Kole, E. and van Dijk, D. (2023). Moments, shocks and spillovers in Markov-switching VAR models Journal of Econometrics, 236(2):.
Erik Kole
University
Erasmus University Rotterdam
E-mail
Research field
Econometrics
Interests
Financial Econometrics, Risk Management
Website
Key publications
List of publications
Barendse, S., Kole, E. and van Dijk, D. (2023). Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error Journal of Financial Econometrics, 21(2):528--568.
Kole, E. and van Dijk, D. (2023). Moments, shocks and spillovers in Markov-switching VAR models Journal of Econometrics, 236(2):.
Keijsers, B., Diris, B. and Kole, E. (2018). Cyclicality in losses on bank loans Journal of Applied Econometrics, 33(4):533--552.
Gresnigt, F., Kole, E. and Franses, P.H. (2016). Exploiting Spillovers to Forecast Crashes Journal of Forecasting, 36(8):936--955.
Kole, E., Markwat, T., Opschoor, A. and Van Dijk, D. (2017). Forecasting Value-at-Risk under Temporal and Portfolio Aggregation* Journal of Financial Econometrics, 15(4):649--677.
Kole, E. and van Dijk, D. (2017). How to identify and forecast bull and bear markets? Journal of Applied Econometrics, 32(1):120--139.
Gresnigt, F., Kole, E. and Franses, P.H. (2016). Specification Testing in Hawkes Models Journal of Financial Econometrics, 15(1):139--171.
Gresnigt, F., Kole, E. and Franses, P.H. (2015). Interpreting financial market crashes as earthquakes: A new early warning system for medium term crashes Journal of Banking and Finance, 56:123--139.
Markwat, T.(., Kole, E. and van Dijk, D. (2009). Contagion as a domino effect in global stock markets Journal of Banking and Finance, 33(11):1996--2012.
Kole, E., Koedijk, C.(. and Verbeek, M. (2007). Selecting copulas for risk management Journal of Banking and Finance, 31(8):2405--2423.
Kole, E., Koedijk, C.(. and Verbeek, M. (2006). Portfolio Implications of Systemic Crises Journal of Banking and Finance, 30(8):2347--2369.