Dean Fantazzini : Citation Profile

Are you Dean Fantazzini?

M. V. Lomonosov Moscow State University

12

H index

12

i10 index

381

Citations

RESEARCH PRODUCTION:

42

Articles

30

Papers

2

Chapters

RESEARCH ACTIVITY:

   18 years (2006 - 2024). See details.
   Cites by year: 21
   Journals where Dean Fantazzini has often published
   Relations with other researchers
   Recent citing documents: 51.    Total self citations: 42 (9.93 %)

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   Permalink: http://citec.repec.org/pfa92
   Updated: 2024-11-04    RAS profile: 2024-07-03    
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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)

Zhang, Yaojie (6)

Calabrese, Raffaella (5)

Fry, John (5)

Righi, Marcelo (4)

Havranek, Tomas (4)

Pele, Daniel Traian (4)

Wang, Yudong (4)

Biais, Bruno (3)

Zimmermann, Klaus (3)

de Peretti, Christian (3)

Cites to:

Zhou, Wei-Xing (43)

Patton, Andrew (23)

Hansen, Peter (17)

Kilian, Lutz (15)

Phillips, Peter (15)

Lunde, Asger (14)

Bollerslev, Tim (13)

Askitas, Nikos (13)

Zimmermann, Klaus (12)

Fry, John (11)

Engle, Robert (11)

Main data

Where Dean Fantazzini has published?

Journals with more than one article published# docs
Applied Econometrics16
JRFM4
Energy Policy3
Computational Statistics & Data Analysis2
Economics Bulletin2

Working Papers Series with more than one paper published# docs
MPRA Paper / University Library of Munich, Germany24
Quaderni di Dipartimento / University of Pavia, Department of Economics and Quantitative Methods2
DEM Working Papers Series / University of Pavia, Department of Economics and Management2
Computing in Economics and Finance 2006 / Society for Computational Economics2

Recent works citing Dean Fantazzini (2024 and 2023)

YearTitle of citing document
2023Rational Bubbles: Too Many to be True?. (2023). Sola, Martin. In: Working Papers. RePEc:aoz:wpaper:240.

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2023Cryptocurrency Valuation: An Explainable AI Approach. (2022). Zhang, Luyao ; Liu, Yulin. In: Papers. RePEc:arx:papers:2201.12893.

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2023Risks and opportunities in arbitrage and market-making in blockchain-based currency markets. Part 1 : Risks. (2023). Astarita, Vittorio. In: Papers. RePEc:arx:papers:2304.08590.

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2024Blockchain Metrics and Indicators in Cryptocurrency Trading. (2024). Dale, Roberto ; King, Juan C. In: Papers. RePEc:arx:papers:2403.00770.

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2023Americas decoupling from China: A perspective from stock markets. (2023). Liu, Kerry. In: Economic Affairs. RePEc:bla:ecaffa:v:43:y:2023:i:1:p:32-52.

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2023Seemingly Unrelated Regression Estimation for VAR Models with Explosive Roots. (2023). Li, Qiyuan ; Chen, YE. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:85:y:2023:i:4:p:910-937.

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2024Applying graph theory to find key leverage points in the transition toward urban renewable energy systems. (2024). Rozhkov, Anton. In: Applied Energy. RePEc:eee:appene:v:361:y:2024:i:c:s030626192400237x.

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2024Blockchain metrics and indicators in cryptocurrency trading. (2024). Amigo, Jose M ; Dale, Roberto ; King, Juan C. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:178:y:2024:i:c:s0960077923012079.

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2023Rational bubbles: Too many to be true?. (2023). Sola, Martin ; Psaradakis, Zacharias ; Caravello, Tomas E. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:151:y:2023:i:c:s0165188923000726.

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2024Application of the LPPL model in the identification and measurement of structural bubbles in the Chinese stock market. (2024). Zhang, Han ; Ji, Hongyun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s1062940823001833.

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2023Accelerated economic recovery in countries powered by renewables. (2023). McCann, Kevin S ; Costanza, Robert ; Kubiszewski, Ida ; Jackson, Andrew L ; Yang, Qiang ; Gellner, Gabriel ; Coscieme, Luca ; Donohue, Ian. In: Ecological Economics. RePEc:eee:ecolec:v:212:y:2023:i:c:s0921800923001799.

