Erik Kole : Citation Profile


Are you Erik Kole?

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

7

H index

5

i10 index

320

Citations

RESEARCH PRODUCTION:

12

Articles

16

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: 25.    Total self citations: 9 (2.74 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pko187
   Updated: 2024-11-04    RAS profile: 2024-07-09    
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Relations with other researchers


Works with:

van Dijk, Dick (4)

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)

van Dijk, Dick (6)

Nguyen, Duc Khuong (6)

Panchenko, Valentyn (5)

Guidolin, Massimo (4)

Delatte, Anne-Laure (4)

AROURI, Mohamed (4)

Lopez, Claude (4)

Perote, Javier (4)

Neuenkirch, Matthias (4)

Cites to:

Timmermann, Allan (17)

Guidolin, Massimo (15)

Bekaert, Geert (14)

West, Kenneth (13)

Hartmann, Philipp (12)

Kaminsky, Graciela (11)

Hamilton, James (11)

Ang, Andrew (10)

de Vries, Casper (10)

Campbell, John (10)

Engle, Robert (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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2024Nonparametric 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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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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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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2023Financial 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.

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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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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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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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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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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.
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paper122
2007Selecting copulas for risk management.(2007) In: Journal of Banking & Finance.
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This paper has nother version. Agregated cites: 122
article
2023Moments, shocks and spillovers in Markov-switching VAR models In: Journal of Econometrics.
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article1
2022Moments, Shocks and Spillovers in Markov-switching VAR Models.(2022) In: Tinbergen Institute Discussion Papers.
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This paper has nother version. Agregated cites: 1
paper
2006Portfolio implications of systemic crises In: Journal of Banking & Finance.
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article18
2009Contagion as a domino effect in global stock markets In: Journal of Banking & Finance.
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article109
2008Contagion as Domino Effect in Global Stock Markets.(2008) In: ERIM Report Series Research in Management.
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This paper has nother version. Agregated cites: 109
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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article18
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 nother version. Agregated cites: 18
paper
2024Heterogeneous macro and financial effects of ECB asset purchase programs In: Journal of International Money and Finance.
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article0
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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paper23
2017How to Identify and Forecast Bull and Bear Markets?.(2017) In: Journal of Applied Econometrics.
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This paper has nother version. Agregated cites: 23
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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article3
2015Specification Testing in Hawkes Models.(2015) In: Tinbergen Institute Discussion Papers.
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This paper has nother version. Agregated cites: 3
paper
2017Forecasting Value-at-Risk under Temporal and Portfolio Aggregation In: Journal of Financial Econometrics.
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article8
2017Forecasting Value-at-Risk under Temporal and Portfolio Aggregation.(2017) In: Tinbergen Institute Discussion Papers.
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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.
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article4
2019Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error.(2019) In: Tinbergen Institute Discussion Papers.
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This paper has nother version. Agregated cites: 4
paper
2017Cyclicality in Losses on Bank Loans In: Tinbergen Institute Discussion Papers.
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paper4
2018Cyclicality in losses on bank loans.(2018) In: Journal of Applied Econometrics.
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This paper has nother version. Agregated cites: 4
article
2015Exploiting Spillovers to forecast Crashes In: Tinbergen Institute Discussion Papers.
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paper2
2017Exploiting Spillovers to Forecast Crashes.(2017) In: Journal of Forecasting.
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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.
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paper0
2023Cognitive Biases and Consumer Sentiment In: Tinbergen Institute Discussion Papers.
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paper0

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