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The Impact of Jumps and Levera...
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1
Discussing copulas with Sergey Aivazian: a memoir
Fantazzini, Dean
-
2020
Sergey Aivazian was the head of my department at the Moscow School of Economics, but he was much more than that. He played an important role in my life, and he contributed to my studies devoted to copula modelling. This small memoir reports how this amazingly polite and smart scientist helped me...
Persistent link: https://www.econbiz.de/10015215098
Saved in:
2
Summary of the Paper Entitled:
Forecasting
Fuel Prices with the Chilean Exchange Rate
Pincheira, Pablo
;
Jarsun, Nabil
-
2020
This draft is a summary of the paper entitled:
Forecasting
Fuel Prices with the Chilean Exchange Rate. In that paper we …
Persistent link: https://www.econbiz.de/10015229382
Saved in:
3
A multivariate approach for the simultaneous modelling of market risk and credit risk for cryptocurrencies
Fantazzini, Dean
;
Zimin, Stephan
-
2019
backtesting exercise using two datasets of 5 and 15 coins for market risk
forecasting
and a dataset of 42 coins for credit risk …
forecasting
was performed. The Value-at-Risk and the Expected Shortfall for single coins and for an equally weighted portfolio … were calculated and evaluated with several tests. The ZPP approach was used for the
estimation
of the probability of …
Persistent link: https://www.econbiz.de/10015265126
Saved in:
4
Crypto Coins and Credit Risk: Modelling and
Forecasting
their Probability of Death
Fantazzini, Dean
-
2022
literature to professional practice, alternative
forecasting
models, ranging from credit scoring models to machine learning and … time series-based models, and different
forecasting
horizons. We found that the choice of the coin death definition … affected the set of the best
forecasting
models to compute the probability of death. However, this choice was not critical, and …
Persistent link: https://www.econbiz.de/10015268207
Saved in:
5
Using crypto assets pricing methods to build technical oscillators for short-term bitcoin trading
Yang, Zixiu
;
Fantazzini, Dean
-
2022
This paper examines the trading performances of several technical oscillators created using crypto assets pricing methods for short-term bitcoin trading. Seven pricing models proposed in the professional and academic literature were transformed into oscillators, and two thresholds were...
Persistent link: https://www.econbiz.de/10015269038
Saved in:
6
Assessing the Credit Risk of Crypto-Assets Using Daily Range Volatility Models
Fantazzini, Dean
-
2023
various
forecasting
models, including credit scoring models, machine learning models, and time-series-based models. Our study … considered different definitions of ``dead coins'' and various
forecasting
horizons. Our results indicate that credit scoring …
Persistent link: https://www.econbiz.de/10015269951
Saved in:
7
Forecasting
oil prices with penalized regressions, variance risk premia and Google data
Fantazzini, Dean
;
Kurbatskii, Alexey
;
Mironenkov, Alexey
; …
-
2022
forecasting
performances across most of the
forecasting
horizons. Moreover, we found that models using the VRP as an additional …
forecasting
performances were not statistically different for most models, and only the Principal Component Regression (PCR) and … the Partial least squares (PLS) regression were consistently excluded from the set of best
forecasting
models. These …
Persistent link: https://www.econbiz.de/10015270524
Saved in:
8
On the winning virtuous strategies for ultra high frequency electronic trading in foreign currencies exchange markets
Ledenyov, Dimitri O.
;
Ledenyov, Viktor O.
-
2014
In the Schumpeterian creative disruption age, the authors firmly believe that an increasing application of electronic technologies in the finances opens a big number of new unlimited opportunities toward a new era of the ultra high frequency electronic trading in the foreign currencies exchange...
Persistent link: https://www.econbiz.de/10015243201
Saved in:
9
Multi-jumps
Caporin, Massimiliano
;
Kolokolov, Aleksey
;
Renò, Roberto
-
2014
increases of the variance risk-premium, and possess a statistically significant
forecasting
power for future volatility and …
Persistent link: https://www.econbiz.de/10015243914
Saved in:
10
On the winning virtuous strategies for ultra high frequency electronic trading in foreign currencies exchange markets
Ledenyov, Dimitri O.
;
Ledenyov, Viktor O.
-
2014
In the Schumpeterian creative disruption age, the authors firmly believe that an increasing application of electronic technologies in the finances opens a big number of new unlimited opportunities toward a new era of the ultra high frequency electronic trading in the foreign currencies exchange...
Persistent link: https://www.econbiz.de/10015243989
Saved in:
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