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2023Dynamic volatility transfer in the European oil and gas industry. (2023). Kotro, Balazs B ; Huszar, Zsuzsa R. In: Energy Economics. RePEc:eee:eneeco:v:127:y:2023:i:pa:s0140988323005509.

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2024Energy price bubbles and extreme price movements: Evidence from Chinas coal market. (2024). Dickinson, David ; Wu, Fei ; Wang, Tiantian ; Zhao, Wanli. In: Energy Economics. RePEc:eee:eneeco:v:129:y:2024:i:c:s014098832300751x.

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2023An optimized nonlinear time-varying grey Bernoulli model and its application in forecasting the stock and sales of electric vehicles. (2023). Wang, Junjie ; Yang, Yingjie ; Dang, Yaoguo ; Zhou, Huimin. In: Energy. RePEc:eee:energy:v:263:y:2023:i:pc:s0360544222027578.

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2023Investing in wine, precious metals and G-7 stock markets – A co-occurrence analysis for price bubbles. (2023). Potrykus, Marcin. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001539.

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2023Price bubbles in the European natural gas market between 2011 and 2020. (2023). Kocaaslan, Ozge Kandemir ; Akcora, Begum. In: Resources Policy. RePEc:eee:jrpoli:v:80:y:2023:i:c:s0301420722006298.

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2023Co-explosivity versus leading effects: Evidence from crude oil and agricultural commodities. (2023). Charfeddine, Lanouar ; Belhoula, Mohamed Malek ; el Montasser, Ghassen. In: Resources Policy. RePEc:eee:jrpoli:v:81:y:2023:i:c:s0301420723000399.

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2023Volatility and returns connectedness in cryptocurrency markets: Insights from graph-based methods. (2023). Bezbradica, Marija ; Mai, Tai Tan ; Ngoc, An Pham ; Crane, Martin. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:632:y:2023:i:p1:s0378437123009044.

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2023Price bubbles in commodity market – A single time series and panel data analysis. (2023). Potrykus, Marcin. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:87:y:2023:i:c:p:110-117.

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2024Determinants of the price of bitcoin: An analysis with machine learning and interpretability techniques. (2024). Gorjon, Sergio ; Carbo, Jose Manuel. In: International Review of Economics & Finance. RePEc:eee:reveco:v:92:y:2024:i:c:p:123-140.

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2023Machine learning and credit risk: Empirical evidence from small- and mid-sized businesses. (2023). Filomeni, Stefano ; Cerchiello, Paola ; Bitetto, Alessandro ; Tarantino, Barbara ; Tanda, Alessandra. In: Socio-Economic Planning Sciences. RePEc:eee:soceps:v:90:y:2023:i:c:s0038012123002586.

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2023.

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2023Rough-Set-Based Rule Induction with the Elimination of Outdated Big Data: Case of Renewable Energy Equipment Promotion. (2023). Wang, Pei-An ; Gung, Roger R ; Liang, Wen-Yau ; Huang, Chun-Che. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:20:p:14984-:d:1261771.

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2023Rockets and Feathers in the Gasoline Market: Evidence from South Korea. (2023). Lee, Chul-Yong ; Cha, Kyung Soo . In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:4:p:3815-:d:1074031.

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2024COVID-19 and REITs Crash: Predictability and Market Conditions. (2024). Kim, Jinu ; Jang, Hanwool ; Ahn, Kwangwon ; Ryu, Inug. In: Computational Economics. RePEc:kap:compec:v:63:y:2024:i:3:d:10.1007_s10614-023-10431-1.

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2024Inspecting a seasonal ARIMA model with a random period. (2024). Rabehi, Nadia ; Aknouche, Abdelhakim. In: MPRA Paper. RePEc:pra:mprapa:120758.

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2024Using Google Trends to forecast migration from Russia: Search query aggregation and accounting for lag structure. (2024). Vakulenko, Elena ; Bronitsky, Georgy. In: Applied Econometrics. RePEc:ris:apltrx:0492.

