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[2023/07/31]PhD student Terri van der Zwan, whom I jointly supervise with Michel van der Wel is on the market this year, looking for a position in econometrics applied to macro economics and finance.
[2023/07/31]The paper "Moments, Shocks and Spillovers in Markov Switching VAR Models" (with Dick van Dijk) has been published in the Journal of Econometrics.
[2023/02/05] The paper "Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error" (with Sander Barendse and Dick van Dijk) has been published by the Journal of Financial Econometrics.
[2022/01/06]The paper "Heterogeneous Macro and Financial Effects of ECB Asset Purchase Programs" (with Terri van der Zwan and Michel van der Wel) has been published on SSRN.
|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.|
My research interests include asset pricing, risk management and financial econometrics.
Kole, E. and D. van Dijk, 2023, Moments, Shocks and Spillovers in Markov Switching VAR Models, Journal of Econometrics, 236(2), 105474. Download from JoE. Available at SSRN and as Tinbergen Institute Discussion Paper TI 2021-080/III.
Barendse, S., E. Kole and D. van Dijk, 2023, Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error, Journal of Financial Econometrics, 21(2), 528-568. Download from JFEC. Avalaible at SSRN and as Tinbergen Institute Discussion Paper TI 2019-058/III.
Keijsers, B., Diris, B. and Kole, E., 2018, Cyclicality in Losses on Bank Loans, Journal of Applied Econometrics, 33(4), 533-552. Download from JAE. Available at SSRN and as Tinbergen Institute Discussion Paper 15-050/III.
Gresnigt, F. E. Kole and P.H. Franses, 2017, Exploiting Spillovers to Forecast Crashes, Journal of Forecasting, 36(8), 936-955. Download from JoF. Available at SSRN and as Tinbergen Institute Discussion Paper 15-118/III.
Kole, E., T. Markwat, A. Opschoor, and D. Van Dijk, 2017, Forecasting Value-at-Risk under Temporal and Portfolio Aggregation, Journal of Financial Econometrics, 15(4):649-677. Download from JFEC. Available at SSRN and as Tinbergen Institute Discussion paper 15-140/III.
Gresnigt, F. E. Kole and P.H. Franses, 2016, Specification Testing in Hawkes Models, Journal of Financial Econometrics, 15(1):139-171. Download from JFEC. Available at SSRN and as Tinbergen Institute Discussion Paper 15-086/III.
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
Heterogeneous Macro and Financial Effects of ECB Asset Purchase Programs (with Terri van der Zwan and Michel van der Wel). Available at SSRN and as Tinbergen Institute Discussion Paper TI 2021-109/III.
Constructing and Using Double-Adjusted Alphas to Analyze Mutual Fund Performance (with Reza Brink). Available at SSRN and as Tinbergen Institute Discussion Paper TI 2019-029/IV.
Cognitive Biases and Consumer Sentiment (with Liesbeth Noordegraaf-Eelens and Bas Vringer). Available at SSRN and as Tinbergen Institute Discussion Paper TI 2019-031/I.
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.
|Asset Pricing (Master Quantitative Finance; Master Financial Economics)|
|FEM21019||Financial Case Studies (Master Quantitative Finance)|
For details on the trajectory of writing a Master Thesis in Quantitative Finance, see Canvas (login required). For deadlines for requesting the master exam and 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.
Member of the Programme Management 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 BSc2 Econometrics/Economics programme, as of January 2013.
Coordinator of the Pre-Master programmes for Econometrics and Management Science, as of January 2013.
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).
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.