Erik Kole : Citation Profile


Are you Erik Kole?

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

5

H index

3

i10 index

201

Citations

RESEARCH PRODUCTION:

9

Articles

15

Papers

RESEARCH ACTIVITY:

   16 years (2003 - 2019). See details.
   Cites by year: 12
   Journals where Erik Kole has often published
   Relations with other researchers
   Recent citing documents: 50.    Total self citations: 6 (2.9 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pko187
   Updated: 2020-01-18    RAS profile: 2019-10-18    
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Relations with other researchers


Works with:

Franses, Philip Hans (6)

van Dijk, Dick (4)

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)

van Dijk, Dick (6)

Nguyen, Duc Khuong (6)

Panchenko, Valentyn (5)

Meinerding, Christoph (4)

Delatte, Anne-Laure (4)

AROURI, Mohamed (4)

Lopez, Claude (4)

Diks, Cees (3)

Baur, Dirk (3)

Hammoudeh, Shawkat (3)

Cites to:

Timmermann, Allan (11)

West, Kenneth (10)

Bekaert, Geert (10)

Kaminsky, Graciela (8)

Engle, Robert (7)

Ang, Andrew (7)

Hamilton, James (7)

de Vries, Casper (7)

Straetmans, Stefan (7)

pagan, adrian (6)

Schmukler, Sergio (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 (2019 and 2018)


YearTitle of citing document
2018Model-free bounds on Value-at-Risk using extreme value information and statistical distances. (2018). Lux, Thibaut ; Papapantoleon, Antonis. In: Papers. RePEc:arx:papers:1610.09734.

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2017Portfolio Risk Assessment using Copula Models. (2017). Smagulov, Daulet ; Semenov, Mikhail . In: Papers. RePEc:arx:papers:1707.03516.

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

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2017On the economic determinants of optimal stock-bond portfolios: international evidence. (2017). Conrad, Christian ; Stuermer, Karin . In: Working Papers. RePEc:awi:wpaper:0636.

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2018Multivariate Jump Diffusion Model with Markovian Contagion. (2018). de Carvalho, Pablo ; Gupta, Aparna ; Campos, Pablo Jose. In: Working Papers Series. RePEc:bcb:wpaper:482.

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2017Extreme Returns in the European financial crisis. (2017). Chouliaras, Andreas ; Grammatikos, Theoharry. In: European Financial Management. RePEc:bla:eufman:v:23:y:2017:i:4:p:728-760.

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2018Energy Contagion Analysis: A New Perspective with Application to a Small Petroleum Economy. (2018). Mahadeo, Scott ; Legrenzi, Gabriella ; Heinlein, Reinhold. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7279.

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2017The effect of the US subprime crisis on Canadian banks. (2017). Bandyopadhyay, Satiprasad ; Kennedy, Duane ; Jha, Ranjini. In: Advances in accounting. RePEc:eee:advacc:v:36:y:2017:i:c:p:58-74.

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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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2017Testing the Gaussian and Students t copulas in a risk management framework. (2017). Lourme, Alexandre ; Maurer, Frantz. In: Economic Modelling. RePEc:eee:ecmode:v:67:y:2017:i:c:p:203-214.

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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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2018Systematic Effects among Loss Given Defaults and their Implications on Downturn Estimation. (2018). Betz, Jennifer ; Rosch, Daniel ; Kellner, Ralf . In: European Journal of Operational Research. RePEc:eee:ejores:v:271:y:2018:i:3:p:1113-1144.

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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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2017Diversifying away the risk of war and cross-border political crisis. (2017). , Ayman ; Nolte, Sandra ; Wisniewski, Tomasz Piotr . In: Energy Economics. RePEc:eee:eneeco:v:64:y:2017:i:c:p:494-510.

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2018Credit and market risks measurement in carbon financing for Chinese banks. (2018). Zhang, XI ; Li, Jian. In: Energy Economics. RePEc:eee:eneeco:v:76:y:2018:i:c:p:549-557.

