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Details about Dean Fantazzini

E-mail:
Homepage:https://sites.google.com/site/deanfantazzini/
Workplace:Moscow School of Economics, M. V. Lomonosov Moscow State University, (more information at EDIRC)

Access statistics for papers by Dean Fantazzini.

Last updated 2019-10-12. Update your information in the RePEc Author Service.

Short-id: pfa92


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Working Papers

2019

  1. A multivariate approach for the simultaneous modelling of market risk and credit risk for cryptocurrencies
    MPRA Paper, University Library of Munich, Germany Downloads
  2. Forecasting Realized Volatility of Russian stocks using Google Trends and Implied Volatility
    MPRA Paper, University Library of Munich, Germany Downloads
    See also Journal Article in Russian Journal of Industrial Economics (2019)
  3. 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 Downloads

2016

  1. Everything you always wanted to know about bitcoin modelling but were afraid to ask
    MPRA Paper, University Library of Munich, Germany Downloads View citations (6)
    See also Journal Article in Applied Econometrics (2016)
  2. The Oil Price Crash in 2014/15: Was There a (Negative) Financial Bubble?
    MPRA Paper, University Library of Munich, Germany Downloads View citations (15)
    See also Journal Article in Energy Policy (2016)

2015

  1. Forecasting German Car Sales Using Google Data and Multivariate Models
    MPRA Paper, University Library of Munich, Germany Downloads View citations (9)
    See also Journal Article in International Journal of Production Economics (2015)

2014

  1. Editorial for the Special Issue on 'Computational Methods for Russian Economic and Financial Modelling'
    MPRA Paper, University Library of Munich, Germany Downloads
  2. Nowcasting and Forecasting the Monthly Food Stamps Data in the US using Online Search Data
    MPRA Paper, University Library of Munich, Germany Downloads View citations (3)
  3. 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 Downloads

2013

  1. Hydrocarbon liquefaction: viability as a peak oil mitigation strategy
    MPRA Paper, University Library of Munich, Germany Downloads View citations (3)
  2. Reviewing electricity production cost assessments
    MPRA Paper, University Library of Munich, Germany Downloads
    See also Journal Article in Renewable and Sustainable Energy Reviews (2014)

2012

  1. Long memory and Periodicity in Intraday Volatility
    DEM Working Papers Series, University of Pavia, Department of Economics and Management Downloads View citations (5)
    See also Journal Article in Journal of Financial Econometrics (2015)

2011

  1. 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 Downloads View citations (11)
    See also Journal Article in The European Journal of Finance (2013)
  2. Global oil risks in the early 21st century
    MPRA Paper, University Library of Munich, Germany Downloads View citations (11)
    See also Journal Article in Energy Policy (2011)

2009

  1. A Copula-VAR-X Approach for Industrial Production Modelling and Forecasting
    Quaderni di Dipartimento, University of Pavia, Department of Economics and Quantitative Methods Downloads
    See also Journal Article in Applied Economics (2010)
  2. Small Sample Properties of Copula-GARCH Modelling: A Monte Carlo Study
    Quaderni di Dipartimento, University of Pavia, Department of Economics and Quantitative Methods Downloads
    See also Journal Article in Applied Financial Economics (2011)

2006

  1. A Unified Copula Framework for VaR forecasting
    Computing in Economics and Finance 2006, Society for Computational Economics
  2. A new framework for firm value using copulas
    Computing in Economics and Finance 2006, Society for Computational Economics

Journal Articles

2019

  1. Forecasting Realized Volatility of Russian stocks using Google Trends and Implied Volatility
    Russian Journal of Industrial Economics, 2019 Downloads
    See also Working Paper (2019)

2018

  1. Big Data for computing social well-being indices of the Russian population
    Applied Econometrics, 2018, 50, 43-66 Downloads

2017

  1. Everything you always wanted to know about bitcoin modelling but were afraid to ask. Part 2
    Applied Econometrics, 2017, 45, 5-28 Downloads View citations (1)

