Dean Fantazzini

Moscow School of Economics, Moscow State University

Associate Professor

GSP-2, Leninskie Gory

Moscow, 119992

Russia

https://sites.google.com/site/deanfantazzini/

National Research University Higher School of Economics

Visiting Professor

Myasnitskaya street, 20

Moscow, Moscow 119017

Russia

http://www.hse.ru/org/persons/11532644

SCHOLARLY PAPERS

51

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CITATIONS
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62

Scholarly Papers (51)

1.

Everything You Always Wanted to Know About Log Periodic Power Laws for Bubble Modelling But Were Afraid to Ask

European Journal of Finance, Forthcoming
Number of pages: 35 Posted: 01 Feb 2011
Dean Fantazzini and Petr Geraskin
Moscow School of Economics, Moscow State University and National Research University Higher School of Economics
Downloads 2,636 (4,478)

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Log-periodic models, LPPL, Crash, Bubble, Anti-Bubble, GARCH, Forecasting, Gold

2.
Downloads 2,356 ( 5,409)
Citation 8

Dynamic Copula Modelling for Value at Risk

Frontiers in Finance and Economics, Forthcoming
Number of pages: 30 Posted: 11 Nov 2006
Dean Fantazzini
Moscow School of Economics, Moscow State University
Downloads 1,790 (8,464)

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Copulae, Value at risk, Dynamic Modelling

Dynamic Copula Modelling for Value at Risk

Frontiers in Finance and Economics, Vol. 5, No. 2, pp. 72-108, 2008
Number of pages: 37 Posted: 27 Jan 2010
Dean Fantazzini
Moscow School of Economics, Moscow State University
Downloads 566 (46,412)

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Copulae, Value at Risk, Dynamic Modelling

3.

A New Approach for Firm Value and Default Probability Estimation Beyond Merton Models

Computational Economics, Forthcoming
Number of pages: 23 Posted: 12 Dec 2007
Dean Fantazzini, Maria Elena De Giuli and Mario Maggi
Moscow School of Economics, Moscow State University, University of Pavia - Department of Political Economy and Quantitative Methods and University of Pavia - Department of Economics and Management
Downloads 1,017 (20,919)

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Firm value, No arbitrage, Structural models, Bivariate option, Copula, Default Probability

4.

Copulae and Operational Risks

International Journal of Risk Assessment and Management, Forthcoming
Number of pages: 17 Posted: 11 Nov 2006
Luciana Dalla Valle, Dean Fantazzini and Paolo Giudici
University of Milan - Department of Economics, Business and Statistics, Moscow School of Economics, Moscow State University and University of Pavia - Faculty of Economics
Downloads 999 (21,503)

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Copula, Two-step estimation, Operational Risk, VaR, Expected Shortfall

5.

Fractionally Integrated Models for Volatility: A Review - Empirical Appendix: Some Examples with R Interfaced with the Ox Package G@RCH

Number of pages: 16 Posted: 01 Feb 2011
Dean Fantazzini
Moscow School of Economics, Moscow State University
Downloads 961 (22,739)
Citation 1

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Fractionally Integrated Models, GARCH, EGARCH, Threshold-GARCH, APARCH, IGARCH, FIGARCH, FIEGARCH, FIAPARCH, HYGARCH

6.

Everything You Always Wanted to Know About Bitcoin Modelling But Were Afraid to Ask

Applied Econometrics, Forthcoming
Number of pages: 49 Posted: 14 Jun 2016
Moscow School of Economics, Moscow State University, Bocconi University, Perm State University and Perm State University
Downloads 945 (23,304)

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Bitcoin, Crypto-Currencies, Hash Rate, Investors' Attractiveness, Social Interactions, Money Supply, Money Demand, Speculation, Forecasting, Algorithmic Trading, Bubble, Price Discovery

7.

Using Misspecified Marginals and Misspecified Copulas to Compute the Value at Risk: When Do We Have to Care?

Computational Statistics and Data Analysis, Forthcoming
Number of pages: 79 Posted: 14 Dec 2007 Last Revised: 23 Dec 2011
Dean Fantazzini
Moscow School of Economics, Moscow State University
Downloads 646 (39,452)

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Marginals, Copulas, copula VAR-GARCH models, VaR, Simulation

8.