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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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2018A top-down approach to identifying bull and bear market states. (2018). Hanna, Alan J. In: International Review of Financial Analysis. RePEc:eee:finana:v:55:y:2018:i:c:p:93-110.

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2018The contagion effect in European sovereign debt markets: A regime-switching vine copula approach. (2018). BenSaïda, Ahmed ; Bensaida, Ahmed. In: International Review of Financial Analysis. RePEc:eee:finana:v:58:y:2018:i:c:p:153-165.

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2017Multiple risk factor dependence structures: Copulas and related properties. (2017). Su, Jianxi ; Furman, Edward. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:74:y:2017:i:c:p:109-121.

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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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2017Identifying and measuring the contagion channels at work in the European financial crises. (2017). Guidolin, Massimo ; Pedio, Manuela. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:48:y:2017:i:c:p:117-134.

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2018A network approach to unravel asset price comovement using minimal dependence structure. (2018). de Carvalho, Pablo ; Gupta, Aparna ; Campos, Pablo Jose. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:91:y:2018:i:c:p:119-132.

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2017Asymmetric tail dependence between oil price shocks and sectors of Saudi Arabia System. (2017). Trabelsi, Nader. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:16:y:2017:i:c:p:26-41.

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2017Conditional dependence between international stock markets: A long memory GARCH-copula model approach. (2017). Mokni, Khaled ; Mansouri, Faysal. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:42-43:y:2017:i::p:116-131.

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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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2017Log-periodic view on critical dates of the Chinese stock market bubbles. (2017). Li, Chong. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:465:y:2017:i:c:p:305-311.

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2017Theory of earthquakes interevent times applied to financial markets. (2017). Jagielski, Maciej ; Sornette, Didier ; Kutner, Ryszard. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:483:y:2017:i:c:p:68-73.

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2018Econometric testing on linear and nonlinear dynamic relation between stock prices and macroeconomy in China. (2018). Borjigin, Sumuya ; Sun, Leilei ; Yang, Xiaoguang. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:493:y:2018:i:c:p:107-115.

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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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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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2018Time-varying diversification strategies: The roles of state-level housing assets in optimal portfolios. (2018). Huang, Meichi. In: International Review of Economics & Finance. RePEc:eee:reveco:v:55:y:2018:i:c:p:145-172.

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2018Chemical industry disasters and the sectoral transmission of financial market contagion. (2018). Corbet, Shaen ; McMullan, Caroline ; Larkin, Charles. In: Research in International Business and Finance. RePEc:eee:riibaf:v:46:y:2018:i:c:p:490-501.

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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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2017A tale of two indexes: predicting equity market downturns in China. (2017). Ziemba, William T ; Lleo, Sebastien. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:85131.

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2017Goodness-of-Fit Tests for Copulas of Multivariate Time Series. (2017). Remillard, Bruno. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:1:p:13-:d:93377.

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2018Stock Market Contagion: a New Approach. (2018). Lyócsa, Štefan ; Horvath, Roman ; Lyocsa, Tefan. In: Open Economies Review. RePEc:kap:openec:v:29:y:2018:i:3:d:10.1007_s11079-018-9481-4.

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2018The determinants of CDS spreads: evidence from the model space. (2018). Pelster, Matthias ; Vilsmeier, Johannes. In: Review of Derivatives Research. RePEc:kap:revdev:v:21:y:2018:i:1:d:10.1007_s11147-017-9134-6.

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2018Efectos de desbordamiento sobre los mercados financieros de Colombia. Identificación a través de la heterocedasticidad. (2018). Paucar, Giovanny Sandoval. In: MPRA Paper. RePEc:pra:mprapa:90422.

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2018Structural Changes in the Duration of Bull Markets and Business Cycle Dynamics. (2018). Rodrigues, Paulo ; Nicolau, Joo ; Cruz, Joo . In: Working Papers. RePEc:ptu:wpaper:w201814.

