Dean Fantazzini
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Dean |
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Fantazzini |
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Affiliations
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M. V. Lomonosov Moscow State University
/ Moscow School of Economics
Research profile
author of:
- Forecasting Realized Volatility of Russian stocks using Google Trends and Implied Volatility (RePEc:ach:journl:y:2019:id:724)
by T. Bazhenov & D. Fantazzini - Modelling and forecasting the global financial crisis: Initial findings using heterosckedastic log-periodic models (RePEc:ebl:ecbull:eb-09-00287)
by Dean Fantazzini - Forecasting the Global Financial Crisis in the Years 2009-2010: Ex-post Analysis (RePEc:ebl:ecbull:eb-11-00391)
by Dean Fantazzini - The effects of misspecified marginals and copulas on computing the value at risk: A Monte Carlo study (RePEc:eee:csdana:v:53:y:2009:i:6:p:2168-2188)
by Fantazzini, Dean - Three-stage semi-parametric estimation of T-copulas: Asymptotics, finite-sample properties and computational aspects (RePEc:eee:csdana:v:54:y:2010:i:11:p:2562-2579)
by Fantazzini, Dean - Asymmetry and hysteresis in the Russian gasoline market: The rationale for green energy exports (RePEc:eee:enepol:v:157:y:2021:i:c:s0301421521003360)
by Kolesnikova, Anna & Fantazzini, Dean - Global oil risks in the early 21st century (RePEc:eee:enepol:v:39:y:2011:i:12:p:7865-7873)
by Fantazzini, Dean & Höök, Mikael & Angelantoni, André - The oil price crash in 2014/15: Was there a (negative) financial bubble? (RePEc:eee:enepol:v:96:y:2016:i:c:p:383-396)
by Fantazzini, Dean - Forecasting German car sales using Google data and multivariate models (RePEc:eee:proeco:v:170:y:2015:i:pa:p:97-135)
by Fantazzini, Dean & Toktamysova, Zhamal - Reviewing electricity production cost assessments (RePEc:eee:rensus:v:30:y:2014:i:c:p:170-183)
by Larsson, Simon & Fantazzini, Dean & Davidsson, Simon & Kullander, Sven & Höök, Mikael - Dynamic Copula Modelling for Value at Risk (RePEc:ffe:journl:v:5:y:2008:i:2:p:72-108)
by Dean Fantazzini - Detecting Pump-and-Dumps with Crypto-Assets: Dealing with Imbalanced Datasets and Insiders’ Anticipated Purchases (RePEc:gam:jecnmx:v:11:y:2023:i:3:p:22-:d:1229353)
by Dean Fantazzini & Yufeng Xiao - Forecasting Internal Migration in Russia Using Google Trends: Evidence from Moscow and Saint Petersburg (RePEc:gam:jforec:v:3:y:2021:i:4:p:48-803:d:667485)
by Dean Fantazzini & Julia Pushchelenko & Alexey Mironenkov & Alexey Kurbatskii - Does the Hashrate Affect the Bitcoin Price? (RePEc:gam:jjrfmx:v:13:y:2020:i:11:p:263-:d:437598)
by Dean Fantazzini & Nikita Kolodin - Crypto Exchanges and Credit Risk: Modeling and Forecasting the Probability of Closure (RePEc:gam:jjrfmx:v:14:y:2021:i:11:p:516-:d:666046)
by Dean Fantazzini & Raffaella Calabrese - Crypto-Coins and Credit Risk: Modelling and Forecasting Their Probability of Death (RePEc:gam:jjrfmx:v:15:y:2022:i:7:p:304-:d:860084)
by Dean Fantazzini - Adaptive Conformal Inference for Computing Market Risk Measures: An Analysis with Four Thousand Crypto-Assets (RePEc:gam:jjrfmx:v:17:y:2024:i:6:p:248-:d:1414302)
by Dean Fantazzini - Modeling and Forecasting the Probability of Crypto-Exchange Closures: A Forecast Combination Approach (RePEc:gam:jjrfmx:v:18:y:2025:i:2:p:48-:d:1573882)
by Said Magomedov & Dean Fantazzini - Forecasting the real price of oil using online search data (RePEc:ids:ijcome:v:4:y:2014:i:1/2:p:4-31)
by Dean Fantazzini & Nikita Fomichev - A New Approach for Firm Value and Default Probability Estimation beyond Merton Models (RePEc:kap:compec:v:31:y:2008:i:2:p:161-180)
by Maria Giuli & Dean Fantazzini & Mario Maggi - Long Memory and Periodicity in Intraday Volatility (RePEc:oup:jfinec:v:13:y:2015:i:4:p:922-961.)
