Biography
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.
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Work
- Erik Kole & Dick van Dijk (2021) - Moments, Shocks and Spillovers in Markov-switching VAR Models - doi: 10.2139/ssrn.3924951
- Terri van der Zwan, Erik Kole & Michel van der Wel (2024) - Heterogeneous macro and financial effects of ECB asset purchase programs - Journal of International Money and Finance, 143 - doi: 10.1016/j.jimonfin.2024.103073 - [link]
- Sander Barendse, Erik Kole & Dick van Dijk (2023) - Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error - Journal of Financial Econometrics, 21 (2), 528-568 - doi: 10.1093/jjfinec/nbab008 - [link]
- Bart Keijsers, Bart Diris & Erik Kole (2018) - Cyclicality in Losses on Bank Loans - Journal of Applied Econometrics, 33 (4), 533-552 - doi: 10.1002/jae.2612 - [link]
- Erik Kole, TD (Thijs) Markwat, A (Anne) Opschoor & Dick van Dijk (2017) - Forecasting Value-at-Risk under temporal and portfolio aggregation - Journal of Financial Econometrics, 15 (4), 649-677 - doi: 10.1093/jjfinec/nbx019 - [link]
Asset Pricing (QF variant)
- Year
- 2024
- Course Code
- FEM21003
Thesis Hub Bachelor Econometrics & OR
- Year
- 2024
- Course Code
- FEB63007H
Thesis Hub BSc2 Econometrics / Economics
- Year
- 2024
- Course Code
- FEB63008H
Bachelor's Thesis Econometrics and Opera
- Year
- 2024
- Course Code
- FEB23200X
Asset Pricing
- Year
- 2024
- Course Code
- FEM11008
Kick off Bachelor-2 (Econometrics)
- Year
- 2024
- Course Code
- FEB62007
Take-Off Pre-Master (econometrics)
- Year
- 2024
- Course Code
- FEB63019X
Bachelorscriptie Econometrie en Operatio
- Year
- 2024
- Course Code
- FEB23200
Bachelor's Thesis BSc² Econometrics/Econ
- Year
- 2024
- Course Code
- FEB24100