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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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2017ОЦЕНКА РИСКА ОСТАТОЧНОЙ СТОИМОСТИ СЕКЬЮРИТИЗИРОВАННОГО ПУЛА АКТИВОВ ОПЕРАТИВНОГО ЛИЗИНГА // A SECURITIZED POOL OF OPERAT. (2017). Petrova, E ; Е. Петрова А., . In: Финансы: теория и практика/Finance: Theory and Practice // Finance: Theory and Practice. RePEc:scn:financ:y:2014:i:3:p:127-138.

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2017ЭВОЛЮЦИЯ ЭФФЕКТА ФИНАНСОВОГО ЗАРАЖЕНИЯ В ЕВРОЗОНЕ В ПЕРИОД ДОЛГОВОГО КРИЗИСА // EVOLUTION OF FINANCIAL CONTAGION IN THE CONTEXT OF TH. (2017). Rasskazov, V ; В. Рассказов Е., . In: Финансы: теория и практика/Finance: Theory and Practice // Finance: Theory and Practice. RePEc:scn:financ:y:2016:i:2:p:99-105.

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2017ИЗМЕРЕНИЕ ФИНАНСОВОГО ЗАРАЖЕНИЯ НА ПРИМЕРЕ МОДЕЛИРОВАНИЯ РИСКА БАНКОВСКОГО ДЕФОЛТА // THE METHODOLOGY FOR MEASURING FINANCIAL . (2017). Rasskazov, V ; В. Рассказов Е., . In: Финансы: теория и практика/Finance: Theory and Practice // Finance: Theory and Practice. RePEc:scn:financ:y:2016:i:3:p:54-61.

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2017A new time-varying optimal copula model identifying the dependence across markets. (2017). Ji, Qiang ; Fan, Ying ; Liu, Bing-Yue. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:3:p:437-453.

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2018THE DETERMINANTS OF A SIMULTANEOUS CRASH IN GOLD AND STOCK MARKETS: AN ORDERED LOGIT APPROACH. (2018). Hamori, Shigeyuki ; Miyazaki, Takashi. In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:13:y:2018:i:01:n:s2010495218500045.

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2017Importance Sampling for Credit Portfolio Risk with Risk Factors Having t-Copula. (2017). Chen, Rongda ; Yu, Lean ; Wang, ZE. In: International Journal of Information Technology & Decision Making (IJITDM). RePEc:wsi:ijitdm:v:16:y:2017:i:04:n:s0219622017500201.

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Works by Erik Kole:


YearTitleTypeCited
2006Selecting Copulas for Risk Management In: CEPR Discussion Papers.
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paper91
2007Selecting copulas for risk management.(2007) In: Journal of Banking & Finance.
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This paper has another version. Agregated cites: 91
article
2006Portfolio implications of systemic crises In: Journal of Banking & Finance.
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article15
2009Contagion as a domino effect in global stock markets In: Journal of Banking & Finance.
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article73
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: 73
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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article4
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: 4
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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paper7
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: 7
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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article0
2015Specification Testing in Hawkes Models.(2015) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 0
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2017Forecasting Value-at-Risk under Temporal and Portfolio Aggregation In: Journal of Financial Econometrics.
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article2
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: 2
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2017Cyclicality in Losses on Bank Loans In: Tinbergen Institute Discussion Papers.
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2018Cyclicality in losses on bank loans.(2018) In: Journal of Applied Econometrics.
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This paper has another version. Agregated cites: 1
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2015Exploiting Spillovers to forecast Crashes In: Tinbergen Institute Discussion Papers.
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2017Exploiting Spillovers to Forecast Crashes.(2017) In: Journal of Forecasting.
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This paper has another version. Agregated cites: 0
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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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2019Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error In: Tinbergen Institute Discussion Papers.
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