Details about Dean Fantazzini
Access statistics for papers by Dean Fantazzini.
Last updated 2025-04-06. Update your information in the RePEc Author Service.
Short-id: pfa92
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Working Papers
2025
- Modeling and Forecasting the Probability of Crypto-Exchange Closures: A Forecast Combination Approach
MPRA Paper, University Library of Munich, Germany 
See also Journal Article Modeling and Forecasting the Probability of Crypto-Exchange Closures: A Forecast Combination Approach, JRFM, MDPI (2025) (2025)
2024
- Adaptive Conformal Inference for computing Market Risk Measures: an Analysis with Four Thousands Crypto-Assets
MPRA Paper, University Library of Munich, Germany
See also Journal Article Adaptive Conformal Inference for Computing Market Risk Measures: An Analysis with Four Thousand Crypto-Assets, JRFM, MDPI (2024) (2024)
- Stablecoins and credit risk: when do they stop being stable?
MPRA Paper, University Library of Munich, Germany
See also Journal Article Stablecoins and credit risk: when do they stop being stable?, Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA) (2025) (2025)
2023
- Assessing the Credit Risk of Crypto-Assets Using Daily Range Volatility Models
MPRA Paper, University Library of Munich, Germany View citations (4)
- Detecting Pump-and-Dumps with Crypto-Assets: Dealing with Imbalanced Datasets and Insiders’ Anticipated Purchases
MPRA Paper, University Library of Munich, Germany
See also Journal Article Detecting Pump-and-Dumps with Crypto-Assets: Dealing with Imbalanced Datasets and Insiders’ Anticipated Purchases, Econometrics, MDPI (2023) (2023)
2022
- Crypto Coins and Credit Risk: Modelling and Forecasting their Probability of Death
MPRA Paper, University Library of Munich, Germany View citations (7)
See also Journal Article Crypto-Coins and Credit Risk: Modelling and Forecasting Their Probability of Death, JRFM, MDPI (2022) View citations (2) (2022)
- Forecasting oil prices with penalized regressions, variance risk premia and Google data
MPRA Paper, University Library of Munich, Germany
See also Journal Article Forecasting oil prices with penalized regressions, variance risk premia and Google data, Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA) (2022) (2022)
- Using crypto assets pricing methods to build technical oscillators for short-term bitcoin trading
MPRA Paper, University Library of Munich, Germany View citations (1)
2021
- Asymmetry and hysteresis in the Russian gasoline market: the rationale for green energy exports
MPRA Paper, University Library of Munich, Germany View citations (1)
See also Journal Article Asymmetry and hysteresis in the Russian gasoline market: The rationale for green energy exports, Energy Policy, Elsevier (2021) View citations (1) (2021)
- Crypto-exchanges and Credit Risk: Modelling and Forecasting the Probability of Closure
MPRA Paper, University Library of Munich, Germany View citations (3)
See also Journal Article Crypto Exchanges and Credit Risk: Modeling and Forecasting the Probability of Closure, JRFM, MDPI (2021) View citations (9) (2021)
- Forecasting internal migration in Russia using Google Trends: Evidence from Moscow and Saint Petersburg
MPRA Paper, University Library of Munich, Germany View citations (6)
See also Journal Article Forecasting Internal Migration in Russia Using Google Trends: Evidence from Moscow and Saint Petersburg, Forecasting, MDPI (2021) View citations (1) (2021)
2020
- Discussing copulas with Sergey Aivazian: a memoir
MPRA Paper, University Library of Munich, Germany
- Does the hashrate affect the bitcoin price?