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2023A theory of predictive sales analytics adoption. (2023). Heinitz, Nicolas ; Alavi, Sascha ; Habel, Johannes. In: AMS Review. RePEc:spr:amsrev:v:13:y:2023:i:1:d:10.1007_s13162-022-00252-0.

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2023The transaction behavior of cryptocurrency and electricity consumption. (2023). Chang, Chun-Ping ; Zhao, Xinxin ; Feng, Gen-Fu ; Zheng, Mingbo. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-023-00449-7.

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2023Forecasting returns volatility of cryptocurrency by applying various deep learning algorithms. (2023). Shaikh, Parvez Ahmed ; Khan, Faridoon. In: Future Business Journal. RePEc:spr:futbus:v:9:y:2023:i:1:d:10.1186_s43093-023-00200-9.

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2023Searching for migration: estimating Japanese migration to Europe with Google Trends data. (2023). Verhaeghe, Pieter-Paul ; Leysen, Bert. In: Quality & Quantity: International Journal of Methodology. RePEc:spr:qualqt:v:57:y:2023:i:5:d:10.1007_s11135-022-01560-0.

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2023Testing for explosive bubbles: a review. (2023). Anton, Skrobotov. In: Dependence Modeling. RePEc:vrs:demode:v:11:y:2023:i:1:p:26:n:1.

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2023Forecasting Chinas stock market volatility with shrinkage method: Can Adaptive Lasso select stronger predictors from numerous predictors?. (2023). Xu, Yongan ; Liang, Chao ; Chen, Zhonglu. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:4:p:3689-3699.

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2023Forecasting realized volatility of Bitcoin: The informative role of price duration. (2023). Tabche, Ibrahim ; Slim, Skander ; Karathanasopoulos, Andreas ; Osman, Mohamed ; Koubaa, Yosra. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:7:p:1909-1929.

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2024A comparison of Range Value at Risk (RVaR) forecasting models. (2024). Santos, Samuel Solgon ; Gossling, Thalles Weber ; Muller, Fernanda Maria ; Righi, Marcelo Brutti. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:3:p:509-543.

