Access Statistics for Erik Kole

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error 0 0 0 64 0 0 4 127
Cognitive Biases and Consumer Sentiment 0 0 0 21 0 0 4 48
Constructing and Using Double-adjusted Alphas to Analyze Mutual Fund Performance 0 0 0 24 1 1 4 49
Contagion as Domino Effect in Global Stock Markets 0 0 0 103 0 3 6 340
Cyclicality in Losses on Bank Loans 0 0 0 35 0 0 1 134
Exploiting Spillovers to forecast Crashes 0 0 1 31 0 0 2 53
Forecasting Value-at-Risk under Temporal and Portfolio Aggregation 0 0 1 36 1 1 6 113
How to Identify and Forecast Bull and Bear Markets? 0 0 0 223 0 0 2 325
Interpreting Financial Market Crashes as Earthquakes: A New early Warning System for Medium Term Crashes 2 4 5 95 4 9 20 164
Moments, Shocks and Spillovers in Markov-switching VAR Models 0 0 3 33 1 3 10 15
Riding Bubbles 0 0 1 114 0 0 3 209
Selecting Copulas for Risk Management 0 0 2 660 0 0 2 1,595
Specification Testing in Hawkes Models 0 0 0 29 0 0 2 63
Stress Testing with Student's t Dependence 0 0 0 138 0 0 0 510
The effects of systemic crises when investors can be crisis ignorant 0 0 0 31 1 2 3 171
Time Variation in Asset Return Dependence: Strength or Structure? 0 0 0 49 0 0 0 148
Total Working Papers 2 4 13 1,686 8 19 69 4,064


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error* 0 1 1 1 0 2 2 2
Contagion as a domino effect in global stock markets 0 0 2 121 0 1 5 448
Cyclicality in losses on bank loans 0 0 1 11 0 0 1 68
Exploiting Spillovers to Forecast Crashes 0 0 0 2 0 0 2 24
Forecasting Value-at-Risk under Temporal and Portfolio Aggregation 1 1 2 11 3 3 6 48
How to Identify and Forecast Bull and Bear Markets? 0 0 3 30 1 1 9 93
Interpreting financial market crashes as earthquakes: A new Early Warning System for medium term crashes 0 0 0 35 0 0 1 116
Moments, shocks and spillovers in Markov-switching VAR models 0 1 5 5 1 2 14 14
Portfolio implications of systemic crises 0 0 0 38 0 0 0 136
Selecting copulas for risk management 2 2 13 178 2 3 22 496
Specification Testing in Hawkes Models* 0 0 0 4 0 0 3 26
Total Journal Articles 3 5 27 436 7 12 65 1,471


Statistics updated 2024-05-04