Dean Fantazzini : Citation Profile


Are you Dean Fantazzini?

M. V. Lomonosov Moscow State University

8

H index

6

i10 index

181

Citations

RESEARCH PRODUCTION:

32

Articles

18

Papers

RESEARCH ACTIVITY:

   13 years (2006 - 2019). See details.
   Cites by year: 13
   Journals where Dean Fantazzini has often published
   Relations with other researchers
   Recent citing documents: 48.    Total self citations: 25 (12.14 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pfa92
   Updated: 2020-05-23    RAS profile: 2020-04-06    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Dean Fantazzini.

Is cited by:

Fry, John (5)

Calabrese, Raffaella (4)

Havranek, Tomas (4)

Leschinski, Christian (3)

Zimmermann, Klaus (3)

Demos, Guilherme (3)

Sibbertsen, Philipp (3)

Pele, Daniel Traian (3)

Stöhr, Tobias (2)

Phillips, Peter (2)

Balaev, Alexey (2)

Cites to:

Zhou, Wei-Xing (32)

Phillips, Peter (14)

Patton, Andrew (13)

Hansen, Peter (12)

Bollerslev, Tim (9)

Lunde, Asger (9)

Askitas, Nikos (9)

Yu, Jun (9)

Engle, Robert (8)

Zimmermann, Klaus (8)

Caporin, Massimiliano (8)

Main data


Where Dean Fantazzini has published?


Journals with more than one article published# docs
Applied Econometrics14
Computational Statistics & Data Analysis2
Economics Bulletin2
Energy Policy2

Working Papers Series with more than one paper published# docs
MPRA Paper / University Library of Munich, Germany12
Computing in Economics and Finance 2006 / Society for Computational Economics2
DEM Working Papers Series / University of Pavia, Department of Economics and Management2
Quaderni di Dipartimento / University of Pavia, Department of Economics and Quantitative Methods2

Recent works citing Dean Fantazzini (2020 and 2019)


YearTitle of citing document
2019Comparing Tests for Identification of Bubbles. (2019). Bertelsen, Kristoffer Pons. In: CREATES Research Papers. RePEc:aah:create:2019-16.

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2020An approach to the use of cryptocurrencies in Romania using data mining technique. (2020). Nica, Ionu ; Chiri, Nora. In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxvii:y:2020:i:1(622):p:5-20.

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2018CryptoRuble: From Russia with Love. (2018). Liew, Jim Kyung-Soo ; Kakushadze, Zura. In: Papers. RePEc:arx:papers:1801.05760.

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2019Multifractal cross-correlations between the World Oil and other Financial Markets in 2012-2017. (2019). Stanuszek, Marek ; O'Swicecimka, Pawel ; Zd, Stanislaw Dro ; Wkatorek, Marcin. In: Papers. RePEc:arx:papers:1812.08548.

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2020Cryptocurrency Trading: A Comprehensive Survey. (2020). Wu, Fan ; Martinez-Regoband, David ; Li, Lingbo ; Kanthan, Leslie ; Kong, Hoiliong ; Basios, Michail ; Ventre, Carmine ; Fang, Fan. In: Papers. RePEc:arx:papers:2003.11352.

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2019Bitcoin: The Road to Hell Is Paved With Good Promises. (2019). Alexiou, Constantinos ; Vogiazas, Sofoklis. In: Economic Notes. RePEc:bla:ecnote:v:48:y:2019:i:1:n:12119.

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2018Formation of Market Beliefs in the Oil Market. (2018). Anatolyev, Stanislav ; Selezneva, Veronika . In: CERGE-EI Working Papers. RePEc:cer:papers:wp619.

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2018Real Time Monitoring of Asset Markets: Bubbles and Crises. (2018). Shi, Shuping ; Phillips, Peter ; PEter, . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2152.

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2018Google econometrics: nowcasting euro area car sales and big data quality requirements. (2018). Pantelidis, Emmanouil ; Nymand-Andersen, Per. In: Statistics Paper Series. RePEc:ecb:ecbsps:201830.

