Welcome to the homepage ofErik Kole |
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[2025/07/12] The paper "Cognitive Biases and Consumer Sentiment: the Peak-End Rule and Herding" with L. Noordegraaf-Eelens and Bas Vringer has been accepted for publication at Empirical Economics.
[2024/12/12] Terri van der Zwan succesfully defended her dissertation with prof. dr. Michel van der Wel as promotor and me as copromotor.
[2024/11/28] I have been promoted to Associate Professor of Financial Econometrics per December 1, 2024.
| Name: | Erik Kole |
| Initials: | H.J.W.G. |
| Titles: | dr. |
| Affiliation: | Econometric Institute, Erasmus University Rotterdam |
| Address: | P.O. Box 1738, 3000 DR Rotterdam, The Netherlands |
| Office: | H11-13 |
| Phone: | (+31) 10 - 408 12 58 |
| Fax: | (+31) 10 - 408 91 62 |
| Email: | kole@ese.eur.nl |
| CV: | My CV can be downloaded here. |
My research interests include asset pricing, risk management and financial econometrics.
Kole, E., L. Noordegraaf-Eelens, and B. Vringer 2025, Cognitive Biases and Consumer Sentiment: the Peak-End Rule and Herding, Empirical Economics, forthcoming. Available at SSRN and as Tinbergen Institute Discussion Paper TI 2019-031/I. Data available at EUR data repository.
Van der Zwan, T., E. Kole and M. van der Wel, 2024, Heterogeneous Macro and Financial Effects of ECB Asset Purchase Programs, Journal of International Money and Finance, forthcoming. Download from JIMF. Available at SSRN and as Tinbergen Institute Discussion Paper TI 2021-109/III.
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.
Kole, E., D. van Dijk, 2017, How to identitfy and forecast bull and bear markets, Journal of Applied Econometrics, 32(1):120-139. Download from JAE. Available at SSRN and as ERS-2013-016-F&A.
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
High-Dimensional Dynamic Factor Models with Markov-switching (with Christian Brownlees, UPF).
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.
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.
Riding Bubbles (with Nadja Guenster and Ben Jacobsen). Available at SSRN. The web appendix to this paper is available here.
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.
| FEM11008
FEM21003 |
Asset Pricing (Master Quantitative Finance; Master Financial Economics) |
| FEM21019 | Financial Case Studies (Master Quantitative Finance) |
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FEM21030 FEM21031 |
Master thesis 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.
Explaining Markov Switching Models. I have prepared an elaborate example of the analysis and estimation of Markov regime switching models. The data set used in this example is available here.
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 manager of the Econometrics programmes of Erasmus School of Economics.
Programme manager of the International Bachelor Econometrics and Operations Research programme, as of January 2011. Watch our animation "Econometrics Explained the Dutch Way".
Programme manager of the BSc2 Econometrics/Economics programme, as of January 2013.
Programme manager of the Pre-Master programmes for Econometrics and Management Science, as of January 2013.
2015: Top Lecturer Award 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.
2014: 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.
2011: 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.
2007: VENI grant of EUR 208,000 from NWO (Netherlands Organisation for Scientific Research) for my research proposal "Consequences of Abrupt Events for Investors in Financial Markets".
2007: ERIM Dissertation Award.
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.