Dean Fantazzini : Citation Profile

Are you Dean Fantazzini?

M. V. Lomonosov Moscow State University

10

H index

11

i10 index

314

Citations

RESEARCH PRODUCTION:

39

Articles

25

Papers

2

Chapters

RESEARCH ACTIVITY:

   16 years (2006 - 2022). See details.
   Cites by year: 19
   Journals where Dean Fantazzini has often published
   Relations with other researchers
   Recent citing documents: 67.    Total self citations: 36 (10.29 %)

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   Permalink: http://citec.repec.org/pfa92
   Updated: 2022-11-19    RAS profile: 2022-10-12    
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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:

Penikas, Henry (9)

Fry, John (5)

Calabrese, Raffaella (5)

Havranek, Tomas (4)

Pele, Daniel Traian (4)

Zhang, Yaojie (4)

Menkveld, Albert (3)

Wang, Yudong (3)

de Peretti, Christian (3)

Demos, Guilherme (3)

Leschinski, Christian (3)

Cites to:

Zhou, Wei-Xing (37)

Patton, Andrew (21)

Hansen, Peter (16)

Phillips, Peter (15)

Lunde, Asger (13)

Askitas, Nikos (13)

Zimmermann, Klaus (12)

Granger, Clive (11)

Engle, Robert (10)

Fry, John (10)

Bollerslev, Tim (10)

Main data

Where Dean Fantazzini has published?

Journals with more than one article published# docs
Applied Econometrics15
JRFM3
Energy Policy3
Economics Bulletin2
Computational Statistics & Data Analysis2

Working Papers Series with more than one paper published# docs
MPRA Paper / University Library of Munich, Germany19
Computing in Economics and Finance 2006 / Society for Computational Economics2
Quaderni di Dipartimento / University of Pavia, Department of Economics and Quantitative Methods2
DEM Working Papers Series / University of Pavia, Department of Economics and Management2

Recent works citing Dean Fantazzini (2022 and 2021)

YearTitle of citing document
2021Navigating the Oil Bubble: A Non-linear Heterogeneous-agent Dynamic Model of Futures Oil Pricing. (2021). Paesani, Paolo ; Cifarelli, Giulio. In: The Energy Journal. RePEc:aen:journl:ej42-5-cifarelli.

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2021Decoupling the short- and long-term behavior of stochastic volatility. (2017). Bennedsen, Mikkel ; Pakkanen, Mikko S ; Lunde, Asger. In: Papers. RePEc:arx:papers:1610.00332.

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2022Cryptocurrency 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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2021Using four different online media sources to forecast the crude oil price. (2021). Battistoni, E ; Colladon, Fronzetti A ; Elshendy, M ; Gloor, P A. In: Papers. RePEc:arx:papers:2105.09154.

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2021Pravuil: Global Consensus for a United World. (2021). Cerezo, David. In: Papers. RePEc:arx:papers:2105.10464.

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2021Look Whos Talking: Interpretable Machine Learning for Assessing Italian SMEs Credit Default. (2021). Liberati, Caterina ; Repetto, Marco ; Crosato, Lisa. In: Papers. RePEc:arx:papers:2108.13914.

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2021Exploring the Endogenous Nature of Meme Stocks Using the Log-Periodic Power Law Model and Confidence Indicator. (2021). Takagi, Hideyuki. In: Papers. RePEc:arx:papers:2110.06190.

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2022Cryptocurrency Valuation: An Explainable AI Approach. (2022). Zhang, Luyao ; Liu, Yulin. In: Papers. RePEc:arx:papers:2201.12893.

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2022The Price and Cost of Bitcoin. (2022). Gordon, Steven R ; Marthinsen, John E. In: Papers. RePEc:arx:papers:2204.13102.

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2022Testing for explosive bubbles: a review. (2022). Skrobotov, Anton. In: Papers. RePEc:arx:papers:2207.08249.

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2022Explainable Artificial Intelligence: interpreting default forecasting models based on Machine Learning. (2022). Parlapiano, Fabio ; Moscatelli, Mirko ; Cascarino, Giuseppe. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_674_22.

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2021Return on Investment on AI: The Case of Capital Requirement. (2021). Laporte, Matthias ; Fraisse, Henri. In: Working papers. RePEc:bfr:banfra:809.