Enhanced Credit Default Models for Heterogeneous SME Segments

Journal of Financial Transformation, Forthcoming
Number of pages: 48 Posted: 24 Mar 2009
University of Pavia, University of Pavia - Department of Political Economy and Quantitative Methods, University of Pavia - Faculty of Economics and Moscow School of Economics, Moscow State University
Downloads 620 (41,718)

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Longitudinal models, Bayesian panel models, Credit risk, Default probability, Loss function

9.

A Copula-VAR-X Approach for Industrial Production Modelling and Forecasting

Applied Economics, Forthcoming
Number of pages: 18 Posted: 08 Apr 2008 Last Revised: 23 Dec 2011
Moscow School of Economics, Moscow State University, University of Pavia - Department of Political Economy and Quantitative Methods, University of Pavia - Department of Economics and Management, University of Pavia - Department of Economics and Management and affiliation not provided to SSRN
Downloads 592 (44,355)

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Forecasting, Industrial Production, Copula, VAR models, Vector Auto Regression

10.

Random Survival Forests Models for SME Credit Risk Measurement

Methodology and Computing in Applied Probability, Forthcoming
Number of pages: 23 Posted: 31 Jan 2009
Silvia Figini and Dean Fantazzini
University of Pavia and Moscow School of Economics, Moscow State University
Downloads 551 (48,662)

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Random Survival Trees, Credit risk, Default probability, Loss functions, Classification

11.

Three-Stage Semi-Parametric Estimation of T-Copulas: Asymptotics, Finite-Sample Properties and Computational Aspects

Computational Statistics and Data Analysis, Forthcoming
Number of pages: 50 Posted: 04 Feb 2009
Dean Fantazzini
Moscow School of Economics, Moscow State University
Downloads 495 (55,680)

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Copulas, Maximum Likelihood, Two-stage estimation, Three-stage estimation, Semi-parametric estimation

12.

Value at Risk for High-Dimensional Portfolios: A Dynamic Grouped-T Copula Approach

The VAR IMPLEMENTATION HANDBOOK, McGraw-Hill, pp. 253-282, 2009
Number of pages: 43 Posted: 02 Sep 2009 Last Revised: 23 Dec 2011
Dean Fantazzini
Moscow School of Economics, Moscow State University
Downloads 441 (64,270)

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Multivariate modelling, Grouped T Copula, T copula, Dynamic Conditional Correlation, VaR, Forecasting

13.

Market Risk Management for Emerging Markets: Evidence from Russian Stock Market

EMERGING MARKETS: PERFORMANCE, ANALYSIS AND INNOVATION, Chapman & Hall / CRC Finance, pp. 533-554, 2009
Number of pages: 45 Posted: 02 Sep 2009 Last Revised: 23 Dec 2011
Dean Fantazzini
Moscow School of Economics, Moscow State University
Downloads 409 (70,442)

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Multivariate Modelling, GARCH, Normal copula, Grouped T Copula, T copula, Dynamic Conditional Correlation, VaR, Forecasting, Backtesting

14.

Long Memory and Periodicity in Intraday Volatility of Stock Index Futures

Number of pages: 43 Posted: 25 Aug 2009
Eduardo Rossi and Dean Fantazzini
Department of Economics and Management and Moscow School of Economics, Moscow State University
Downloads 319 (93,633)
Citation 1

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long-range dependence, periodic models, stock index futures

15.

Leaves and Cigarettes: Modelling the Tobacco Industry

Number of pages: 11 Posted: 24 Jan 2007
Moscow School of Economics, Moscow State University, University of Modena and Reggio Emilia - Department of Social Sciences, University of Parma and Aristotle University of Thessaloniki
Downloads 279 (108,252)

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Tobacco Industry, Econometric modelling, Linear Programming, Input - Output Matrices

16.

