12
H index
12
i10 index
383
Citations
M. V. Lomonosov Moscow State University | 12 H index 12 i10 index 383 Citations RESEARCH PRODUCTION: 42 Articles 30 Papers 2 Chapters RESEARCH ACTIVITY: 18 years (2006 - 2024). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/pfa92 |
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: | Cites to: |
Journals with more than one article published | # docs |
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Applied Econometrics | 16 |
JRFM | 4 |
Energy Policy | 3 |
Economics Bulletin | 2 |
Computational Statistics & Data Analysis | 2 |
Year | Title of citing document |
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2023 | Rational Bubbles: Too Many to be True?. (2023). Sola, Martin. In: Working Papers. RePEc:aoz:wpaper:240. Full description at Econpapers || Download paper |
2023 | Cryptocurrency Valuation: An Explainable AI Approach. (2022). Zhang, Luyao ; Liu, Yulin. In: Papers. RePEc:arx:papers:2201.12893. Full description at Econpapers || Download paper |
2023 | Risks 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. Full description at Econpapers || Download paper |
2024 | Blockchain Metrics and Indicators in Cryptocurrency Trading. (2024). Dale, Roberto ; King, Juan C. In: Papers. RePEc:arx:papers:2403.00770. Full description at Econpapers || Download paper |
2023 | Americas 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. Full description at Econpapers || Download paper |
2023 | Seemingly 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. Full description at Econpapers || Download paper |
2024 | Applying 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. Full description at Econpapers || Download paper |
2024 | Blockchain 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. Full description at Econpapers || Download paper |
2023 | Rational 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. Full description at Econpapers || Download paper |
2024 | Application 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. Full description at Econpapers || Download paper |
2023 | Accelerated 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. Full description at Econpapers || Download paper |
2023 | Dynamic 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. Full description at Econpapers || Download paper |
2024 | Energy 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. Full description at Econpapers || Download paper |
2023 | An 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. Full description at Econpapers || Download paper |
2023 | Investing 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. Full description at Econpapers || Download paper |
2023 | Price 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. Full description at Econpapers || Download paper |
2023 | Co-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. Full description at Econpapers || Download paper |
2023 | Volatility 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. Full description at Econpapers || Download paper |
2023 | Price 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. Full description at Econpapers || Download paper |
2024 | Determinants 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. Full description at Econpapers || Download paper |
2023 | Machine 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. Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2024 | . Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | Rough-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. Full description at Econpapers || Download paper |
2023 | Rockets 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. Full description at Econpapers || Download paper |
2024 | COVID-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. Full description at Econpapers || Download paper |
2024 | Inspecting a seasonal ARIMA model with a random period. (2024). Rabehi, Nadia ; Aknouche, Abdelhakim. In: MPRA Paper. RePEc:pra:mprapa:120758. Full description at Econpapers || Download paper |
2024 | Using 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. Full description at Econpapers || Download paper |
2023 | A 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. Full description at Econpapers || Download paper |
2023 | The 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. Full description at Econpapers || Download paper |
2023 | Forecasting 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. Full description at Econpapers || Download paper |
2023 | Searching 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. Full description at Econpapers || Download paper |
2023 | Testing for explosive bubbles: a review. (2023). Anton, Skrobotov. In: Dependence Modeling. RePEc:vrs:demode:v:11:y:2023:i:1:p:26:n:1. Full description at Econpapers || Download paper |
2023 | Forecasting 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. Full description at Econpapers || Download paper |
2023 | Forecasting 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. Full description at Econpapers || Download paper |
2024 | A 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. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2019 | Forecasting Realized Volatility of Russian stocks using Google Trends and Implied Volatility In: Russian Journal of Industrial Economics. [Full Text][Citation analysis] | article | 1 |
2019 | Forecasting Realized Volatility of Russian stocks using Google Trends and Implied Volatility.(2019) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