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2021Probability of Default Model to Estimate Ex Ante Credit Risk. (2021). Popova, Svetlana ; Penikas, Henry ; Burova, Anna. In: Russian Journal of Money and Finance. RePEc:bkr:journl:v:80:y:2021:i:3:p:49-72.

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2022Periodic autoregressive conditional duration. (2022). Dimitrakopoulos, Stefanos ; Almohaimeed, Bader ; Aknouche, Abdelhakim. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:1:p:5-29.

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2021Forecasting Realized Volatility Using Machine Learning and Mixed-Frequency Data (the Case of the Russian Stock Market). (2021). Leonova, Aleksandra ; Elizarov, Pavel ; Pyrlik, Vladimir. In: CERGE-EI Working Papers. RePEc:cer:papers:wp713.

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2022Regime Switching Mechanism during Energy Futures’ Price Bubbles. (2022). Koy, Ayben. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2022-01-46.

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2021Price explosiveness in nonferrous metal futures markets. (2021). Xiong, Tao ; Ma, Richie Ruchuan. In: Economic Modelling. RePEc:eee:ecmode:v:94:y:2021:i:c:p:75-90.

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2021Identifying bubbles and the contagion effect between oil and stock markets: New evidence from China. (2021). Li, KE ; Wen, Huwei ; Zhao, Zhao. In: Economic Modelling. RePEc:eee:ecmode:v:94:y:2021:i:c:p:780-788.

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2021A study on the bursting point of Bitcoin based on the BSADF and LPPLS methods. (2021). Yao, Can-Zhong ; Li, Hong-Yu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:55:y:2021:i:c:s106294082030173x.

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2021Are Google searches making the Bitcoin market run amok? A tail event analysis. (2021). Neto, David. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000796.

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2021Effects of idiosyncratic jumps and co-jumps on oil, gold, and copper markets. (2021). Gözgör, Giray ; Xu, Bing ; Marco, Chi Keung ; Gozgor, Giray ; Semeyutin, Artur. In: Energy Economics. RePEc:eee:eneeco:v:104:y:2021:i:c:s014098832100517x.

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2022Wind power generation in Brazil: An overview about investment and scale analysis in 758 projects using the Levelized Cost of Energy. (2022). Catarina, Artur Santa. In: Energy Policy. RePEc:eee:enepol:v:164:y:2022:i:c:s0301421522000556.

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2022Retail investor attention and the limit order book: Intraday analysis of attention-based trading. (2022). Winters, Drew B ; Meshcheryakov, Artem. In: International Review of Financial Analysis. RePEc:eee:finana:v:81:y:2022:i:c:s1057521920302702.

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2021The bubble contagion effect of COVID-19 outbreak: Evidence from crude oil and gold markets. (2021). Mefteh-Wali, Salma ; Gharib, Cheima ; ben Jabeur, Sami. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612320308497.

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2021Cumulation, crash, coherency: A cryptocurrency bubble wavelet analysis. (2021). Roberts, Stephen ; Weydemann, Leonard ; Hochfilzer, Leonhard ; Fruehwirt, Wolfgang. In: Finance Research Letters. RePEc:eee:finlet:v:40:y:2021:i:c:s1544612320303421.

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2022Comparison of risk forecasts for cryptocurrencies: A focus on Range Value at Risk. (2022). Muller, Fernanda Maria ; Santos, Samuel Solgon ; Gossling, Thalles Weber ; Righi, Marcelo Brutti. In: Finance Research Letters. RePEc:eee:finlet:v:48:y:2022:i:c:s1544612322001878.

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2021Call me maybe: Methods and practical implementation of artificial intelligence in call center arrivals’ forecasting. (2021). Derra, Nicholas Daniel ; Rausch, Theresa Maria ; Albrecht, Tobias. In: Journal of Business Research. RePEc:eee:jbrese:v:123:y:2021:i:c:p:267-278.

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2021Economic sentiment during the COVID pandemic: Evidence from search behaviour in the EU. (2021). van der Wielen, Wouter ; Barrios, Salvador. In: Journal of Economics and Business. RePEc:eee:jebusi:v:115:y:2021:i:c:s0148619520304148.