Discrete-Time Affine Term Structure Models: An ARCH Formulation

International Journal of Risk Assessment and Management, Forthcoming
Number of pages: 15 Posted: 20 Jan 2010
Mario Maggi, Dean Fantazzini and Alessandro Carta
University of Pavia - Department of Economics and Management, Moscow School of Economics, Moscow State University and affiliation not provided to SSRN
Downloads 252 (120,438)

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Discrete-time Affine Term Structure Models, ARCH, VAR, Maximum Likelihood Estimation, Affine Models, Term Structure Models, Inverse Gaussian

17.

Forecasting German Car Sales Using Google Data and Multivariate Models

International Journal of Production Economics, Forthcoming
Number of pages: 48 Posted: 11 Sep 2015
Dean Fantazzini and Zhamal Toktamysova
Moscow School of Economics, Moscow State University and National Research University Higher School of Economics - Faculty of Economics
Downloads 199 (151,530)
Citation 1

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Car Sales, Forecasting, Google, Google Trends, Global Financial Crisis, Great Recession

18.

Modelling and Forecasting the Global Financial Crisis: Initial Findings Using Heterosckedastic Log-Periodic Models

Economics Bulletin, Forthcoming
Number of pages: 9 Posted: 27 Dec 2010
Dean Fantazzini
Moscow School of Economics, Moscow State University
Downloads 196 (153,717)

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Log-periodic models, Crashes, Anti-Bubbles, Bubble, Long-term Forecasting, Out-of-sample Forecasting.

19.

Global Oil Risks in the Early 21st Century

Energy Policy, Forthcoming
Number of pages: 15 Posted: 30 Sep 2011 Last Revised: 23 Dec 2011
Dean Fantazzini, Mikael Höök and Andre Angelantoni
Moscow School of Economics, Moscow State University, affiliation not provided to SSRN and Post Peak Living
Downloads 178 (167,750)

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Peak oil, Economic risks, Energy transition risks, Government risks, Business risks

20.

Dangers and Opportunities for the Russian Banking Sector: 2007-2008

THE BANKING CRISIS HANDBOOK, Chapman & Hall/CRC Finance, pp. 383-405, 2010
Number of pages: 55 Posted: 13 Aug 2010
Alexander Kudrov, Andrew Zlotnik and Dean Fantazzini
National Research University Higher School of Economics, affiliation not provided to SSRN and Moscow School of Economics, Moscow State University
Downloads 136 (210,331)

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Crisis, Banking, Russia, Debt Structure, Systemic risk, Risk Management, Banking crisis, Forecasting, Default Probability

21.

Forecasting the Global Financial Crisis in the Years 2009-2010: Ex-Post Analysis

Economics Bulletin, Forthcoming
Number of pages: 9 Posted: 29 Nov 2011
Dean Fantazzini
Moscow School of Economics, Moscow State University
Downloads 119 (233,068)

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Log-periodic models, Crashes, Anti-Bubbles, Long-term Forecasting, Out-of-sample Forecasting, Ex-post Analysis, SP500, FED

22.

The Oil Price Crash in 2014/15: Was There a (Negative) Financial Bubble?

Energy Policy, Forthcoming
Number of pages: 35 Posted: 20 Jun 2016
Dean Fantazzini
Moscow School of Economics, Moscow State University
Downloads 85 (292,375)

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Oil, WTI, Brent, Generalized Sup ADF Test, LPPL, Bubble

23.

Hydrocarbon Liquefaction: Viability as a Peak Oil Mitigation Strategy

Philosophical Transactions of the Royal Society: A, Forthcoming
Number of pages: 33 Posted: 14 May 2013
Uppsala University, Department of Earth Sciences - Global Energy Systems, Moscow School of Economics, Moscow State University, Post Peak Living and University of Liverpool - Management School (ULMS)
Downloads 74 (317,342)

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hydrocarbon liquefaction, gas-to-liquids, CTL, GTL, coal-to-liquids, peak oil

24.

Reviewing Electricity Production Cost Assessments

Renewable & Sustainable Energy Reviews, Forthcoming
Number of pages: 27 Posted: 01 Oct 2013
Uppsala University - Department of Earth Sciences, Moscow School of Economics, Moscow State University, Uppsala University - Department of Earth Sciences, The Royal Swedish Academy of Sciences and Uppsala University, Department of Earth Sciences - Global Energy Systems
Downloads 59 (357,446)

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Electricity generation costs, levelized costs, energy market analysis, cost comparisons, policy implications

25.