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2023Contagion 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.
[Full Text][Citation analysis]		article1
2019Forecasting Realized Volatility of Russian stocks using Google Trends and Implied Volatility.(2019) In: MPRA Paper.
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This paper has nother version. Agregated cites: 1		paper
2010Modelling and forecasting the global financial crisis: Initial findings using heterosckedastic log-periodic models In: Economics Bulletin.
[Full Text][Citation analysis]		article1
2011Forecasting the Global Financial Crisis in the Years 2009-2010: Ex-post Analysis In: Economics Bulletin.
[Full Text][Citation analysis]		article0
2009The effects of misspecified marginals and copulas on computing the value at risk: A Monte Carlo study In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article21
2010Three-stage semi-parametric estimation of T-copulas: Asymptotics, finite-sample properties and computational aspects In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article4
2021Asymmetry and hysteresis in the Russian gasoline market: The rationale for green energy exports In: Energy Policy.
[Full Text][Citation analysis]		article1
2021Asymmetry and hysteresis in the Russian gasoline market: the rationale for green energy exports.(2021) In: MPRA Paper.
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This paper has nother version. Agregated cites: 1		paper
2011Global oil risks in the early 21st century In: Energy Policy.
[Full Text][Citation analysis]		article14
2011Global oil risks in the early 21st century.(2011) In: MPRA Paper.
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This paper has nother version. Agregated cites: 14		paper
2016The oil price crash in 2014/15: Was there a (negative) financial bubble? In: Energy Policy.
[Full Text][Citation analysis]		article55
2016The Oil Price Crash in 2014/15: Was There a (Negative) Financial Bubble?.(2016) In: MPRA Paper.
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This paper has nother version. Agregated cites: 55		paper
2015Forecasting German car sales using Google data and multivariate models In: International Journal of Production Economics.
[Full Text][Citation analysis]		article24
2015Forecasting German Car Sales Using Google Data and Multivariate Models.(2015) In: MPRA Paper.
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This paper has nother version. Agregated cites: 24		paper
2014Reviewing electricity production cost assessments In: Renewable and Sustainable Energy Reviews.
[Full Text][Citation analysis]		article30
2013Reviewing electricity production cost assessments.(2013) In: MPRA Paper.
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This paper has nother version. Agregated cites: 30		paper
2023Detecting Pump-and-Dumps with Crypto-Assets: Dealing with Imbalanced Datasets and Insiders’ Anticipated Purchases In: Econometrics.
[Full Text][Citation analysis]		article0
2023Detecting Pump-and-Dumps with Crypto-Assets: Dealing with Imbalanced Datasets and Insiders’ Anticipated Purchases.(2023) In: MPRA Paper.
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This paper has nother version. Agregated cites: 0		paper
2021Forecasting Internal Migration in Russia Using Google Trends: Evidence from Moscow and Saint Petersburg In: Forecasting.
[Full Text][Citation analysis]		article5
2021Forecasting internal migration in Russia using Google Trends: Evidence from Moscow and Saint Petersburg.(2021) In: MPRA Paper.
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This paper has nother version. Agregated cites: 5		paper
2020Does the Hashrate Affect the Bitcoin Price? In: JRFM.
[Full Text][Citation analysis]		article13
2020Does the hashrate affect the bitcoin price?.(2020) In: MPRA Paper.
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This paper has nother version. Agregated cites: 13		paper
2021Crypto Exchanges and Credit Risk: Modeling and Forecasting the Probability of Closure In: JRFM.
[Full Text][Citation analysis]		article2
2021Crypto-exchanges and Credit Risk: Modelling and Forecasting the Probability of Closure.(2021) In: MPRA Paper.
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This paper has nother version. Agregated cites: 2		paper
2022Crypto-Coins and Credit Risk: Modelling and Forecasting Their Probability of Death In: JRFM.
[Full Text][Citation analysis]		article0
2022Crypto Coins and Credit Risk: Modelling and Forecasting their Probability of Death.(2022) In: MPRA Paper.
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This paper has nother version. Agregated cites: 0		paper
2024Adaptive Conformal Inference for Computing Market Risk Measures: An Analysis with Four Thousand Crypto-Assets In: JRFM.
[Full Text][Citation analysis]		article0
2024Adaptive Conformal Inference for computing Market Risk Measures: an Analysis with Four Thousands Crypto-Assets.(2024) 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.
[Full Text][Citation analysis]		article12
2008A New Approach for Firm Value and Default Probability Estimation beyond Merton Models In: Computational Economics.
[Full Text][Citation analysis]		article6
2015Long Memory and Periodicity in Intraday Volatility In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article28
2012Long memory and Periodicity in Intraday Volatility.(2012) In: DEM Working Papers Series.
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This paper has nother version. Agregated cites: 28		paper
2011Fractionally Integrated Models for Volatility: A Review In: Palgrave Macmillan Books.
[Citation analysis]		chapter3
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.
[Full Text][Citation analysis]		paper0
2009Small Sample Properties of Copula-GARCH Modelling: A Monte Carlo Study In: Quaderni di Dipartimento.
[Full Text][Citation analysis]		paper0