2010 | Modelling and forecasting the global financial crisis: Initial findings using heterosckedastic log-periodic models In: Economics Bulletin. [Full Text][Citation analysis] | article | 1 |
2011 | Forecasting the Global Financial Crisis in the Years 2009-2010: Ex-post Analysis In: Economics Bulletin. [Full Text][Citation analysis] | article | 0 |
2009 | The 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] | article | 21 |
2010 | Three-stage semi-parametric estimation of T-copulas: Asymptotics, finite-sample properties and computational aspects In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 4 |
2021 | Asymmetry and hysteresis in the Russian gasoline market: The rationale for green energy exports In: Energy Policy. [Full Text][Citation analysis] | article | 1 |
2021 | Asymmetry and hysteresis in the Russian gasoline market: the rationale for green energy exports.(2021) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
2011 | Global oil risks in the early 21st century In: Energy Policy. [Full Text][Citation analysis] | article | 14 |
2011 | Global oil risks in the early 21st century.(2011) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
2016 | The oil price crash in 2014/15: Was there a (negative) financial bubble? In: Energy Policy. [Full Text][Citation analysis] | article | 55 |
2016 | The Oil Price Crash in 2014/15: Was There a (Negative) Financial Bubble?.(2016) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 55 | paper | |
2015 | Forecasting German car sales using Google data and multivariate models In: International Journal of Production Economics. [Full Text][Citation analysis] | article | 24 |
2015 | Forecasting German Car Sales Using Google Data and Multivariate Models.(2015) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 24 | paper | |
2014 | Reviewing electricity production cost assessments In: Renewable and Sustainable Energy Reviews. [Full Text][Citation analysis] | article | 30 |
2013 | Reviewing electricity production cost assessments.(2013) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 30 | paper | |
2023 | Detecting Pump-and-Dumps with Crypto-Assets: Dealing with Imbalanced Datasets and Insiders’ Anticipated Purchases In: Econometrics. [Full Text][Citation analysis] | article | 0 |
2023 | Detecting Pump-and-Dumps with Crypto-Assets: Dealing with Imbalanced Datasets and Insiders’ Anticipated Purchases.(2023) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2021 | Forecasting Internal Migration in Russia Using Google Trends: Evidence from Moscow and Saint Petersburg In: Forecasting. [Full Text][Citation analysis] | article | 5 |
2021 | Forecasting internal migration in Russia using Google Trends: Evidence from Moscow and Saint Petersburg.(2021) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
2020 | Does the Hashrate Affect the Bitcoin Price? In: JRFM. [Full Text][Citation analysis] | article | 13 |
2020 | Does the hashrate affect the bitcoin price?.(2020) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | paper | |
2021 | Crypto Exchanges and Credit Risk: Modeling and Forecasting the Probability of Closure In: JRFM. [Full Text][Citation analysis] | article | 2 |
2021 | Crypto-exchanges and Credit Risk: Modelling and Forecasting the Probability of Closure.(2021) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
2022 | Crypto-Coins and Credit Risk: Modelling and Forecasting Their Probability of Death In: JRFM. [Full Text][Citation analysis] | article | 0 |
2022 | Crypto Coins and Credit Risk: Modelling and Forecasting their Probability of Death.(2022) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2024 | Adaptive Conformal Inference for Computing Market Risk Measures: An Analysis with Four Thousand Crypto-Assets In: JRFM. [Full Text][Citation analysis] | article | 0 |
2024 | Adaptive Conformal Inference for computing Market Risk Measures: an Analysis with Four Thousands Crypto-Assets.(2024) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2014 | Forecasting the real price of oil using online search data In: International Journal of Computational Economics and Econometrics. [Full Text][Citation analysis] | article | 12 |
2008 | A New Approach for Firm Value and Default Probability Estimation beyond Merton Models In: Computational Economics. [Full Text][Citation analysis] | article | 6 |
2015 | Long Memory and Periodicity in Intraday Volatility In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 28 |
2012 | Long memory and Periodicity in Intraday Volatility.(2012) In: DEM Working Papers Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 28 | paper | |
2011 | Fractionally Integrated Models for Volatility: A Review In: Palgrave Macmillan Books. [Citation analysis] | chapter | 3 |
2011 | The Intraday Analysis of Volatility, Volume and Spreads: A Review with Applications to Futures’ Markets In: Palgrave Macmillan Books. [Citation analysis] | chapter | 0 |
2014 | Proposed Coal Power Plants and Coal-To-Liquids Plants: Which Ones Survive and Why? In: DEM Working Papers Series. [Full Text][Citation analysis] | paper | 0 |
2009 | Small Sample Properties of Copula-GARCH Modelling: A Monte Carlo Study In: Quaderni di Dipartimento. [Full Text][Citation analysis] | paper | 0 |
2011 | Small sample properties of copula-GARCH modelling: a Monte Carlo study.(2011) In: Applied Financial Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