Proposed Coal Power Plants and Coal-to-Liquids Plants in the US: Which Ones Survive and Why?

Energy Strategy Reviews, Forthcoming
Number of pages: 32 Posted: 01 Dec 2014 Last Revised: 10 Sep 2015
Dean Fantazzini
Moscow School of Economics, Moscow State University
Downloads 29 (469,379)

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Coal, Coal plants, Coal-to-Liquids, Logit, Probit, Training, Validation, Forecasting, Model Confidence Set, Google, Google Trends, Second Great Contraction, Global Financial Crisis

26.

Nowcasting and Forecasting the Monthly Food Stamps Data in the US Using Online Search Data

Plos One, Forthcoming
Number of pages: 50 Posted: 15 Oct 2014 Last Revised: 21 Nov 2014
Dean Fantazzini
Moscow School of Economics, Moscow State University
Downloads 21 (512,982)

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Food Stamps, Supplemental Nutrition Assistance Program, Google, Forecasting, Global Financial Crisis, Great Recession, Google Trends

27.

Forecasting Realized Volatility of Russian Stocks using Google Trends and Implied Volatility

Russian Journal of Industrial Economics, 12(1), 79-88, (2019)
Number of pages: 20 Posted: 24 May 2019
Timofey Bazhenov and Dean Fantazzini
affiliation not provided to SSRN and Moscow School of Economics, Moscow State University
Downloads 13 (559,853)

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forecasting, realized volatility, value-at-risk, implied volatility, google trends, GARCH, ARFIMA, HAR

28.

Big Data for Computing Social Well-Being Indices of the Russian Population

Applied Econometrics, Vol. 50, pp. 43-66
Posted: 07 Aug 2018
Dean Fantazzini, Marina Shakleina and Natalia Yuras
Moscow School of Economics, Moscow State University, Moscow State University and Moscow State University

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VCIOM Indices, Big Data, Google Trends, Factor Analysis, Bayesian Model Averaging

29.

Everything You Always Wanted to Know About Bitcoin Modelling but Were Afraid to Ask. Part 2

Applied Econometrics, vol. 45, pages 5-28.
Posted: 07 Aug 2018
Dean Fantazzini, Sergey Ivliev and Vera Sukhanovskaya
Moscow School of Economics, Moscow State University, Perm State University and Perm State University

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Crypto-Currencies, Hash Rate, Investors’ Attractiveness, Social Interactions, Money Supply, Money Demand, Speculation, Forecasting, Algorithmic Trading, Bubble, Price Discovery

30.

Everything You Always Wanted to Know About Bitcoin Modeling But Were Afraid to Ask - Part 1

Applied Econometrics, vol. 44, pages 5-24, 2016
Posted: 06 Aug 2018
Dean Fantazzini, Sergey Ivliev and Vera Sukhanovskaya
Moscow School of Economics, Moscow State University, Perm State University and Perm State University

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Bitcoin, Crypto-Currencies, Hashreit, Mining, Attractiveness of Investors, Social Interaction, Money Supply, Money Demand, Speculation, Forecasting, Algorithmic Trading, Bubbles, Pricing, LPPL

31.

Forecasting the Real Price of Oil Using Online Search Data

International Journal of Computational Economics and Econometrics, 4(1-2), 4-31, (2014)
Posted: 12 Apr 2014
Dean Fantazzini and Nikita Fomichev
Moscow School of Economics, Moscow State University and Independent

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Google; oil price; real price of oil; forecasting; forecasting oil prices; crude oil inventories; global real activity; refiners’ acquisition cost for oil

32.

Computing Reliable Default Probabilities in Turbulent Times

Rethinking Valuation and Pricing Models, pp. 241-255, Academic Press - Elsevier, 2013, Forthcoming
Posted: 02 Dec 2012
Dean Fantazzini and Mario Maggi
Moscow School of Economics, Moscow State University and University of Pavia - Department of Economics and Management

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credit ratings, credit default, default probabilities, probability of default, financial crises, firm value, KMV, Lehman, Merton, no arbitrage, option pricing, structural models, Zero price probability, ZPP

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copula, copula selection, test statistic, information criteria, Bayesian copula selection, copula evaluation, goodness-of-fit test, empirical analysis

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credit, default swaps, basis, short selling, emerging markets, Russian market, credit risk, Russian stocks

35.