MPRA Paper, University Library of Munich, Germany View citations (19)
See also Journal Article Does the Hashrate Affect the Bitcoin Price?, JRFM, MDPI (2020) View citations (12) (2020)
- Short-term forecasting of the COVID-19 pandemic using Google Trends data: Evidence from 158 countries
MPRA Paper, University Library of Munich, Germany View citations (5)
See also Journal Article Short-term forecasting of the COVID-19 pandemic using Google Trends data: Evidence from 158 countries, Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA) (2020) View citations (5) (2020)
2019
- A multivariate approach for the simultaneous modelling of market risk and credit risk for cryptocurrencies
MPRA Paper, University Library of Munich, Germany View citations (2)
See also Journal Article A multivariate approach for the simultaneous modelling of market risk and credit risk for cryptocurrencies, Economia e Politica Industriale: Journal of Industrial and Business Economics, Springer (2020) View citations (14) (2020)
- Forecasting Realized Volatility of Russian stocks using Google Trends and Implied Volatility
MPRA Paper, University Library of Munich, Germany View citations (5)
See also Journal Article Forecasting Realized Volatility of Russian stocks using Google Trends and Implied Volatility, Russian Journal of Industrial Economics, MISIS (2019) View citations (5) (2019)
- The importance of being informed: forecasting market risk measures for the Russian RTS index future using online data and implied volatility over two decades
MPRA Paper, University Library of Munich, Germany View citations (5)
See also Journal Article The importance of being informed: forecasting market risk measures for the Russian RTS index future using online data and implied volatility over two decades, Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA) (2019) View citations (5) (2019)
2016
- Everything you always wanted to know about bitcoin modelling but were afraid to ask
MPRA Paper, University Library of Munich, Germany View citations (25)
See also Journal Article Everything you always wanted to know about bitcoin modelling but were afraid to ask. I, Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA) (2016) View citations (25) (2016)
- The Oil Price Crash in 2014/15: Was There a (Negative) Financial Bubble?
MPRA Paper, University Library of Munich, Germany View citations (52)
See also Journal Article The oil price crash in 2014/15: Was there a (negative) financial bubble?, Energy Policy, Elsevier (2016) View citations (57) (2016)
2015
- Forecasting German Car Sales Using Google Data and Multivariate Models
MPRA Paper, University Library of Munich, Germany View citations (34)
See also Journal Article Forecasting German car sales using Google data and multivariate models, International Journal of Production Economics, Elsevier (2015) View citations (34) (2015)
2014
- Editorial for the Special Issue on 'Computational Methods for Russian Economic and Financial Modelling'
MPRA Paper, University Library of Munich, Germany
- Nowcasting and Forecasting the Monthly Food Stamps Data in the US using Online Search Data
MPRA Paper, University Library of Munich, Germany View citations (7)
See also Journal Article Nowcasting and Forecasting the Monthly Food Stamps Data in the US Using Online Search Data, PLOS ONE, Public Library of Science (2014) View citations (7) (2014)
- Proposed Coal Power Plants and Coal-To-Liquids Plants: Which Ones Survive and Why?
DEM Working Papers Series, University of Pavia, Department of Economics and Management
2013
- Hydrocarbon liquefaction: viability as a peak oil mitigation strategy
MPRA Paper, University Library of Munich, Germany View citations (3)
- Reviewing electricity production cost assessments
MPRA Paper, University Library of Munich, Germany
See also Journal Article Reviewing electricity production cost assessments, Renewable and Sustainable Energy Reviews, Elsevier (2014) View citations (30) (2014)
2012
- Long memory and Periodicity in Intraday Volatility
DEM Working Papers Series, University of Pavia, Department of Economics and Management View citations (6)
See also Journal Article Long Memory and Periodicity in Intraday Volatility, Journal of Financial Econometrics, Oxford University Press (2015) View citations (26) (2015)
2011
- Everything You Always Wanted to Know about Log Periodic Power Laws for Bubble Modelling but Were Afraid to Ask
MPRA Paper, University Library of Munich, Germany View citations (13)
