Erik Kole : Citation Profile

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

7

H index

5

i10 index

334

Citations

RESEARCH PRODUCTION:

13

Articles

15

Papers

RESEARCH ACTIVITY:

   22 years (2003 - 2025). See details.
   Cites by year: 15
   Journals where Erik Kole has often published
   Relations with other researchers
   Recent citing documents: 21.    Total self citations: 9 (2.62 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pko187
   Updated: 2025-12-20    RAS profile: 2025-04-28    
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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)

van Dijk, Dick (6)

Nguyen, Duc Khuong (6)

Neuenkirch, Matthias (5)

Fermanian, Jean-David (5)

Panchenko, Valentyn (5)

Guidolin, Massimo (4)

Lopez, Claude (4)

Corbet, Shaen (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)

Kaminsky, Graciela (11)

de Vries, Casper (11)

Straetmans, Stefan (10)

Ang, Andrew (10)

Campbell, John (10)

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 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)

YearTitle of citing document
2024Nonparametric Test for Volatility in Clustered Multiple Time Series. (2024). Barrios, Erniel ; Victor, Paolo. In: Papers. RePEc:arx:papers:2104.14412.

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

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2024An empirical review of dynamic extreme value models for forecasting value at risk, expected shortfall and expectile. (2024). Herrera, Rodrigo ; Candia, Claudio. In: Journal of Empirical Finance. RePEc:eee:empfin:v:77:y:2024:i:c:s0927539824000239.

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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). Tomlinson, Matthew F ; Mucha-Kruczyski, Marcin ; Greenwood, David. 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). Fritzsch, Simon ; Timphus, Maike ; Weiss, Gregor. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:158:y:2024:i:c:s0378426623002261.

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2025Understanding the use of unconventional monetary policy for portfolio decarbonisation in Europe. (2025). Corbet, Shaen ; Muiz, Jos Antonio ; Larkin, Charles. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:150:y:2025:i:c:s0261560624002183.

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2024Quantile coherency across bonds, commodities, currencies, and equities. (2024). Stenvall, David ; lucey, brian ; Rahman, Md Lutfur ; 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). Zheng, Xiazhong ; Nie, Benwu ; Jin, Lianghai ; Wang, Jie ; Chen, Yun. In: Reliability Engineering and System Safety. RePEc:eee:reensy:v:252:y:2024:i:c:s0951832024005416.

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2025Private equity market dynamics: Beyond the surface. (2025). Daz, Antonio ; Esparcia, Carlos ; Tegtmeier, Lars. In: International Review of Economics & Finance. RePEc:eee:reveco:v:100:y:2025:i:c:s1059056025002503.

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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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2024On the Ratio-Type Family of Copulas. (2024). Bentoumi, Rachid ; Mesfioui, Mhamed ; el Ktaibi, Farid. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:11:p:1743-:d:1407983.

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2025From Inequality to Extremes and Back: A Lorenz Representation of the Pickands Dependence Function. (2025). Fontanari, Andrea ; Cirillo, Pasquale. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:13:p:2047-:d:1683715.

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2024Comparison of Value at Risk (VaR) Multivariate Forecast Models. (2024). Righi, Marcelo ; Muller, Fernanda Maria. In: Computational Economics. RePEc:kap:compec:v:63:y:2024:i:1:d:10.1007_s10614-022-10330-x.

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2025Can Text-Based Statistical Models Reveal Impending Banking Crises?. (2025). du Plessis, Emile. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:3:d:10.1007_s10614-024-10594-5.

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2025Multi-Stage International Portfolio Selection with Factor-Based Scenario Tree Generation. (2025). Ji, Bingbing ; Chen, Zhiping ; Mei, YU ; Liu, Jia. In: Computational Economics. RePEc:kap:compec:v:66:y:2025:i:1:d:10.1007_s10614-024-10699-x.

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2024Modelling foreign exchange rate co-movement and its spatial dependence in emerging markets: a spatial econometrics approach. (2024). Eita, Joel ; Tchuinkam, Charles Raoul. In: Empirical Economics. RePEc:spr:empeco:v:66:y:2024:i:3:d:10.1007_s00181-023-02482-y.

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2024Identification and forecasting of bull and bear markets using multivariate returns. (2024). Maheu, John ; Song, Yong ; Liu, Jia. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:39:y:2024:i:5:p:723-745.

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2025Dynamic Mixture Vector Autoregressions With Score‐Driven Weights. (2025). Neuenkirch, Matthias ; Umlandt, Dennis ; Gretener, Alexander Georges. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:40:y:2025:i:4:p:455-470.

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2025Systemic Credit Risk Premium: Insights From Credit Derivatives Markets. (2025). Kim, Baeho ; Byun, Kiwoong ; Oh, Dong Hwan. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:9:p:1448-1465.

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Works by Erik Kole:

YearTitleTypeCited
2006Selecting Copulas for Risk Management In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper127
2007Selecting copulas for risk management.(2007) In: Journal of Banking & Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 127		article
2023Moments, shocks and spillovers in Markov-switching VAR models In: Journal of Econometrics.
[Full Text][Citation analysis]		article2
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: 2		paper
2006Portfolio implications of systemic crises In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article19
2009Contagion as a domino effect in global stock markets In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article111
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: 111		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]		article19
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: 19		paper
2024Heterogeneous macro and financial effects of ECB asset purchase programs In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article1
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
2025Cognitive biases in consumer sentiment: the peak-end rule and herding In: Empirical Economics.
[Full Text][Citation analysis]		article0
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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