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2020Electromagnetic energy harvesting using magnetic levitation architectures: A review. (2020). Carneiro, Pedro ; Kholkin, Andrei L ; Marques, Torres A ; Jose , ; Jorge, ; Rodrigues, Andre ; Soares, Marco P. In: Applied Energy. RePEc:eee:appene:v:260:y:2020:i:c:s0306261919318781.

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2020Searching for a better life: Predicting international migration with online search keywords. (2020). Stöhr, Tobias ; Gröger, André ; Stohr, Tobias ; Groger, Andre ; Bohme, Marcus H. In: Journal of Development Economics. RePEc:eee:deveco:v:142:y:2020:i:c:s0304387819304900.

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2019Model order selection in periodic long memory models. (2019). Leschinski, Christian ; Sibbertsen, Philipp. In: Econometrics and Statistics. RePEc:eee:ecosta:v:9:y:2019:i:c:p:78-94.

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2018Oil volatility, oil and gas firms and portfolio diversification. (2018). Pérez de Gracia, Fernando ; Gabauer, David ; Filis, George ; Cuñado, Juncal ; Antonakakis, Nikolaos ; Cunado, Juncal. In: Energy Economics. RePEc:eee:eneeco:v:70:y:2018:i:c:p:499-515.

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2018The prediction of oil price turning points with log-periodic power law and multi-population genetic algorithm. (2018). Cheng, Fangzheng ; Li, Shanling ; Fan, Dandan. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:341-355.

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2018Comparison between Bayesian and information-theoretic model averaging: Fossil fuels prices example. (2018). Drachal, Krzysztof. In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:208-251.

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2018Geopolitically induced investments in biofuels. (2018). Brutschin, Elina ; Fleig, Andreas. In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:721-732.

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2019Do all clean energy stocks respond homogeneously to oil price?. (2019). Pham, Linh. In: Energy Economics. RePEc:eee:eneeco:v:81:y:2019:i:c:p:355-379.

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2019Spillovers between oil and stock returns in the US energy sector: Does idiosyncratic information matter?. (2019). Zhang, Dayong ; Ma, Yan-Ran ; Pan, Jiaofeng ; Ji, Qiang. In: Energy Economics. RePEc:eee:eneeco:v:81:y:2019:i:c:p:536-544.

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2018The levelized costs of electricity generation by the CDM power projects. (2018). Rahman, Shaikh M ; Kirkman, Grant A ; Haites, Erik ; Spalding-Fecher, Randall . In: Energy. RePEc:eee:energy:v:148:y:2018:i:c:p:235-246.

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2018A systematic approach to evaluate the economic viability of Combined Cooling Heating and Power systems over conventional technologies. (2018). Tataraki, Kalliopi G ; Maroulis, Zacharias B ; Kavvadias, Konstantinos C. In: Energy. RePEc:eee:energy:v:148:y:2018:i:c:p:283-295.

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2018A comparison of risk measures for accidents in the energy sector and their implications on decision-making strategies. (2018). Spada, Matteo ; Burgherr, Peter ; Paraschiv, Florentina. In: Energy. RePEc:eee:energy:v:154:y:2018:i:c:p:277-288.

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2019Global levelised cost of electricity from offshore wind. (2019). Hawkes, Adam D ; Staffell, Iain ; Bosch, Jonathan. In: Energy. RePEc:eee:energy:v:189:y:2019:i:c:s0360544219320523.

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2020Techno-economic analysis of ultra-supercritical power plants using air- and oxy-combustion circulating fluidized bed with and without CO2 capture. (2020). Vu, Thang Toan ; Park, Young Cheol ; Lee, Jae-Goo ; Hwang, Yoon-Tae ; Sun, Dowon ; Moon, Ji-Hong ; Mun, Tae-Young ; Song, Daesung ; Lim, Young-Il. In: Energy. RePEc:eee:energy:v:194:y:2020:i:c:s0360544219325502.