by Eduardo Rossi & Dean Fantazzini - Fractionally Integrated Models for Volatility: A Review (RePEc:pal:palchp:978-0-230-29521-6_5)
by Dean Fantazzini - The Intraday Analysis of Volatility, Volume and Spreads: A Review with Applications to Futures’ Markets (RePEc:pal:palchp:978-0-230-29810-1_4)
by Dean Fantazzini - Long memory and Periodicity in Intraday Volatility (RePEc:pav:demwpp:015)
by Eduardo Rossi & Dean Fantazzini - Proposed Coal Power Plants and Coal-To-Liquids Plants: Which Ones Survive and Why? (RePEc:pav:demwpp:demwp0082)
by Dean Fantazzini & Mario Maggi - Small Sample Properties of Copula-GARCH Modelling: A Monte Carlo Study (RePEc:pav:wpaper:093)
by Carluccio Bianchi & Dean Fantazzini & Maria Elena De Giuli & Mario Maggi - A Copula-VAR-X Approach for Industrial Production Modelling and Forecasting (RePEc:pav:wpaper:105)
by Carluccio Bianchi & Alessandro Carta & Dean Fantazzini & Maria Elena De Giuli & Mario A. Maggi - Nowcasting and Forecasting the Monthly Food Stamps Data in the US Using Online Search Data (RePEc:plo:pone00:0111894)
by Dean Fantazzini - Short-term forecasting of the COVID-19 pandemic using Google Trends data: Evidence from 158 countries (RePEc:pra:mprapa:102315)
by Fantazzini, Dean - Discussing copulas with Sergey Aivazian: a memoir (RePEc:pra:mprapa:102317)
by Fantazzini, Dean - Does the hashrate affect the bitcoin price? (RePEc:pra:mprapa:103812)
by Fantazzini, Dean & Kolodin, Nikita - Asymmetry and hysteresis in the Russian gasoline market: the rationale for green energy exports (RePEc:pra:mprapa:109297)
by Fantazzini, Dean & Kolesnikova, Anna - Crypto-exchanges and Credit Risk: Modelling and Forecasting the Probability of Closure (RePEc:pra:mprapa:110391)
by Fantazzini, Dean & Calabrese, Raffaella - Forecasting internal migration in Russia using Google Trends: Evidence from Moscow and Saint Petersburg (RePEc:pra:mprapa:110452)
by Fantazzini, Dean & Pushchelenko, Julia & Mironenkov, Alexey & Kurbatskii, Alexey - Crypto Coins and Credit Risk: Modelling and Forecasting their Probability of Death (RePEc:pra:mprapa:113744)
by Fantazzini, Dean - Using crypto assets pricing methods to build technical oscillators for short-term bitcoin trading (RePEc:pra:mprapa:115508)
by Yang, Zixiu & Fantazzini, Dean - Assessing the Credit Risk of Crypto-Assets Using Daily Range Volatility Models (RePEc:pra:mprapa:117141)
by Fantazzini, Dean - Forecasting oil prices with penalized regressions, variance risk premia and Google data (RePEc:pra:mprapa:118239)
by Fantazzini, Dean & Kurbatskii, Alexey & Mironenkov, Alexey & Lycheva, Maria - Detecting Pump-and-Dumps with Crypto-Assets: Dealing with Imbalanced Datasets and Insiders’ Anticipated Purchases (RePEc:pra:mprapa:118435)
by Fantazzini, Dean & Xiao, Yufeng - Adaptive Conformal Inference for computing Market Risk Measures: an Analysis with Four Thousands Crypto-Assets (RePEc:pra:mprapa:121214)
by Fantazzini, Dean - Stablecoins and credit risk: when do they stop being stable? (RePEc:pra:mprapa:122951)
by Korobova, Elena & Fantazzini, Dean - Global oil risks in the early 21st century (RePEc:pra:mprapa:33825)
by Fantazzini, Dean & Hook, Mikael & Angelantoni, André - Hydrocarbon liquefaction: viability as a peak oil mitigation strategy (RePEc:pra:mprapa:46957)
by Höök, Mikael & Fantazzini, Dean & Angelantoni, André & Snowden, Simon - Everything You Always Wanted to Know about Log Periodic Power Laws for Bubble Modelling but Were Afraid to Ask (RePEc:pra:mprapa:47869)
by Fantazzini, Dean & Geraskin, Petr - Reviewing electricity production cost assessments (RePEc:pra:mprapa:50306)
by Larsson, Simon & Fantazzini, Dean & Davidsson, Simon & Kullander, Sven & Hook, Mikael - Editorial for the Special Issue on 'Computational Methods for Russian Economic and Financial Modelling' (RePEc:pra:mprapa:55430)
by Fantazzini, Dean - Nowcasting and Forecasting the Monthly Food Stamps Data in the US using Online Search Data (RePEc:pra:mprapa:59696)
by Fantazziini, Dean - Forecasting German Car Sales Using Google Data and Multivariate Models (RePEc:pra:mprapa:67110)
by Fantazzini, Dean & Toktamysova, Zhamal - Everything you always wanted to know about bitcoin modelling but were afraid to ask (RePEc:pra:mprapa:71946)
by Fantazzini, Dean & Nigmatullin, Erik & Sukhanovskaya, Vera & Ivliev, Sergey - The Oil Price Crash in 2014/15: Was There a (Negative) Financial Bubble? (RePEc:pra:mprapa:72094)
