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[16/04/01] The paper "How to identitfy and forecast bull and bear markets" (with Dick van Dijk) has been published by the Journal of Applied Econometrics and is available JAE on-line.
[26/03/2016]The papers "Forecasting Value-at-Risk under Temporal and Portfolio Aggregation" (with Thijs Markwat, Anne Opschoor and Dick van Dijk), "Cyclicality in Losses on Bank Loans" (with Bart Keijsers and Bart Diris), and "Specification Testing in Hawkes Models" (with Francine Gresnigt and Philip Hans Franses) have been accepted at the Annual Conference of the International Association for Applied Econometrics at the University of Milan-Bicocca from June 22 to 25 2016.
[10/03/16] The paper "Forecasting Value-at-Risk under Temporal and Portfolio Aggregation" (with Thijs Markwat, Anne Opschoor and Dick van Dijk) has been accepted at the 9th Annual SoFiE Conference at the City University of Hong Kong from 15 to 17 June 2016.
[08/03/16] The papers "Forecasting Value-at-Risk under Temporal and Portfolio Aggregation" (with Thijs Markwat, Anne Opschoor and Dick van Dijk) and "Cyclicality in Losses on Bank Loans" (with Bart Keijsers and Bart Diris) have been accepted at the Financial Econometrics and Empirical Asset Pricing Conference at the University of Lancaster on 30 June and 1 July 2016.
[16/01/08] The paper "Forecasting Value-at-Risk under Temporal and Portfolio Aggregation" (with Thijs Markwat, Anne Opschoor and Dick van Dijk) has become available at SSRN and as Tinbergen Institute Discussion paper 15-140/III.
[15/12/15] The team of the The Massive Open Online Course (MOOC) "Econometrics: Methods and Applications" has won the Top Lecturer Award 2015 from the Erasmus School of Economics.
|Affiliation:||Econometric Institute, Erasmus University Rotterdam|
|Address:||P.O. Box 1738, 3000 DR Rotterdam, The Netherlands|
|Phone:||(+31) 10 - 408 12 58|
|Fax:||(+31) 10 - 408 91 62|
|CV:||My CV can be downloaded here.|
|Asset Pricing (Master Quantitative Finance; Master Financial Economics)|
|BERMASC067||Empirical Asset Pricing (MPhil ERIM)|
|FEM21019||Financial Case Studies (Master Quantitative Finance)|
|Master thesis & Master Thesis Coordinator
For details on the trajectory of writing a Master Thesis in Quantitative Finance, see SIN-Online (login required). For deadlines for handing in, see here; for graduation dates, see here.
Writing Advice. Writing reports, theses and articles is not easy. This document lists some common pitfalls and presents some advice. Other useful sources are John Cochrane's writing tips, Deirdre McClosky's Economical Writing and Ben Jacobsen's research advice.
My research interests include asset pricing, risk management and financial econometrics.
Gresnigt, F. E. Kole and P.H. Franses, 2015, Interpreting Financial Market Crashes as Earthquakes: A New Early Warning System for Medium-term Crashes, Journal of Banking & Finance, 56:123-139. Download from JBF. Available at SSRN and as TI 14-067/III.
Markwat, T., E. Kole and D. van Dijk, 2009, Contagion as a Domino Effect in Financial Markets, Journal of Banking & Finance, 33(11):1996-2012. Download from JBF. Available at SSRN and as ERS-2008-071-F&A.
Kole, E., K. Koedijk and M. Verbeek, 2007, Selecting Copulas for Risk Management, Journal of Banking & Finance, 31(8):2405-2423. Download from JBF. Download working paper version (also available at SSRN).
Kole, E., K. Koedijk and M. Verbeek, 2006, Portfolio Implications of Systemic Crises, Journal of Banking & Finance, 30(8):2347-2369. Download from JBF. Download working paper version (also available at SSRN).