See also Journal Article Everything you always wanted to know about log-periodic power laws for bubble modeling but were afraid to ask, The European Journal of Finance, Taylor & Francis Journals (2013) View citations (33) (2013)
- Global oil risks in the early 21st century
MPRA Paper, University Library of Munich, Germany View citations (18)
See also Journal Article Global oil risks in the early 21st century, Energy Policy, Elsevier (2011) View citations (16) (2011)
2009
- A Copula-VAR-X Approach for Industrial Production Modelling and Forecasting
Quaderni di Dipartimento, University of Pavia, Department of Economics and Quantitative Methods View citations (1)
See also Journal Article A copula-VAR-X approach for industrial production modelling and forecasting, Applied Economics, Taylor & Francis Journals (2010) View citations (4) (2010)
- Small Sample Properties of Copula-GARCH Modelling: A Monte Carlo Study
Quaderni di Dipartimento, University of Pavia, Department of Economics and Quantitative Methods
See also Journal Article Small sample properties of copula-GARCH modelling: a Monte Carlo study, Applied Financial Economics, Taylor & Francis Journals (2011) View citations (6) (2011)
2006
- A Unified Copula Framework for VaR forecasting
Computing in Economics and Finance 2006, Society for Computational Economics
- A new framework for firm value using copulas
Computing in Economics and Finance 2006, Society for Computational Economics
Journal Articles
2025
- Modeling and Forecasting the Probability of Crypto-Exchange Closures: A Forecast Combination Approach
JRFM, 2025, 18, (2), 1-20
See also Working Paper Modeling and Forecasting the Probability of Crypto-Exchange Closures: A Forecast Combination Approach, MPRA Paper (2025) (2025)
- Stablecoins and credit risk: when do they stop being stable?
Applied Econometrics, 2025, 77, 46-73
See also Working Paper Stablecoins and credit risk: when do they stop being stable?, MPRA Paper (2024) (2024)
2024
- Adaptive Conformal Inference for Computing Market Risk Measures: An Analysis with Four Thousand Crypto-Assets
JRFM, 2024, 17, (6), 1-44
See also Working Paper Adaptive Conformal Inference for computing Market Risk Measures: an Analysis with Four Thousands Crypto-Assets, MPRA Paper (2024) (2024)
2023
- Detecting Pump-and-Dumps with Crypto-Assets: Dealing with Imbalanced Datasets and Insiders’ Anticipated Purchases
Econometrics, 2023, 11, (3), 1-73
See also Working Paper Detecting Pump-and-Dumps with Crypto-Assets: Dealing with Imbalanced Datasets and Insiders’ Anticipated Purchases, MPRA Paper (2023) (2023)
2022
- Crypto-Coins and Credit Risk: Modelling and Forecasting Their Probability of Death
JRFM, 2022, 15, (7), 1-34 View citations (2)
See also Working Paper Crypto Coins and Credit Risk: Modelling and Forecasting their Probability of Death, MPRA Paper (2022) View citations (7) (2022)
- Forecasting oil prices with penalized regressions, variance risk premia and Google data
Applied Econometrics, 2022, 68, 28-49
See also Working Paper Forecasting oil prices with penalized regressions, variance risk premia and Google data, MPRA Paper (2022) (2022)
2021
- Asymmetry and hysteresis in the Russian gasoline market: The rationale for green energy exports
Energy Policy, 2021, 157, (C) View citations (1)
See also Working Paper Asymmetry and hysteresis in the Russian gasoline market: the rationale for green energy exports, MPRA Paper (2021) View citations (1) (2021)
- Crypto Exchanges and Credit Risk: Modeling and Forecasting the Probability of Closure
JRFM, 2021, 14, (11), 1-23 View citations (9)
See also Working Paper Crypto-exchanges and Credit Risk: Modelling and Forecasting the Probability of Closure, MPRA Paper (2021) View citations (3) (2021)
- Forecasting Internal Migration in Russia Using Google Trends: Evidence from Moscow and Saint Petersburg
Forecasting, 2021, 3, (4), 1-30 View citations (1)
See also Working Paper Forecasting internal migration in Russia using Google Trends: Evidence from Moscow and Saint Petersburg, MPRA Paper (2021) View citations (6) (2021)
2020
- A multivariate approach for the simultaneous modelling of market risk and credit risk for cryptocurrencies
Economia e Politica Industriale: Journal of Industrial and Business Economics, 2020, 47, (1), 19-69 View citations (14)
See also Working Paper A multivariate approach for the simultaneous modelling of market risk and credit risk for cryptocurrencies, MPRA Paper (2019) View citations (2) (2019)
- Does the Hashrate Affect the Bitcoin Price?