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2022Gold as a financial instrument. (2022). Tan, David ; Shi, Shuping ; Gomis-Porqueras, Pedro. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:27:y:2022:i:c:s2405851321000519.

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2021Detection of bubbles in WTI, brent, and Dubai oil prices: A novel double recursive algorithm. (2021). Mokni, Khaled ; Ajmi, Ahdi Noomen ; Hammoudeh, Shawkat. In: Resources Policy. RePEc:eee:jrpoli:v:70:y:2021:i:c:s0301420720309855.

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2021Impact of COVID-19 pandemic on crude oil prices: Evidence from Econophysics approach. (2021). ben Jabeur, Sami ; Serret, Vanessa ; Mefteh-Wali, Salma ; Gharib, Cheima. In: Resources Policy. RePEc:eee:jrpoli:v:74:y:2021:i:c:s0301420721004013.

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2022Forecasting Chinas crude oil futures volatility: New evidence from the MIDAS-RV model and COVID-19 pandemic. (2022). Li, Xiafei ; Ye, Yong ; Chen, Zhonglu. In: Resources Policy. RePEc:eee:jrpoli:v:75:y:2022:i:c:s030142072100461x.

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2022Using internet search keyword data for predictability of precious metals prices: Evidence from non-parametric causality-in-quantiles approach. (2022). Raza, Syed ; Yousufi, Sara Qamar ; Khaskheli, Asadullah ; Miao, Miao. In: Resources Policy. RePEc:eee:jrpoli:v:75:y:2022:i:c:s0301420721004864.

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2022Do booms and busts identify bubbles in energy prices?. (2022). Khurshid, Adnan ; Su, Chiwei ; Khan, Khalid. In: Resources Policy. RePEc:eee:jrpoli:v:76:y:2022:i:c:s0301420722000095.

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2022Oil price explosivity and stock return: Do sector and firm size matter?. (2022). Budak, Hilal ; Aktekin, Emine Dilara ; Yagli, Ibrahim ; Haykir, Ozkan. In: Resources Policy. RePEc:eee:jrpoli:v:78:y:2022:i:c:s0301420722003373.

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2022Bubble detection in Greek Stock Market: A DS-LPPLS model approach. (2022). Karakasidis, Theodoros ; Papastamatiou, Konstantinos. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:587:y:2022:i:c:s0378437121008062.

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2022The price and cost of bitcoin. (2022). Marthinsen, John E ; Gordon, Steven R. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:85:y:2022:i:c:p:280-288.

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2021Consumer information in a market for expert services: Experimental evidence. (2021). Bizer, Kilian ; Meub, Lukas ; Schneider, Tim. In: Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics). RePEc:eee:soceco:v:94:y:2021:i:c:s221480432100094x.

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2021Forecasting the importance of product attributes using online customer reviews and Google Trends. (2021). Kwong, C K ; Yakubu, Hanan. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:171:y:2021:i:c:s0040162521004157.

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2021Drought Shocks and Gearing Impacts on the Profitability of Sheep Farming. (2021). Yan, R ; Nordblom, Thomas ; Godfrey, Sosheel S ; Behrendt, Karl ; Hutchings, Timothy ; Robertson, Susan. In: Agriculture. RePEc:gam:jagris:v:11:y:2021:i:4:p:366-:d:538580.

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2022.

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2022Levelized Cost of Electricity Generation by Small Hydropower Projects under Clean Development Mechanism in India. (2022). Haghighi, Ali Torabi ; Kishore, Teegala Srinivasa ; Patro, Epari Ritesh. In: Energies. RePEc:gam:jeners:v:15:y:2022:i:4:p:1473-:d:751419.

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2021Is It Possible to Forecast the Price of Bitcoin?. (2021). Goutte, Stéphane ; Chevallier, Julien ; Guegan, Dominique. In: Forecasting. RePEc:gam:jforec:v:3:y:2021:i:2:p:24-420:d:564101.

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2022Influence of Car Configurator Webpage Data from Automotive Manufacturers on Car Sales by Means of Correlation and Forecasting. (2022). Martin, Alexandre Lerma ; Cardona, Xavier Vilasis ; Garcia, Juan Manuel. In: Forecasting. RePEc:gam:jforec:v:4:y:2022:i:3:p:34-653:d:860486.