Kole, H.J.W.G., 2006, On Crises, Crashes and Comovements (Over crises, crashes en afhankelijkheid in koersverloop), ERIM Ph.D. Series in Management, No. 83, xiv + 191 pages, ERIM, Rotterdam, The Netherlands
E. Kole, 2011, Het failliet van de normale verdeling, VBA Journaal, 27(106):42-47. Available here
Slagter E, Y. Vermaes and E. Kole, 2010, Opitmale asset allocatie op korte en lange termijn, VBA Journaal, 26(1):8-17. Available here
Impulse response analysis for MS-VAR models (with Karolina Scholtus and Dick van Dijk).
Time Variation in Asset Return Dependence: Strength or Structure? (with Thijs Markwat and Dick van Dijk). Available at SSRN.
Bubbles and Investment Horizons (with Nadja Guenster).
Crash Risk in the Cross Section of Asset Returns (with Marno Verbeek).
Bubbles and Crashes: Empirical Evidence (with Nadja Guenster and Ben Jacobsen). Available at SSRN.
I have received the Top Lecturer Award 2015 from Erasmus School of Economics for the The Massive Open Online Course (MOOC) "Econometrics: Methods and Applications" with Mirthe van Dieijen, Dennis Fok, Philip Hans Franses, Francine Gresnigt, Christiaan Heij, Richard Paap, Michel van der Wel and Dick van Dijk.
I have received a research grant of EUR 10,000 from the Europlace Institute for Finance for my research project "Cyclicality in Losses on Bank Loans" with Bart Keijsers and Bart Diris.
I have received a research grant of EUR 10,000 from the Europlace Institute for Finance for my research project "Bubbles and Investment Horizons" with Nadja Guenster.
The paper "Riding Bubbles" with Nadja Guenster and Ben Jacobsen won the Crowell Memorial Second Prize awared by PanAgora Asset Management.
I have received a VENI grant from NWO (Netherlands Organisation for Scientific Research) for my research proposal "Consequences of Abrupt Events for Investors in Financial Markets". This grant of EUR 208.000 will be used to finance my current position (see press release in Dutch).
On December 12, 2007, I have received the ERIM Dissertation Award. It was handed over to me by the rector magnificus Prof. dr. Steven Lamberts at ERIM's Annual Awards Ceremony.
I have been awarded the Nokia-EBF award for my dissertation. The prize is awarded yearly by the European Business Forum, a magazine initiated by the Community for European Management Schools (CEMS), and is sponsored by Nokia. The dean of RSM's MSc program, Prof. dr. Eric Waarts handed out the award. An executive summary of my dissertation appeared in the Winter issue of the European Business Forum (link).
Member of the Education Board of Erasmus School of Economics.
Member of the management team of the department of Econometrics, as of January 2007.
Programme coordinator of the Econometrics programmes of Erasmus School of Economics.
Coordinator of the International Bachelor Econometrics and Operations Research programme, as of January 2011. Watch our animation "Econometrics Explained the Dutch Way".
Coordinator of the BScē Econometrics/Economics programme (joint with Philip Hans Franses), as of January 2013.
I was interviewed together with Frank de Jong (University of Tilburg) by BNR Nieuwsradio on the use of the formula of Li (2000, Journal of Fixed Income) for valuation and risk management in financial markets. To hear the interview click here: part 1, part 2.
I wrote an article for MET (vol. 14, is. 3) (Medium Econometrische Toepassingen / Medium for Econometric Applications) based on 'Bubbles and Crashes: Empirical Evidence'.
I gave feedback for an article (in Dutch) in Nieuwe Revu 37 (September 13 to 19, 2006).
My dissertation was refereed in Beter Beleggen (Magazine van de Nederlandse Centrale Vereniging van Beleggingsstudieclubs).
On Thursday June 22nd, I was interviewed by Rene de Monchy from the Dutch radio station BNR on my dissertation. From the interview of about 12 minutes, approximately 3 minutes have been regularly broadcasted on Friday. Listen to the radio interview.
For mathematical notation, I advise to follow the article "Notation in econometrics: a proposal for a standard" by Jan Magnus and Karim Abadir (published in the Econometrics Journal, 2002, 5:76-90). I made a LaTeX package for it, called Econometrics.
In my spare time I like climbing and skiing in the mountains. Pictures of my trip (Summer 2008) to the Bernina Alps can be found here.