Short Selling in Russia: Main Regulations and Empirical Evidence from Medium- and Long-Term Portfolio Strategies

HANDBOOK OF SHORT SELLING, pp. 387-400, Elsevier, 2012
Posted: 16 Nov 2011
Moscow School of Economics, Moscow State University, National Research University Higher School of Economics, affiliation not provided to SSRN and affiliation not provided to SSRN

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Extreme events frequency, Federal Financial Markets Service, Generalized Pareto distribution, Kurtosis, Long–short trading strategy, Maximum annual drawdown, Sharpe ratio, Skewness, Volatility

36.

Short Selling in Emerging Markets: A Comparison of Market Performance During the Global Financial Crisis

HANDBOOK OF SHORT SELLING, pp. 339-352, Elsevier, 2012
Posted: 16 Nov 2011
Dean Fantazzini and Mario Maggi
Moscow School of Economics, Moscow State University and University of Pavia - Department of Economics and Management

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Exogenous liquidity, Market liquidity, Market volatility, Maximum drawdown, Mean volatility, Sharpe ratio, Skewness

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Copula, Multivariate distribution, Elliptical copulas, Archimedean copula, Hierarchical copula

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Pair copula, D-vines, Canonical vines, Measure of dependence, Tail dependence, Rank correlation, Maximum likelihood method, One-step ML, Two-step ML, Canonical Maximum Likelihood, Three-stage KME–CML, Semi-parametric methods, Nonparametric methods

39.

Small Sample Properties of Copula-GARCH Modelling: A Monte Carlo Study

Applied Financial Economics, Forthcoming
Posted: 20 Sep 2011 Last Revised: 02 Oct 2017
University of Pavia - Department of Economics and Management, University of Pavia - Department of Political Economy and Quantitative Methods, Moscow School of Economics, Moscow State University and University of Pavia - Department of Economics and Management

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Copulas, Copula-GARCH models, Maximum Likelihood, Simulation, Small Sample Properties

40.

Эконометрический Анализ Финансовых Данных в Задачах Управления Риском (An Econometric Analysis of Financial Data in Risk Management)

Applied Econometrics, Vol. 10, No. 2, pp. 91-137, 2008
Posted: 27 Aug 2011
Dean Fantazzini
Moscow School of Economics, Moscow State University

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risk measures, risk management, value at risk, expected shortfall, market risk, historical simulation, Monte Carlo simulation, GARCH, copula-GARCH, backtesting

41.

Управление Кредитным Риском (Credit Risk Management)

Applied Econometrics, Vol. 12, No. 4, pp. 84-137, 2008
Posted: 27 Aug 2011
Dean Fantazzini
Moscow School of Economics, Moscow State University

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credit risk, discriminant analysis, altman model, logit models, ROC, AUC, loss functions, panel models, Merton model, ZPP, recovery rate, exposure at default, value at risk, expected shortfall

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operational risk, value at risk, expected shortfall, basic indicator approach, standardized approach, advanced measurement approaches, loss distribution approach, copula, poisson shock model, Bayesian copulas, Bayesian marginals

43.

Управление Кредитным Риском (Продолжение) (Credit Risk Management (Cont.)

Applied Econometrics, Vol. 13, No. 1, pp. 105-138, 2009
Posted: 26 Aug 2011
Dean Fantazzini
Moscow School of Economics, Moscow State University

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Credit Risk, Value at Risk, Expected Shortfall, Credit Metrics, KMV, Credit Portfolio View, Backtesting, Berkowitz Test

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Credit Risk, Value at Risk, Expected Shortfall, CreditMetrics, KMV, CreditRisk, CreditPortfolioView, Backtesting, Berkowitz Test

45.