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2019The effects of markets, uncertainty and search intensity on bitcoin returns. (2019). Stengos, Thanasis ; Panagiotidis, Theodore ; Vravosinos, Orestis. In: International Review of Financial Analysis. RePEc:eee:finana:v:63:y:2019:i:c:p:220-242.

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2019Assessing tail risk for nonlinear dependence of MSCI sector indices: A copula three-stage approach. (2019). Rivieccio, Giorgia ; Guegan, Dominique ; de Luca, Giovanni . In: Finance Research Letters. RePEc:eee:finlet:v:30:y:2019:i:c:p:327-333.

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2019Forecasting sales in the supply chain: Consumer analytics in the big data era. (2019). Boone, Tonya ; Sanders, Nada R ; Jain, Aditya ; Ganeshan, Ram. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:1:p:170-180.

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2019Demand forecasting with user-generated online information. (2019). Schaer, Oliver ; Fildes, Robert ; Kourentzes, Nikolaos. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:1:p:197-212.

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2019Online big data-driven oil consumption forecasting with Google trends. (2019). Yu, Lean ; Yang, Zebin ; Tang, Ling ; Zhao, Yaqing. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:1:p:213-223.

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2019A SHARP model of bid–ask spread forecasts. (2019). Pirino, Davide ; Cattivelli, Luca. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:4:p:1211-1225.

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2018The bubble and anti-bubble risk resistance analysis on the metal futures in China. (2018). Zhou, Wei ; Chen, Jin ; Huang, Yang. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:503:y:2018:i:c:p:947-957.

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2019Comparing nested data sets and objectively determining financial bubbles’ inceptions. (2019). Sornette, D ; Demos, G. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:524:y:2019:i:c:p:661-675.

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2018Comparative assessment of the feasibility for solar irrigation pumps in Sudan. (2018). Ali, Babkir . In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:81:y:2018:i:p1:p:413-420.

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2018Is there a bubble component in government debt? New international evidence. (2018). Chen, Shyh-Wei ; Wu, An-Chi . In: International Review of Economics & Finance. RePEc:eee:reveco:v:58:y:2018:i:c:p:467-486.

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2019Modelling volatility of cryptocurrencies using Markov-Switching GARCH models. (2019). Caporale, Guglielmo Maria ; Zekokh, Timur. In: Research in International Business and Finance. RePEc:eee:riibaf:v:48:y:2019:i:c:p:143-155.

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2019Exploring the key services and players in the smart car market. (2019). Kim, Hye-Jin ; Nam, Changi ; Park, Jiyoun. In: Telecommunications Policy. RePEc:eee:telpol:v:43:y:2019:i:10:s0308596118303215.

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2018Low world oil prices: A chance to reform fuel subsidies and promote public transport? A case study for South Africa. (2018). Henseler, Martin ; Maisonnave, Helene. In: Transportation Research Part A: Policy and Practice. RePEc:eee:transa:v:108:y:2018:i:c:p:45-62.

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2018Does a one-size-fits-all approach to financial regulations alleviate default risk? The case of dual banking systems. (2018). Ashraf, Dawood ; Lhuillier, Barbara ; Moinuddin, Muhammad ; Rizwan, Muhammad Suhail. In: Journal of Regulatory Economics. RePEc:kap:regeco:v:53:y:2018:i:1:d:10.1007_s11149-017-9340-z.

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2018Numerical comparison of multivariate models to forecasting risk measures. (2018). Righi, Marcelo Brutti ; Muller, Fernanda Maria . In: Risk Management. RePEc:pal:risman:v:20:y:2018:i:1:d:10.1057_s41283-017-0026-8.

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2018Forecasting Tourist Arrivals: Google Trends Meets Mixed Frequency Data. (2018). Havranek, Tomas ; Zeynalov, Ayaz. In: MPRA Paper. RePEc:pra:mprapa:90205.

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2018Bayesian MCMC analysis of periodic asymmetric power GARCH models. (2018). Aknouche, Abdelhakim ; Touche, Nassim ; Demmouche, Nacer. In: MPRA Paper. RePEc:pra:mprapa:91136.