2009 | A Copula-VAR-X Approach for Industrial Production Modelling and Forecasting In: Quaderni di Dipartimento. [Full Text][Citation analysis] | paper | 4 |
2010 | A copula-VAR-X approach for industrial production modelling and forecasting.(2010) In: Applied Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | article | |
2014 | Nowcasting and Forecasting the Monthly Food Stamps Data in the US Using Online Search Data In: PLOS ONE. [Full Text][Citation analysis] | article | 6 |
2014 | Nowcasting and Forecasting the Monthly Food Stamps Data in the US using Online Search Data.(2014) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
2020 | Short-term forecasting of the COVID-19 pandemic using Google Trends data: Evidence from 158 countries In: MPRA Paper. [Full Text][Citation analysis] | paper | 4 |
2020 | Short-term forecasting of the COVID-19 pandemic using Google Trends data: Evidence from 158 countries.(2020) In: Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | article | |
2020 | Discussing copulas with Sergey Aivazian: a memoir In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
2022 | Using crypto assets pricing methods to build technical oscillators for short-term bitcoin trading In: MPRA Paper. [Full Text][Citation analysis] | paper | 1 |
2023 | Assessing the Credit Risk of Crypto-Assets Using Daily Range Volatility Models In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
2022 | Forecasting oil prices with penalized regressions, variance risk premia and Google data In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
2022 | Forecasting oil prices with penalized regressions, variance risk premia and Google data.(2022) In: Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
2013 | Hydrocarbon liquefaction: viability as a peak oil mitigation strategy In: MPRA Paper. [Full Text][Citation analysis] | paper | 3 |
2011 | Everything 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] | paper | 41 |
2013 | Everything 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. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 41 | article | |
2014 | Editorial for the Special Issue on Computational Methods for Russian Economic and Financial Modelling In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
2016 | Everything you always wanted to know about bitcoin modelling but were afraid to ask In: MPRA Paper. [Full Text][Citation analysis] | paper | 20 |
2016 | Everything you always wanted to know about bitcoin modelling but were afraid to ask. I.(2016) In: Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 20 | article | |
2019 | A multivariate approach for the simultaneous modelling of market risk and credit risk for cryptocurrencies In: MPRA Paper. [Full Text][Citation analysis] | paper | 7 |
2020 | A 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. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | article | |
2019 | The 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] | paper | 2 |
2019 | The 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. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
2008 | An Econometric Analysis of Financial Data in Risk Management In: Applied Econometrics. [Full Text][Citation analysis] | article | 3 |
2009 | Econometric Analysis of Financial Data in Risk Management.(2009) In: Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
2008 | Econometric Analysis of Financial Data in Risk Management (continuation). Section III: Managing Operational Risk In: Applied Econometrics. [Full Text][Citation analysis] | article | 2 |
2008 | Credit Risk Management In: Applied Econometrics. [Full Text][Citation analysis] | article | 13 |
2009 | Credit Risk Management (Cont.) In: Applied Econometrics. [Full Text][Citation analysis] | article | 3 |
2011 | Analysis of multidimensional probability distributions with copula functions In: Applied Econometrics. [Full Text][Citation analysis] | article | 7 |
2011 | Analysis of multidimensional probability distributions with copula functions. II.(2011) In: Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | article | |
2011 | Analysis of multidimensional probability distributions with copula functions. III In: Applied Econometrics. [Full Text][Citation analysis] | article | 7 |
2009 | Economic Factors in a Model of Voting: The Case of The Netherlands, Great Britain, and Israel In: Applied Econometrics. [Full Text][Citation analysis] | article | 0 |
2012 | 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 In: Applied Econometrics. [Full Text][Citation analysis] | article | 1 |
2017 | Everything you always wanted to know about bitcoin modelling but were afraid to ask. Part 2 In: Applied Econometrics. [Full Text][Citation analysis] | article | 4 |
2018 | Big Data for computing social well-being indices of the Russian population In: Applied Econometrics. [Full Text][Citation analysis] | article | 1 |
2009 | Enhanced credit default models for heterogeneous SME segments In: Journal of Financial Transformation. [Full Text][Citation analysis] | article | 3 |
2006 | A Unified Copula Framework for VaR forecasting In: Computing in Economics and Finance 2006. [Citation analysis] | paper | 0 |
2006 | A new framework for firm value using copulas In: Computing in Economics and Finance 2006. [Citation analysis] | paper | 0 |
2009 | Random Survival Forests Models for SME Credit Risk Measurement In: Methodology and Computing in Applied Probability. [Full Text][Citation analysis] | article | 31 |
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