by Fantazzini, Dean - Forecasting Realized Volatility of Russian stocks using Google Trends and Implied Volatility (RePEc:pra:mprapa:93544)
by Bazhenov, Timofey & Fantazzini, Dean - A multivariate approach for the simultaneous modelling of market risk and credit risk for cryptocurrencies (RePEc:pra:mprapa:95988)
by Fantazzini, Dean & Zimin, Stephan - The importance of being informed: forecasting market risk measures for the Russian RTS index future using online data and implied volatility over two decades (RePEc:pra:mprapa:95992)
by Fantazzini, Dean & Shangina, Tamara - An Econometric Analysis of Financial Data in Risk Management (RePEc:ris:apltrx:0006)
by Fantazzini, Dean - Econometric Analysis of Financial Data in Risk Management (continuation). Section III: Managing Operational Risk (RePEc:ris:apltrx:0024)
by Fantazzini, Dean - Credit Risk Management (RePEc:ris:apltrx:0025)
by Fantazzini, Dean - Credit Risk Management (Cont.) (RePEc:ris:apltrx:0028)
by Fantazzini , Dean - Econometric Analysis of Financial Data in Risk Management (RePEc:ris:apltrx:0034)
by Fantazzini , Dean - Analysis of multidimensional probability distributions with copula functions (RePEc:ris:apltrx:0077)
by Fantazzini, Dean - Analysis of multidimensional probability distributions with copula functions. II (RePEc:ris:apltrx:0094)
by Fantazzini, Dean - Analysis of multidimensional probability distributions with copula functions. III (RePEc:ris:apltrx:0105)
by Fantazzini, Dean - Economic Factors in a Model of Voting: The Case of The Netherlands, Great Britain, and Israel (RePEc:ris:apltrx:0115)
by Zakharov, Alexei & Fantazzini, Dean - 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 (RePEc:ris:apltrx:0161)
by Frolova, Elvina & Fantazzini, Dean - Everything you always wanted to know about bitcoin modelling but were afraid to ask. I (RePEc:ris:apltrx:0301)
by Fantazzini, Dean & Nigmatullin, Erik & Sukhanovskaya, Vera & Ivliev, Sergey - Everything you always wanted to know about bitcoin modelling but were afraid to ask. Part 2 (RePEc:ris:apltrx:0308)
by Fantazzini, Dean & Nigmatullin, Erik & Sukhanovskaya, Vera & Ivliev, Sergey - Big Data for computing social well-being indices of the Russian population (RePEc:ris:apltrx:0343)
by Fantazzini, Dean & Shakleina, Marina & Yuras, Natalia - The importance of being informed: forecasting market risk measures for the Russian RTS index future using online data and implied volatility over two decades (RePEc:ris:apltrx:0372)
by Fantazzini, Dean & Shangina, Tamara - Short-term forecasting of the COVID-19 pandemic using Google Trends data: Evidence from 158 countries (RePEc:ris:apltrx:0398)
by Fantazzini, Dean - Forecasting oil prices with penalized regressions, variance risk premia and Google data (RePEc:ris:apltrx:0457)
by Lycheva, Maria & Mironenkov, Alexey & Kurbatskii, Alexey & Fantazzini, Dean - Enhanced credit default models for heterogeneous SME segments (RePEc:ris:jofitr:0027)
by Fantazzini, Dean & DeGiuli, Maria Elena & Figini, Silvia & Giudici, Paolo - A Unified Copula Framework for VaR forecasting (RePEc:sce:scecfa:57)
by Dean Fantazzini & Alessandro Carta & Elena Maria DeGiuli - A new framework for firm value using copulas (RePEc:sce:scecfa:58)
by Elena Maria De Giuli & Mario Maggi & Dean Fantazzini - A multivariate approach for the simultaneous modelling of market risk and credit risk for cryptocurrencies (RePEc:spr:epolin:v:47:y:2020:i:1:d:10.1007_s40812-019-00136-8)
by Dean Fantazzini & Stephan Zimin - Random Survival Forests Models for SME Credit Risk Measurement (RePEc:spr:metcap:v:11:y:2009:i:1:d:10.1007_s11009-008-9078-2)
by Dean Fantazzini & Silvia Figini - Small sample properties of copula-GARCH modelling: a Monte Carlo study (RePEc:taf:apfiec:v:21:y:2011:i:21:p:1587-1597)
by Carluccio Bianchi & Maria Elena De Giuli & Dean Fantazzini & Mario Maggi - A copula-VAR-X approach for industrial production modelling and forecasting (RePEc:taf:applec:v:42:y:2010:i:25:p:3267-3277)
by Carluccio Bianchi & Alessandro Carta & Dean Fantazzini & Maria Elena De Giuli & Mario Maggi - Everything you always wanted to know about log-periodic power laws for bubble modeling but were afraid to ask (RePEc:taf:eurjfi:v:19:y:2013:i:5:p:366-391)
by Petr Geraskin & Dean Fantazzini