Dr. H.J.W.G. (Erik) Kole
Erik Kole is an assistant professor at the Econometric Institute of Erasmus University Rotterdam. His research interests include asset pricing, risk management and financial econometrics, with a focus on crises and crashes in financial markets. He has published his research in international academic journals, like the Journal of Applied Econometrics and the Journal of Banking and Finance. Professor Kole teaches in the Quantitative Finance program of the MSc Econometrics and Management Science. He is academic director of the Dutch and International bachelors in Econometrics and Operations Research. He was a visiting scholar in the department of Economics of Pompeu Fabra University in Barcelona in 2019. He obtained his PhD in 2006 from the Rotterdam School of Managament.
PhD Track On Crises, Crashes and Comovements
Crises and crashes in financial markets are investors’ worst fear. The combination of large losses, a persistent increase of price fluctuations, and a strengthening of comovements in prices causes investors great harm. While the severe consequences of crises and crashes are intuitively clear, many essential questions regarding the magnitude of the effects on specific fields in finance and the precise impact of the different factors have yet to be resolved. This dissertation provides answers to these questions from an investor’s perspective. Its main conclusion reads that the tendency of crises and crashes to spread to other assets and markets as well as over time is of crucial importance for determining their impact. Traditional models for comovements underestimate the risk of joint downward movements. Persistence exacerbates the effects of a crisis and increases the costs of ignoring its possibility beforehand. Moreover, this thesis concludes that investors can expect a compensation for the grave consequences of a crash that they are unable to evade. The size of this compensation indicates that crash risk may be equally important as the traditional risk in the normal fluctuations of asset prices. Furthermore, predictions on the likelihood of a crash can be improved by studying past returns. Besides these empirical contributions, this dissertation shows how various econometric techniques, including copulas and regime-switching models, can be used innovatively for the examination of crises, crashes and comovements.
- Keywords
- Risk Management, Financial Crises, Systemic Risk, Asset Allocation, Dependence, Diversification, Asset Pricing, Bubbles, Copulas, Regime Switching Models
- Time frame
- 2001 - 2006
Publications
Article (14)
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Academic (12)
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van der Zwan, T., Kole, E., & van der Wel, M. (2024). Heterogeneous macro and financial effects of ECB asset purchase programs. Journal of International Money and Finance, 143, Article 103073. https://doi.org/10.1016/j.jimonfin.2024.103073
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Kole, E., & van Dijk, D. (2023). Moments, shocks and spillovers in Markov-switching VAR models. Journal of Econometrics, 236(2), Article 105474. https://doi.org/10.1016/j.jeconom.2023.105474
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Barendse, S., Kole, E., & 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. Article nbab008. https://doi.org/10.1093/jjfinec/nbab008
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Keijsers, B., Diris, B., & Kole, E. (2018). Cyclicality in Losses on Bank Loans. Journal of Applied Econometrics, 33(4), 533-552. https://doi.org/10.1002/jae.2612
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Kole, E., Markwat, TD., Opschoor, A., & van Dijk, D. (2017). Forecasting Value-at-Risk under temporal and portfolio aggregation. Journal of Financial Econometrics, 15(4), 649-677. https://doi.org/10.1093/jjfinec/nbx019
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Kole, E., & van Dijk, D. (2017). How to identify and forecast bull and bear markets? Journal of Applied Econometrics, 32(1), 120-139. https://doi.org/10.1002/jae.2511
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Gresnigt, F., Kole, E., & Franses, P. H. (2016). Exploiting Spillovers to Forecast Crashes. Journal of Forecasting, 36(8), 936-955. https://doi.org/10.1002/for.2434
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Gresnigt, F., Kole, E., & Franses, P. H. (2016). Specification Testing in Hawkes Models. Journal of Financial Econometrics, 15(1), 139-171. https://doi.org/10.1093/jjfinec/nbw011
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Gresnigt, F., Kole, E., & 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. https://doi.org/10.2469/dig.v45.n12.10
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Markwat, TD., Kole, E., & van Dijk, D. (2009). Contagion as a domino effect in global stock markets. Journal of Banking and Finance, 33(11), 1996-2012. https://doi.org/10.1016/j.jbankfin.2009.05.008
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Kole, E., Koedijk, CG., & Verbeek, M. (2007). Selecting copulas for risk management. Journal of Banking and Finance, 31(8), 2405-2423. https://doi.org/10.1016/j.jbankfin.2006.09.010
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Kole, E., Koedijk, CG., & Verbeek, M. (2006). Portfolio Implications of Systemic Crises. Journal of Banking and Finance, 30(8), 2347-2369. https://doi.org/10.1016/j.jbankfin.2005.08.006
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Professional (2)
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Kole, E. (2011). Het failliet van de normale verdeling. VBA Journaal, 26(1), 8-17.