The Intraday Analysis of Volatility, Volume and Spreads: A Review with Applications to Futures Markets

FINANCIAL ECONOMETRICS MODELING: MARKET MICROSTRUCTURE, FACTOR MODELS AND FINANCIAL RISK MEASURES, pp. 92-131, Palgrave Macmillan, 2011
Posted: 31 Jan 2011
Dean Fantazzini
Moscow School of Economics, Moscow State University

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Intraday Data, ACD, Ordered Probit, CME, SP500 Future, NASDAQ100 Future

46.

Fractionally Integrated Models for Volatility: A Review

NONLINEAR FINANCIAL ECONOMETRICS: MARKOV SWITCHING MODELS, PERSISTENCE AND NONLINEAR COINTEGRATION, pp. 104-123, Palgrave Macmillan, 2011
Posted: 31 Jan 2011
Dean Fantazzini
Moscow School of Economics, Moscow State University

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Fractional Integrated Models, GARCH, EGARCH, Threshold-GARCH, APARCH, IGARCH, FIGARCH, FIEGARCH, FIAPARCH, HYGARCH

47.

Modelling Bubbles and Anti-Bubbles in Bear Markets: A Medium-Term Trading Analysis

THE HANDBOOK OF TRADING, McGraw-Hill Finance and Investing, pp. 365-388, 2010
Posted: 13 Aug 2010
Dean Fantazzini
Moscow School of Economics, Moscow State University

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Log-periodic models, Crashes, Bubbles, Anti-Bubbles, Long-term Forecasting, Out-of-sample Forecasting, Buy-and-Hold, Short-and-Hold

48.

Copula-VAR and Copula-VAR-GARCH Modelling: Dangers for Value at Risk and Impulse Response Functions

THE RISK MODELING EVALUATION HANDBOOK, McGraw-Hill, pp. 321-338, 2010
Posted: 11 May 2010
University of Pavia - Department of Economics and Management, University of Pavia - Department of Political Economy and Quantitative Methods, University of Pavia - Department of Economics and Management and Moscow School of Economics, Moscow State University

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49.

Small-Samples and EVT Estimators for Computing Risk Measures: Simulation and Empirical Evidences

THE RISK MODELING EVALUATION HANDBOOK, McGraw-Hill, pp. 339-361, 2010
Posted: 11 May 2010
Alexander Kudrov and Dean Fantazzini
National Research University Higher School of Economics and Moscow School of Economics, Moscow State University

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EVT, Extreme Value Theory, VaR, Expected Shortfall, GARCH, Small Sample, Small Sample Properties, Market Risk, Operational Risk

50.

Forecasting Default Probability without Accounting Data: Evidence from Russia

STOCK MARKET VOLATILITY, Chapman & Hall/CRC Finance Series, pp. 535-556, 2009
Posted: 24 Mar 2009 Last Revised: 23 Dec 2011
Dean Fantazzini
Moscow School of Economics, Moscow State University

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Default Probability, Financial Fraud, Zero Price Probability, ZPP, Merton style models, Parametric Bootstrap,

51.

Multivariate Models for Operational Risk: A Copula Approach using Extreme Value Theory and Poisson Shock Models

OPERATIONAL RISK TOWARD BASEL III: BEST PRACTICES AND ISSUES IN MODELING, MANAGEMENT, AND REGULATION, Wiley, pp. 197-218, March 2009
Posted: 03 Dec 2008 Last Revised: 23 Dec 2011
Omar Rachedi and Dean Fantazzini
Universidad Carlos III de Madrid and Moscow School of Economics, Moscow State University

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Copula, Extreme Value Theory, Losses Frequency , Losses Severity, Operational Risk, Shock model, VaR

Other Papers (1)

Total Downloads: 10
1.

Editorial for the Special Issue on 'Computational Methods for Russian Economic and Financial Modelling'

International Journal of Computational Economics and Econometrics, 4(1-2), 1-3, (2014)
Number of pages: 3 Posted: 12 Apr 2014
Dean Fantazzini
Moscow School of Economics, Moscow State University
Downloads 10

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Forecasting, oil price, Google, Russian stock market, T-distribution with vector degrees of freedomportfolio management, Fund manager, Russian banking sector, Credit Risk, DSGE, Russia, Immigrants, Intertemporal general equilibrium model, Intertemporal equilibrium, Inflation, Inflation expectations