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2021Solvency Risk and Corporate Performance: A Case Study on European Retailers. (2021). Popoviciu, Alexandra Smedoiu ; Curea, Stefania Cristina ; Horobet, Alexandra ; Dumitrescu, Dan Gabriel ; Belascu, Lucian ; Botoroga, Cosmin-Alin. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:11:p:536-:d:675014.

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2021A New Model Averaging Approach in Predicting Credit Risk Default. (2021). Cucculelli, Marco ; Jha, Paritosh Navinchandra. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:6:p:114-:d:570809.

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2021.

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2021Identifying and Predicting the Credit Risk of Small and Medium-Sized Enterprises in Sustainable Supply Chain Finance: Evidence from China. (2021). Pang, Ruiqi ; Chu, Xuejian ; Yang, Yubin ; Liu, Feng. In: Sustainability. RePEc:gam:jsusta:v:13:y:2021:i:10:p:5714-:d:558080.

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2022A Study on Integrating SMRs into Uganda’s Future Energy System. (2022). Kim, Juyoul ; Daniel, Niwagira. In: Sustainability. RePEc:gam:jsusta:v:14:y:2022:i:16:p:10033-:d:887362.

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2022An Integrated Model for the Geohazard Accident Duration on a Regional Mountain Road Network Using Text Data. (2022). Bai, Shumin ; Ji, Xiaofeng ; Dai, Bingyou ; Pu, Yongming ; Qin, Wenwen. In: Sustainability. RePEc:gam:jsusta:v:14:y:2022:i:19:p:12429-:d:929547.

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2021.

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2021Machine Learning and Credit Risk: Empirical Evidence from SMEs. (2021). Tarantino, Barbara ; Tanda, Alessandra ; Filomeni, Stefano ; Cerchiello, Paola ; Bitetto, Alessandro. In: DEM Working Papers Series. RePEc:pav:demwpp:demwp0201.

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2021The predictive capacity of GARCH-type models in measuring the volatility of crypto and world currencies. (2021). el Khoury, Rim ; Fernandez-Aviles, Gema ; Haddad, Omar ; Naimy, Viviane. In: PLOS ONE. RePEc:plo:pone00:0245904.

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2021Analysis of Forecasting Models in an Electricity Market under Volatility. (2021). TAGHIZADEH-HESARY, Farhad ; Cerin, Pontus ; Yahya, Muhammad ; Sahamkhadam, Maziar ; Tang, OU ; Uddin, Gazi Salah ; Rehme, Jakob. In: ADBI Working Papers. RePEc:ris:adbiwp:1212.

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2022Building Knowledge in the Oil Market. (2022). Paraskevopoulos, Ioannis ; Corzo, Teresa ; Figuerola-Ferretti, Isabel ; Martn-Bujack, Karin. In: SAGE Open. RePEc:sae:sagope:v:12:y:2022:i:1:p:21582440211068491.

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2022Risk management for crude oil futures: an optimal stopping-timing approach. (2022). Zhan, Yaosong ; Liu, Zhenya ; Boubaker, Sabri. In: Annals of Operations Research. RePEc:spr:annopr:v:313:y:2022:i:1:d:10.1007_s10479-021-04092-2.

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2022Demand Prediction in the Automobile Industry Independent of Big Data. (2022). Kato, Takumi. In: Annals of Data Science. RePEc:spr:aodasc:v:9:y:2022:i:2:d:10.1007_s40745-020-00278-w.

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2021Box-office forecasting in Korea using search trend data: a modified generalized Bass diffusion model. (2021). Kang, Daekook. In: Electronic Commerce Research. RePEc:spr:elcore:v:21:y:2021:i:1:d:10.1007_s10660-020-09456-7.

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2022Comparison of ARIMA, ETS, NNAR, TBATS and hybrid models to forecast the second wave of COVID-19 hospitalizations in Italy. (2022). Perone, Gaetano. In: The European Journal of Health Economics. RePEc:spr:eujhec:v:23:y:2022:i:6:d:10.1007_s10198-021-01347-4.