2016

  1. Everything you always wanted to know about bitcoin modelling but were afraid to ask. I
    Applied Econometrics, 2016, 44, 5-24 Downloads View citations (6)
    See also Working Paper (2016)
  2. The oil price crash in 2014/15: Was there a (negative) financial bubble?
    Energy Policy, 2016, 96, (C), 383-396 Downloads View citations (15)
    See also Working Paper (2016)

2015

  1. Forecasting German car sales using Google data and multivariate models
    International Journal of Production Economics, 2015, 170, (PA), 97-135 Downloads View citations (9)
    See also Working Paper (2015)
  2. Long Memory and Periodicity in Intraday Volatility
    Journal of Financial Econometrics, 2015, 13, (4), 922-961 Downloads View citations (9)
    See also Working Paper (2012)

2014

  1. Forecasting the real price of oil using online search data
    International Journal of Computational Economics and Econometrics, 2014, 4, (1/2), 4-31 Downloads View citations (11)
  2. Reviewing electricity production cost assessments
    Renewable and Sustainable Energy Reviews, 2014, 30, (C), 170-183 Downloads View citations (20)
    See also Working Paper (2013)

2013

  1. 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 Downloads View citations (14)
    See also Working Paper (2011)

2012

  1. 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 Downloads View citations (1)

2011

  1. Analysis of multidimensional probability distributions with copula functions
    Applied Econometrics, 2011, 22, (2), 98-134 Downloads View citations (9)
    Also in Applied Econometrics, 2011, 23, (3), 98-132 (2011) Downloads View citations (8)
  2. Analysis of multidimensional probability distributions with copula functions. III
    Applied Econometrics, 2011, 24, (4), 100-130 Downloads View citations (8)
  3. Forecasting the Global Financial Crisis in the Years 2009-2010: Ex-post Analysis
    Economics Bulletin, 2011, 31, (4), 3259-3267 Downloads
  4. Global oil risks in the early 21st century
    Energy Policy, 2011, 39, (12), 7865-7873 Downloads View citations (8)
    See also Working Paper (2011)
  5. Small sample properties of copula-GARCH modelling: a Monte Carlo study
    Applied Financial Economics, 2011, 21, (21), 1587-1597 Downloads
    See also Working Paper (2009)

2010

  1. A copula-VAR-X approach for industrial production modelling and forecasting
    Applied Economics, 2010, 42, (25), 3267-3277 Downloads View citations (2)
    See also Working Paper (2009)
  2. Modelling and forecasting the global financial crisis: Initial findings using heterosckedastic log-periodic models
    Economics Bulletin, 2010, 30, (3), 1833-1841 Downloads View citations (3)
  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 Downloads View citations (7)

2009

  1. Credit Risk Management (Cont.)
    Applied Econometrics, 2009, 13, (1), 105-138 Downloads View citations (3)
  2. Econometric Analysis of Financial Data in Risk Management
    Applied Econometrics, 2009, 14, (2), 100-127 Downloads View citations (1)
    Also in Applied Econometrics, 2008, 10, (2), 91-137 (2008) Downloads View citations (3)
  3. Economic Factors in a Model of Voting: The Case of The Netherlands, Great Britain, and Israel
    Applied Econometrics, 2009, 14, (2), 57-73 Downloads
  4. Enhanced credit default models for heterogeneous SME segments
    Journal of Financial Transformation, 2009, 25, 31-39 Downloads View citations (2)
  5. 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 Downloads View citations (20)

2008

  1. A New Approach for Firm Value and Default Probability Estimation beyond Merton Models
    Computational Economics, 2008, 31, (2), 161-180 Downloads View citations (2)
  2. Credit Risk Management
    Applied Econometrics, 2008, 12, (4), 84-137 Downloads View citations (13)
  3. Dynamic Copula Modelling for Value at Risk
    Frontiers in Finance and Economics, 2008, 5, (2), 72-108 Downloads View citations (8)
  4. Econometric Analysis of Financial Data in Risk Management (continuation). Section III: Managing Operational Risk
    Applied Econometrics, 2008, 11, (3), 87-122 Downloads View citations (2)
 
Page updated 2019-10-13