JRFM, 2020, 13, (11), 1-29 View citations (12)
See also Working Paper Does the hashrate affect the bitcoin price?, MPRA Paper (2020) View citations (19) (2020)
- Short-term forecasting of the COVID-19 pandemic using Google Trends data: Evidence from 158 countries
Applied Econometrics, 2020, 59, 33-54 View citations (5)
See also Working Paper Short-term forecasting of the COVID-19 pandemic using Google Trends data: Evidence from 158 countries, MPRA Paper (2020) View citations (5) (2020)
2019
- Forecasting Realized Volatility of Russian stocks using Google Trends and Implied Volatility
Russian Journal of Industrial Economics, 2019, 12, (1) View citations (5)
See also Working Paper Forecasting Realized Volatility of Russian stocks using Google Trends and Implied Volatility, MPRA Paper (2019) View citations (5) (2019)
- The importance of being informed: forecasting market risk measures for the Russian RTS index future using online data and implied volatility over two decades
Applied Econometrics, 2019, 55, 5-31 View citations (5)
See also Working Paper The importance of being informed: forecasting market risk measures for the Russian RTS index future using online data and implied volatility over two decades, MPRA Paper (2019) View citations (5) (2019)
2018
- Big Data for computing social well-being indices of the Russian population
Applied Econometrics, 2018, 50, 43-66 View citations (1)
2017
- Everything you always wanted to know about bitcoin modelling but were afraid to ask. Part 2
Applied Econometrics, 2017, 45, 5-28 View citations (6)
2016
- Everything you always wanted to know about bitcoin modelling but were afraid to ask. I
Applied Econometrics, 2016, 44, 5-24 View citations (25)
See also Working Paper Everything you always wanted to know about bitcoin modelling but were afraid to ask, MPRA Paper (2016) View citations (25) (2016)
- The oil price crash in 2014/15: Was there a (negative) financial bubble?
Energy Policy, 2016, 96, (C), 383-396 View citations (57)
See also Working Paper The Oil Price Crash in 2014/15: Was There a (Negative) Financial Bubble?, MPRA Paper (2016) View citations (52) (2016)
2015
- Forecasting German car sales using Google data and multivariate models
International Journal of Production Economics, 2015, 170, (PA), 97-135 View citations (34)
See also Working Paper Forecasting German Car Sales Using Google Data and Multivariate Models, MPRA Paper (2015) View citations (34) (2015)
- Long Memory and Periodicity in Intraday Volatility
Journal of Financial Econometrics, 2015, 13, (4), 922-961 View citations (26)
See also Working Paper Long memory and Periodicity in Intraday Volatility, DEM Working Papers Series (2012) View citations (6) (2012)
2014
- Forecasting the real price of oil using online search data
International Journal of Computational Economics and Econometrics, 2014, 4, (1/2), 4-31 View citations (22)
- Nowcasting and Forecasting the Monthly Food Stamps Data in the US Using Online Search Data
PLOS ONE, 2014, 9, (11), 1-27 View citations (7)
See also Working Paper Nowcasting and Forecasting the Monthly Food Stamps Data in the US using Online Search Data, MPRA Paper (2014) View citations (7) (2014)
- Reviewing electricity production cost assessments
Renewable and Sustainable Energy Reviews, 2014, 30, (C), 170-183 View citations (30)
See also Working Paper Reviewing electricity production cost assessments, MPRA Paper (2013) (2013)
2013
- Everything you always wanted to know about log-periodic power laws for bubble modeling but were afraid to ask
The European Journal of Finance, 2013, 19, (5), 366-391 View citations (33)
See also Working Paper Everything You Always Wanted to Know about Log Periodic Power Laws for Bubble Modelling but Were Afraid to Ask, MPRA Paper (2011) View citations (13) (2011)
