Forecasting and backtesting of market risks in emerging markets

von Fantazzini, Dean
Veröffentlicht in Risk assessment and financial regulation in emerging markets' banking (2021)

Value at risk for high-dimensional portfolios : a dynamic grouped t-copula approach

von Fantazzini, Dean
Veröffentlicht in The VaR implementation handbook (2009)

Forecasting default probability without accounting data : evidence from Russia

von Fantazzini, Dean
Veröffentlicht in Stock market volatility (2009)

Special issue: Computational methods for Russian economic and financial modelling

Veröffentlicht 2014

Quantitative finance with R and cryptocurrencies

von Fantazzini, Dean
Veröffentlicht

Forecasting German car sales using Google data and multivariate models

von Fantazzini, Dean
Veröffentlicht in International journal of production economics (2015)

Long memory and periodicity in intraday volatility

von Rossi, Eduardo
Veröffentlicht in Journal of financial econometrics (2015)

Forecasting the real price of oil using online search data

von Fantazzini, Dean
Veröffentlicht in International journal of computational economics and econometrics (2014)

Everything you always wanted to know about log-periodic power laws for bubble modeling but were afraid to ask

von Geraskin, Petr
Veröffentlicht in The European journal of finance (2013)

Copulae and operational risks

von Fantazzini, Dean
Veröffentlicht in International journal of risk assessment and management (2008)

Enhanced credit default models for heterogeneous SME segments

Veröffentlicht in Capco Institute Journal (2009)

Small sample properties of copula-GARCH modelling : a Monte Carlo study

Veröffentlicht in Applied financial economics (2011)

A copula-VAR-X approach for industrial production modelling and forecasting

Veröffentlicht in Applied economics (2010)