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2022Cryptocurrency trading: a comprehensive survey. (2022). Kanthan, Leslie ; Basios, Michail ; Ventre, Carmine ; Fang, Fan ; Li, Lingbo ; Wu, Fan ; Martinez-Rego, David. In: Financial Innovation. RePEc:spr:fininn:v:8:y:2022:i:1:d:10.1186_s40854-021-00321-6.

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2022Forecasting the volatility of the German stock market: New evidence. (2022). Zhang, Yaojie ; Liang, Chao. In: Applied Economics. RePEc:taf:applec:v:54:y:2022:i:9:p:1055-1070.

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2021Equilibrium Bitcoin Pricing. (2018). Menkveld, Albert ; casamatta, catherine ; BISIÈRE, Christophe ; Biais, Bruno ; Bouvard, Matthieu. In: TSE Working Papers. RePEc:tse:wpaper:33141.

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2021Intraday conditional value at risk: A periodic mixed?frequency generalized autoregressive score approach. (2021). Gribisch, Bastian ; Eckernkemper, Tobias. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:5:p:883-910.

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2022Forecasting realized volatility of Chinese stock market: A simple but efficient truncated approach. (2022). Wang, Yudong ; Zhang, Yaojie ; He, Mengxi ; Wen, Danyan. In: Journal of Forecasting. RePEc:wly:jforec:v:41:y:2022:i:2:p:230-251.

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2022Forecasting Bitcoin volatility: A new insight from the threshold regression model. (2022). Wang, Yudong ; Wen, Danyan ; He, Mengxi ; Zhang, Yaojie. In: Journal of Forecasting. RePEc:wly:jforec:v:41:y:2022:i:3:p:633-652.

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2022Corporate failure prediction using threshold?based models. (2022). Veganzones, David. In: Journal of Forecasting. RePEc:wly:jforec:v:41:y:2022:i:5:p:956-979.

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2022Contagion or flight?to?quality? The linkage between oil price and the US dollar based on the local Gaussian approach. (2022). Dong, Minyi ; Yang, Shenggang ; Shen, Yao ; Ming, Lei. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:4:p:722-750.

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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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2011Forecasting the Global Financial Crisis in the Years 2009-2010: Ex-post Analysis In: Economics Bulletin.
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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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2010Three-stage semi-parametric estimation of T-copulas: Asymptotics, finite-sample properties and computational aspects In: Computational Statistics & Data Analysis.
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2021Asymmetry and hysteresis in the Russian gasoline market: The rationale for green energy exports In: Energy Policy.
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2021Asymmetry and hysteresis in the Russian gasoline market: the rationale for green energy exports.(2021) In: MPRA Paper.
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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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2013Reviewing electricity production cost assessments.(2013) In: MPRA Paper.
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2021Forecasting Internal Migration in Russia Using Google Trends: Evidence from Moscow and Saint Petersburg In: Forecasting.
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2021Forecasting internal migration in Russia using Google Trends: Evidence from Moscow and Saint Petersburg.(2021) In: MPRA Paper.
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2020Does the Hashrate Affect the Bitcoin Price? In: JRFM.
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2020Does the hashrate affect the bitcoin price?.(2020) In: MPRA Paper.
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2021Crypto Exchanges and Credit Risk: Modeling and Forecasting the Probability of Closure In: JRFM.
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2021Crypto-exchanges and Credit Risk: Modelling and Forecasting the Probability of Closure.(2021) In: MPRA Paper.
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2022Crypto-Coins and Credit Risk: Modelling and Forecasting Their Probability of Death In: JRFM.
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2022Crypto Coins and Credit Risk: Modelling and Forecasting their Probability of Death.(2022) 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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2008A New Approach for Firm Value and Default Probability Estimation beyond Merton Models In: Computational Economics.
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2015Long Memory and Periodicity in Intraday Volatility In: The Journal of Financial Econometrics.
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2012Long memory and Periodicity in Intraday Volatility.(2012) In: DEM Working Papers Series.
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2011Fractionally Integrated Models for Volatility: A Review In: Palgrave Macmillan Books.
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2011The Intraday Analysis of Volatility, Volume and Spreads: A Review with Applications to Futures’ Markets In: Palgrave Macmillan Books.
[Citation analysis]		chapter0
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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2010A copula-VAR-X approach for industrial production modelling and forecasting.(2010) In: Applied Economics.
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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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