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Slagter, E., Vermaes, Y., & Kole, E. (2010). Optimale Asset Allocatie op Korte en Lange Termijn. VBA Journaal, 26, 8-17.
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Discussion paper (1)
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Academic (1)
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Kole, E., & van Dijk, D. (Accepted/In press). Moments, Shocks and Spillovers in Markov-switching VAR Models. Tinbergen Institute. Journal of Econometrics https://doi.org/10.2139/ssrn.3924951
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Doctoral Thesis (1)
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Internal (1)
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Kole, E. (2006). On Crises, Crashes and Comovements. [Doctoral Thesis, Erasmus University Rotterdam]. Erasmus Universiteit Rotterdam (EUR).
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Paper (1)
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Academic (1)
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Keijsers, B., Diris, B., & Kole, E. (2014). Cyclicality in losses on bank loans (working paper).
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Report (6)
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Academic (6)
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Gresnigt, F., Kole, E., & Franses, P. H. (2015). Interpreting financial market crashes as earthquakes: A new early warning system for medium term crashes. (EI reprint reeks EI-1636 ed.) Econometric Institute. EI reprint reeks Vol. EI-1636
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Markwat, TD., Kole, E., & van Dijk, D. (2009). Contagion as a domino effect in global stock markets. (EI reprint reeks EI-1523 ed.) DEPARTMENT OF ECONOMETRICS. EI reprint reeks Vol. EI-1523
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Markwat, TD., Kole, E., & van Dijk, D. (2009). Time Variation in Asset Return Dependence: Strength or Structure. (ERIM Report Series ERS-2009-052-F&A ed.) ERIM. ERIM Report Series Vol. ERS-2009-052-F&A
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Markwat, TD., Kole, E., & van Dijk, D. (2008). Contagion as a Domino Effect in Global Stock Markets. (ERIM Report Series 2008-071-F&A ed.) ERIM. ERIM Report Series Vol. 2008-071-F&A
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Kole, E., Koedijk, CG., & Verbeek, M. (2004). The effects of systemic crises when investors can be crisis ignorant. (Report Series in Management 2004-027FA ed.) Erasmus Research Institute of Management (ERIM). Report Series in Management Vol. 2004-027FA
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Kole, E., Koedijk, CG., & Verbeek, M. (2003). Stress testing with Student's t dependence. (Report Series in Management 2003-056FA ed.) Erasmus Research Institute of Management (ERIM). Report Series in Management Vol. 2003-056FA
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Working paper (1)
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Academic (1)
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van Dijk, D., & Kole, E. (2013). How to identify and forecast bull and bear markets? Erasmus Research Institute of Management (ERIM). Report Vol. 2013-016-F&A
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Additional activities (1)
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Erasmus School of Economics (ESE) (External organisation)
Membership of committee (Academic)
PhD Track (1)
- Role: Co-promotor
- PhD Candidate: Thijs Markwat
- Time frame: 2006 - 2011
Events (38)
Award (1)
- ERIM Dissertation Award (2007)
Address
Office: ET-31
Burgemeester Oudlaan 50
3062 PA Rotterdam
Postbus 1738
3000 DR Rotterdam
Netherlands
Supervisory Team