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2019Equilibrium Bitcoin Pricing. (2019). Menkveld, Albert ; BISIÈRE, Christophe ; Biais, Bruno ; Bouvard, Matthieu ; Bisiere, Christophe ; Casamatta, Catherine. In: 2019 Meeting Papers. RePEc:red:sed019:360.

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2019The Shift in Global Crude Oil Market Structure: A model-based analysis of the period 2013–2017. (2019). Am, Eren ; Berk, Istemi. In: EWI Working Papers. RePEc:ris:ewikln:2019_005.

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2018Generalized quasi-maximum likelihood inference for periodic conditionally heteroskedastic models. (2018). Aknouche, Abdelhakim ; Demouche, Nacer ; Al-Eid, Eid . In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:21:y:2018:i:3:d:10.1007_s11203-017-9160-x.

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2018Government incentive strategies and private capital participation in China’s Shale gas development. (2018). Liu, Zihan ; Wang, Shubin ; Guo, Jue. In: Applied Economics. RePEc:taf:applec:v:50:y:2018:i:1:p:51-64.

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2019Improving forecasting performance of realized covariance with extensions of HAR-RCOV model: statistical significance and economic value. (2019). Liu, LI ; Wei, YU ; Zhang, Yaojie. In: Quantitative Finance. RePEc:taf:quantf:v:19:y:2019:i:9:p:1425-1438.

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2018Forecasting Tourist Arrivals with Google Trends and Mixed Frequency Data. (2018). Havranek, Tomas ; Zeynalov, Ayaz. In: EconStor Preprints. RePEc:zbw:esprep:187420.

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2019Metcalfes law and herding behaviour in the cryptocurrencies market. (2019). Pele, Daniel Traian ; Mazurencu-Marinescu, Miruna. In: Economics Discussion Papers. RePEc:zbw:ifwedp:201916.

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2018What are the relative importance of smart car utilities from consumer perspective and who will lead them?. (2018). Kim, Seongcheol ; Nam, Changi ; Park, Jiyoun. In: 22nd ITS Biennial Conference, Seoul 2018. Beyond the boundaries: Challenges for business, policy and society. RePEc:zbw:itsb18:190334.

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Works by Dean Fantazzini:


YearTitleTypeCited
2019Forecasting Realized Volatility of Russian stocks using Google Trends and Implied Volatility In: Russian Journal of Industrial Economics.
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2019Forecasting Realized Volatility of Russian stocks using Google Trends and Implied Volatility.(2019) In: MPRA Paper.
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2010Modelling and forecasting the global financial crisis: Initial findings using heterosckedastic log-periodic models In: Economics Bulletin.
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article1
2011Forecasting the Global Financial Crisis in the Years 2009-2010: Ex-post Analysis In: Economics Bulletin.
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article0
2009The effects of misspecified marginals and copulas on computing the value at risk: A Monte Carlo study In: Computational Statistics & Data Analysis.
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article16
2010Three-stage semi-parametric estimation of T-copulas: Asymptotics, finite-sample properties and computational aspects In: Computational Statistics & Data Analysis.
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article4
2011Global oil risks in the early 21st century In: Energy Policy.
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2011Global oil risks in the early 21st century.(2011) In: MPRA Paper.
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2016The oil price crash in 2014/15: Was there a (negative) financial bubble? In: Energy Policy.
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2016The Oil Price Crash in 2014/15: Was There a (Negative) Financial Bubble?.(2016) In: MPRA Paper.
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2015Forecasting German car sales using Google data and multivariate models In: International Journal of Production Economics.
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2015Forecasting German Car Sales Using Google Data and Multivariate Models.(2015) In: MPRA Paper.
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2014Reviewing electricity production cost assessments In: Renewable and Sustainable Energy Reviews.
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article23
2013Reviewing electricity production cost assessments.(2013) In: MPRA Paper.
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2014Forecasting the real price of oil using online search data In: International Journal of Computational Economics and Econometrics.
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article7
2008A New Approach for Firm Value and Default Probability Estimation beyond Merton Models In: Computational Economics.
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article2
2015Long Memory and Periodicity in Intraday Volatility In: Journal of Financial Econometrics.
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article14
2012Long memory and Periodicity in Intraday Volatility.(2012) In: DEM Working Papers Series.
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2014Proposed Coal Power Plants and Coal-To-Liquids Plants: Which Ones Survive and Why? In: DEM Working Papers Series.
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2009Small Sample Properties of Copula-GARCH Modelling: A Monte Carlo Study In: Quaderni di Dipartimento.
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2011Small sample properties of copula-GARCH modelling: a Monte Carlo study.(2011) In: Applied Financial Economics.
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2009A Copula-VAR-X Approach for Industrial Production Modelling and Forecasting In: Quaderni di Dipartimento.
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2014Nowcasting and Forecasting the Monthly Food Stamps Data in the US Using Online Search Data In: PLOS ONE.
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2014Nowcasting and Forecasting the Monthly Food Stamps Data in the US using Online Search Data.(2014) In: MPRA Paper.
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2013Hydrocarbon liquefaction: viability as a peak oil mitigation strategy In: MPRA Paper.
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2011Everything You Always Wanted to Know about Log Periodic Power Laws for Bubble Modelling but Were Afraid to Ask In: MPRA Paper.
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2013Everything you always wanted to know about log-periodic power laws for bubble modeling but were afraid to ask.(2013) In: The European Journal of Finance.
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2014Editorial for the Special Issue on Computational Methods for Russian Economic and Financial Modelling In: MPRA Paper.
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2016Everything you always wanted to know about bitcoin modelling but were afraid to ask In: MPRA Paper.
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2016Everything you always wanted to know about bitcoin modelling but were afraid to ask. I.(2016) In: Applied Econometrics.
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2019A multivariate approach for the simultaneous modelling of market risk and credit risk for cryptocurrencies In: MPRA Paper.
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2020A multivariate approach for the simultaneous modelling of market risk and credit risk for cryptocurrencies.(2020) In: Economia e Politica Industriale: Journal of Industrial and Business Economics.
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2019The importance of being informed: forecasting market risk measures for the Russian RTS index future using online data and implied volatility over two decades In: MPRA Paper.
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2019The importance of being informed: forecasting market risk measures for the Russian RTS index future using online data and implied volatility over two decades.(2019) In: Applied Econometrics.
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2008An Econometric Analysis of Financial Data in Risk Management In: Applied Econometrics.
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2009Econometric Analysis of Financial Data in Risk Management.(2009) In: Applied Econometrics.
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2008Econometric Analysis of Financial Data in Risk Management (continuation). Section III: Managing Operational Risk In: Applied Econometrics.
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2008Credit Risk Management In: Applied Econometrics.
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2009Credit Risk Management (Cont.) In: Applied Econometrics.
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2011Analysis of multidimensional probability distributions with copula functions In: Applied Econometrics.
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2011Analysis of multidimensional probability distributions with copula functions. II.(2011) In: Applied Econometrics.
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2011Analysis of multidimensional probability distributions with copula functions. III In: Applied Econometrics.
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2009Economic Factors in a Model of Voting: The Case of The Netherlands, Great Britain, and Israel In: Applied Econometrics.
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2012Credit 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 In: Applied Econometrics.
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2017Everything you always wanted to know about bitcoin modelling but were afraid to ask. Part 2 In: Applied Econometrics.
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2018Big Data for computing social well-being indices of the Russian population In: Applied Econometrics.
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2009Enhanced credit default models for heterogeneous SME segments In: Journal of Financial Transformation.
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2006A Unified Copula Framework for VaR forecasting In: Computing in Economics and Finance 2006.
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2006A new framework for firm value using copulas In: Computing in Economics and Finance 2006.
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2010A copula-VAR-X approach for industrial production modelling and forecasting In: Applied Economics.
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