2012
- Credit default swaps and CDS-bond basis with Russian companies: a review and an analysis of the effects of the short selling ban during the second great contraction
Applied Econometrics, 2012, 25, (1), 3-24 View citations (1)
2011
- Analysis of multidimensional probability distributions with copula functions
Applied Econometrics, 2011, 22, (2), 98-134 View citations (10)
Also in Applied Econometrics, 2011, 23, (3), 98-132 (2011) View citations (9)
- Analysis of multidimensional probability distributions with copula functions. III
Applied Econometrics, 2011, 24, (4), 100-130 View citations (9)
- Forecasting the Global Financial Crisis in the Years 2009-2010: Ex-post Analysis
Economics Bulletin, 2011, 31, (4), 3259-3267
- Global oil risks in the early 21st century
Energy Policy, 2011, 39, (12), 7865-7873 View citations (16)
See also Working Paper Global oil risks in the early 21st century, MPRA Paper (2011) View citations (18) (2011)
- Small sample properties of copula-GARCH modelling: a Monte Carlo study
Applied Financial Economics, 2011, 21, (21), 1587-1597 View citations (6)
See also Working Paper Small Sample Properties of Copula-GARCH Modelling: A Monte Carlo Study, Quaderni di Dipartimento (2009) (2009)
2010
- A copula-VAR-X approach for industrial production modelling and forecasting
Applied Economics, 2010, 42, (25), 3267-3277 View citations (4)
See also Working Paper A Copula-VAR-X Approach for Industrial Production Modelling and Forecasting, Quaderni di Dipartimento (2009) View citations (1) (2009)
- Modelling and forecasting the global financial crisis: Initial findings using heterosckedastic log-periodic models
Economics Bulletin, 2010, 30, (3), 1833-1841 View citations (3)
- Three-stage semi-parametric estimation of T-copulas: Asymptotics, finite-sample properties and computational aspects
Computational Statistics & Data Analysis, 2010, 54, (11), 2562-2579 View citations (8)
2009
- Credit Risk Management (Cont.)
Applied Econometrics, 2009, 13, (1), 105-138 View citations (3)
- Econometric Analysis of Financial Data in Risk Management
Applied Econometrics, 2009, 14, (2), 100-127 View citations (1)
Also in Applied Econometrics, 2008, 10, (2), 91-137 (2008) View citations (3)
- Economic Factors in a Model of Voting: The Case of The Netherlands, Great Britain, and Israel
Applied Econometrics, 2009, 14, (2), 57-73
- Enhanced credit default models for heterogeneous SME segments
Journal of Financial Transformation, 2009, 25, 31-39 View citations (4)
- Random Survival Forests Models for SME Credit Risk Measurement
Methodology and Computing in Applied Probability, 2009, 11, (1), 29-45 View citations (38)
- The effects of misspecified marginals and copulas on computing the value at risk: A Monte Carlo study
Computational Statistics & Data Analysis, 2009, 53, (6), 2168-2188 View citations (32)
2008
- A New Approach for Firm Value and Default Probability Estimation beyond Merton Models
Computational Economics, 2008, 31, (2), 161-180 View citations (15)
- Credit Risk Management
Applied Econometrics, 2008, 12, (4), 84-137 View citations (16)
- Dynamic Copula Modelling for Value at Risk
Frontiers in Finance and Economics, 2008, 5, (2), 72-108
- Econometric Analysis of Financial Data in Risk Management (continuation). Section III: Managing Operational Risk
Applied Econometrics, 2008, 11, (3), 87-122 View citations (2)
Chapters
2011
- Fractionally Integrated Models for Volatility: A Review
Palgrave Macmillan View citations (3)
- The Intraday Analysis of Volatility, Volume and Spreads: A Review with Applications to Futures’ Markets
Palgrave Macmillan
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