2011Small sample properties of copula-GARCH modelling: a Monte Carlo study.(2011) In: Applied Financial Economics.
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This paper has nother version. Agregated cites: 0		article
2009A Copula-VAR-X Approach for Industrial Production Modelling and Forecasting In: Quaderni di Dipartimento.
[Full Text][Citation analysis]		paper4
2010A copula-VAR-X approach for industrial production modelling and forecasting.(2010) In: Applied Economics.
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This paper has nother version. Agregated cites: 4		article
2014Nowcasting and Forecasting the Monthly Food Stamps Data in the US Using Online Search Data In: PLOS ONE.
[Full Text][Citation analysis]		article6
2014Nowcasting and Forecasting the Monthly Food Stamps Data in the US using Online Search Data.(2014) In: MPRA Paper.
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This paper has nother version. Agregated cites: 6		paper
2020Short-term forecasting of the COVID-19 pandemic using Google Trends data: Evidence from 158 countries In: MPRA Paper.
[Full Text][Citation analysis]		paper4
2020Short-term forecasting of the COVID-19 pandemic using Google Trends data: Evidence from 158 countries.(2020) In: Applied Econometrics.
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This paper has nother version. Agregated cites: 4		article
2020Discussing copulas with Sergey Aivazian: a memoir In: MPRA Paper.
[Full Text][Citation analysis]		paper0
2022Using crypto assets pricing methods to build technical oscillators for short-term bitcoin trading In: MPRA Paper.
[Full Text][Citation analysis]		paper0
2023Assessing the Credit Risk of Crypto-Assets Using Daily Range Volatility Models In: MPRA Paper.
[Full Text][Citation analysis]		paper0
2022Forecasting oil prices with penalized regressions, variance risk premia and Google data In: MPRA Paper.
[Full Text][Citation analysis]		paper0
2022Forecasting oil prices with penalized regressions, variance risk premia and Google data.(2022) In: Applied Econometrics.
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This paper has nother version. Agregated cites: 0		article
2013Hydrocarbon liquefaction: viability as a peak oil mitigation strategy In: MPRA Paper.
[Full Text][Citation analysis]		paper3
2011Everything You Always Wanted to Know about Log Periodic Power Laws for Bubble Modelling but Were Afraid to Ask In: MPRA Paper.
[Full Text][Citation analysis]		paper41
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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This paper has nother version. Agregated cites: 41		article
2014Editorial for the Special Issue on Computational Methods for Russian Economic and Financial Modelling In: MPRA Paper.
[Full Text][Citation analysis]		paper0
2016Everything you always wanted to know about bitcoin modelling but were afraid to ask In: MPRA Paper.
[Full Text][Citation analysis]		paper20
2016Everything you always wanted to know about bitcoin modelling but were afraid to ask. I.(2016) In: Applied Econometrics.
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This paper has nother version. Agregated cites: 20		article
2019A multivariate approach for the simultaneous modelling of market risk and credit risk for cryptocurrencies In: MPRA Paper.
[Full Text][Citation analysis]		paper7
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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This paper has nother version. Agregated cites: 7		article
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.
[Full Text][Citation analysis]		paper2
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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This paper has nother version. Agregated cites: 2		article
2008An Econometric Analysis of Financial Data in Risk Management In: Applied Econometrics.
[Full Text][Citation analysis]		article3
2009Econometric Analysis of Financial Data in Risk Management.(2009) In: Applied Econometrics.
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This paper has nother version. Agregated cites: 3		article
2008Econometric Analysis of Financial Data in Risk Management (continuation). Section III: Managing Operational Risk In: Applied Econometrics.
[Full Text][Citation analysis]		article2
2008Credit Risk Management In: Applied Econometrics.
[Full Text][Citation analysis]		article13
2009Credit Risk Management (Cont.) In: Applied Econometrics.
[Full Text][Citation analysis]		article3
2011Analysis of multidimensional probability distributions with copula functions In: Applied Econometrics.
[Full Text][Citation analysis]		article7
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.
[Full Text][Citation analysis]		article7
2009Economic Factors in a Model of Voting: The Case of The Netherlands, Great Britain, and Israel In: Applied Econometrics.
[Full Text][Citation analysis]		article0
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.
[Full Text][Citation analysis]		article1
2017Everything you always wanted to know about bitcoin modelling but were afraid to ask. Part 2 In: Applied Econometrics.
[Full Text][Citation analysis]		article4
2018Big Data for computing social well-being indices of the Russian population In: Applied Econometrics.
[Full Text][Citation analysis]		article1
2009Enhanced credit default models for heterogeneous SME segments In: Journal of Financial Transformation.
[Full Text][Citation analysis]		article3
2006A Unified Copula Framework for VaR forecasting In: Computing in Economics and Finance 2006.
[Citation analysis]		paper0
2006A new framework for firm value using copulas In: Computing in Economics and Finance 2006.
[Citation analysis]		paper0
2009Random Survival Forests Models for SME Credit Risk Measurement In: Methodology and Computing in Applied Probability.
[Full Text][Citation analysis]		article30

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