Andrés ; Molina-Muoz, Jesus. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:557:y:2020:i:c:s0378437120304532.

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2019Modeling risks in dependent systems: A Copula-Bayesian approach. (2019). Zhang, Wenjing ; Ou, Shenwei ; Pan, Yue ; Li, Heng ; Wu, Xianguo. In: Reliability Engineering and System Safety. RePEc:eee:reensy:v:188:y:2019:i:c:p:416-431.

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2020Correlation and risk measurement modeling: A Markov-switching mixed Clayton copula approach. (2020). Peng, Rui ; Cai, Wen-Li ; Pan, Fei ; Liu, Xiang-Dong. In: Reliability Engineering and System Safety. RePEc:eee:reensy:v:197:y:2020:i:c:s0951832019306854.

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2019Dynamical Volatility and Correlation among US Stock and Treasury Bond Cash and Futures Markets in Presence of Financial Crisis: A Copula Approach. (2019). Li, Weny ; Wang, Teng-Kun ; Liu, Hsiang-Hsi. In: Research in International Business and Finance. RePEc:eee:riibaf:v:48:y:2019:i:c:p:381-396.

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2020Diversification and portfolio theory: a review. (2020). Koumou, Gilles Boevi. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:34:y:2020:i:3:d:10.1007_s11408-020-00352-6.

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2020Volatility transmission between commodities and Ibovespa in the period 2000–2016: Is there a possibility of diversification?. (2020). Vartanian, Pedro. In: International Economics and Economic Policy. RePEc:kap:iecepo:v:17:y:2020:i:2:d:10.1007_s10368-019-00458-x.

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2020Comparing Predictive Accuracy in the Presence of a Loss Function Shape Parameter. (2020). Patton, Andrew J ; Barendse, Sander. In: Economics Series Working Papers. RePEc:oxf:wpaper:909.

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2020Alternative risk premia: contagion and portfolio choice. (2020). Scherer, Bernd. In: Journal of Asset Management. RePEc:pal:assmgt:v:21:y:2020:i:3:d:10.1057_s41260-020-00158-1.

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2020Gold as a Financial Instrument. (2020). Gomis-Porqueras, Pedro ; Tan, David ; Shi, Shuping. In: MPRA Paper. RePEc:pra:mprapa:102782.

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2020What is behind extreme negative returns co-movement in the South Eastern European stock markets?. (2020). Tevdovski, Dragan ; Stojkoski, Viktor. In: MPRA Paper. RePEc:pra:mprapa:98227.

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2019Forecasting Expected Shortfall: Should we use a Multivariate Model for Stock Market Factors?. (2018). Dionne, Georges ; Simonato, Jean-Guy ; Fortin, Alain-Philippe. In: Working Papers. RePEc:ris:crcrmw:2018_004.

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2019Critical slowing down as an early warning signal for financial crises?. (2019). Hommes, Cars ; Wang, Juanxi ; Diks, Cees. In: Empirical Economics. RePEc:spr:empeco:v:57:y:2019:i:4:d:10.1007_s00181-018-1527-3.

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2020A marked point process model for intraday financial returns: modeling extreme risk. (2020). Herrera, Rodrigo ; Clements, Adam. In: Empirical Economics. RePEc:spr:empeco:v:58:y:2020:i:4:d:10.1007_s00181-018-1600-y.

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2020Forecasting Stock Market Recessions in the US: Predictive Modeling using Different Identification Approaches. (2020). Neuenkirch, Matthias ; Haase, Felix. In: Research Papers in Economics. RePEc:trr:wpaper:202001.

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2020Trend‐cycle Estimation Using Fuzzy Transform and Its Application for Identifying Bull and Bear Phases in Markets. (2020). Mirshahi, Soheyla ; Novak, Vilem ; Nguyen, Linh. In: Intelligent Systems in Accounting, Finance and Management. RePEc:wly:isacfm:v:27:y:2020:i:3:p:111-124.

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2019An Insurance Model for Risk Management of Process Facilities. (2019). Ahmed, Salim ; Khan, Faisal ; Hashemi, Seyed Javad. In: Risk Analysis. RePEc:wly:riskan:v:39:y:2019:i:3:p:713-728.

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Works by Erik Kole:


YearTitleTypeCited
2006Selecting Copulas for Risk Management In: CEPR Discussion Papers.
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paper98
2007Selecting copulas for risk management.(2007) In: Journal of Banking & Finance.
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This paper has another version. Agregated cites: 98
article
2006Portfolio implications of systemic crises In: Journal of Banking & Finance.
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article17
2009Contagion as a domino effect in global stock markets In: Journal of Banking & Finance.
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article80
2008Contagion as Domino Effect in Global Stock Markets.(2008) In: ERIM Report Series Research in Management.
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This paper has another version. Agregated cites: 80
paper
2015Interpreting financial market crashes as earthquakes: A new Early Warning System for medium term crashes In: Journal of Banking & Finance.
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article9
2014Interpreting Financial Market Crashes as Earthquakes: A New early Warning System for Medium Term Crashes.(2014) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 9
paper
2004The effects of systemic crises when investors can be crisis ignorant In: ERIM Report Series Research in Management.
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paper0
2009Time Variation in Asset Return Dependence: Strength or Structure? In: ERIM Report Series Research in Management.
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paper7
2009Riding Bubbles In: ERIM Report Series Research in Management.
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paper1
2013How to Identify and Forecast Bull and Bear Markets? In: ERIM Report Series Research in Management.
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paper9
2017How to Identify and Forecast Bull and Bear Markets?.(2017) In: Journal of Applied Econometrics.
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This paper has another version. Agregated cites: 9
article
2003Stress Testing with Students t Dependence In: ERIM Report Series Research in Management.
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paper0
2017Specification Testing in Hawkes Models* In: Journal of Financial Econometrics.
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article1
2015Specification Testing in Hawkes Models.(2015) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 1
paper
2017Forecasting Value-at-Risk under Temporal and Portfolio Aggregation In: Journal of Financial Econometrics.
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article3
2017Forecasting Value-at-Risk under Temporal and Portfolio Aggregation.(2017) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 3
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2017Cyclicality in Losses on Bank Loans In: Tinbergen Institute Discussion Papers.
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paper1
2018Cyclicality in losses on bank loans.(2018) In: Journal of Applied Econometrics.
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This paper has another version. Agregated cites: 1
article
2015Exploiting Spillovers to forecast Crashes In: Tinbergen Institute Discussion Papers.
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paper1
2017Exploiting Spillovers to Forecast Crashes.(2017) In: Journal of Forecasting.
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This paper has another version. Agregated cites: 1
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0000Constructing and Using Double-adjusted Alphas to Analyze Mutual Fund Performance In: Tinbergen Institute Discussion Papers.
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2019Cognitive Biases and Consumer Sentiment In: Tinbergen Institute Discussion Papers.
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paper0
2019Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error In: Tinbergen Institute Discussion Papers.
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