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PUBLICATIONS: ARTICLES
European Journal of Finance, Forthcoming, (2011) "Everything You Always Wanted to Know about Log Periodic Power Laws for Bubble Modelling but Were Afraid to Ask" (with P. Geraskin) (in) NONLINEAR FINANCIAL ECONOMETRICS: Mark ov Swit ching Models, Persist ence and Nonlinear Coint egrat ion, Palgrave Macmillan, p. 104- 123, (2011) "Fractionally Integrated Models for Volatilit y: A Review" (in) FINANCIAL ECONOMETRICS MODELING: Mark et Microst ruct ure, Fact or Models and Financial Risk Measures, Palgrave Macmillan, p. 92- 131, (2011) "The Intraday Analysis of Volatility, Volume and Spreads: A Review with Applicatio ns to Futures Markets" Economics Bullet in, 30(3), 1833- 1841, (2010) "Modelling and Forecasting the Global Financial Crisis: Initia l Findings using Heterosckedastic Log- Periodic Models" (in) THE HANDBOOK OF TRADING , McGraw- Hill, p. 365- 388, (2010) "Modelling Bubbles and Anti- Bubb les in Bear Markets: A Medium- Ter m Trading Analys is " (in) THE RISK MODELING EVALUATION HANDBOOK , McGraw- Hill, p. 339- 361, (2010) "SmallSamples and EVT Estimators for Computing Risk Measures: Simulation and Empirical Evidences "(wit h A. Kudrov) (in) THE RISK MODELING EVALUATION HANDBOOK , McGraw- Hill, p. 339- 361, (2010) "Copula- VAR and Copula- VAR- GARCH Modeling: Dangers for Value at Risk and Impulse Response Functions " (with C. Bianchi, M.E. DeGiuli and M. Maggi) Comput at ional St at ist ics and Dat a Analysis, 54(11), 2562- 2579 (2010) "Three- Stage Semi- parametric Estimat io n of T- Copulas: Asymptotic s, Finite- Samp le Properties and Computatio na l Aspects" (in) The BANKING C RISIS Handbook , Chapman & Hall - CRC Finance, p. 383- 405, (2010) "Dangers and Opportunit ies for the Russian Banking Sector: 2007 - 2008" (with A. Kudrov and A. Zlotnik) Applied Economics, 42(25), 3267- 3277, (2010) "A Copula- VAR- X approach for Industrial Production Modelling and Forecasting" (with C. Bianchi, A. Carta, M.E. Degiuli, M. Maggi ­ University of Pavia) Int ernat ional Journal of Risk Assessment and Management , 11(1/2), 164- 179,(2009) "Discrete -Time
Affine Term Structure Models: An ARH Fomulation" (with A. Carta, and M. Maggi)


(in) EMERGING MAR KETS: PERFORMANCE, ANALYSIS AND INNOVATION , Chapman & Hall / CRC Finance, p. 533- 554, (2009) "Market Risk Manageme nt for Emerging Markets: Evidence from the Russian Stock Market". (in) The VAR IMPLEMENTAT ION HANDBOOK , McGraw- Hill, p. 253- 282, (2009) "Value at Risk for High- Dime ns io na l Portfolios : A Dynamic Grouped- T Copula Approach". (i.e. Applied Economet rics), 2(14), 57- 73 (2009) " : , " (i.e. Economic fac- tors in voting patterns: an example with Netherlands, Britain and Israel; with A.Zakharov) Journal of Financial Transf ormat ion, 25(1), 31- 39, (2009) "Enhanced Credit Default Models for Heterogeneous SME Segments " (with M.E. DeGiuli, S. Figini, P. Giudic i, ­ Univers it y of Pavia) (i.e. Applied Economet rics) 2(14), 100- 127, (2009) " ()" (i.e Credit Risk Manageme nt - Part 3) (i.e. Applied Economet rics) 1(13), 105- 138, (2009) " ()" (i.e Credit Risk Management - Part 2) (in) STOCK MARKET VOLATILITY, Chapman & Hall / CRC, 527- 548, (2009) "Forecasting Default Probabilit y without Accounting Data: Evidence from Russia" Int ernat ional Journal of Risk Assessment and Management , 1(1/2), 138- 163,(2009) "Default Forecasting for Small- Medium Enterprises: Does Heterogeneity Matter?" (with S. Figini ­ University of Pavia) Comput at ional St at ist ics and Dat a Analysis, 53(6), 2168- 2188, (2009) "The Effects of Misspecified Margina ls and Copulas on Computing the Value at Risk: A Monte Carlo Study" OPERATIONAL RISK TOWARD BASEL III: BEST PRACTICES AND ISSUES IN MODELING, MANAGEMENT, AND REGULATION , Wiley, 197- 216, (2009) "Multivariate Models for Operational Risk: A Copula Approach using Extreme Value Theory and Poisson Shock Mod els" (with O. Rachedi, Cass Business School, London) Met hodology and Comput ing in Applied Probabilit y , 11(1), 29- 45 (2009) "Random Survival Forest models for SME Credit Risk Measurement " (with S. Figini­ Univers it y of Pavia). (i.e. Applied Economet rics) 4(12), 84- 137, (2008) " " (i.e Credit Risk Management - Part 1)


(i.e. Applied Economet rics) 3(11), 87- 122, (2008) " " (i.e O perational Risk Manageme nt ) (i.e. Applied Economet rics) 2(10), 91- 137 (2008) " " (i.e. Econometric analysis of financial data for financ ia l risk manage me nt) Comput at ional Economics, 31(2), 161- 180, (2008) "A New Approach for Firm Value and Default Probability Estimation beyond Merton Models", (with E. DeGiuli and M. Maggi ­ University of Pavia) Front iers in Finance and Economics, 5(2), 72- 108, (2008) "Dyna mic Copulas for Value at Risk". Int ernat ional Journal of Risk Assessment and Management , 9(3), 238- 257,(2008) "Copulae and Operat ional Risk s" (with L. Dalla Valle ­ Univers it y of Milan, P. Giudic i Univers it y of Pavia) (in) Operat ional Risk : A Guide t o Basel II Capit al Requirement s, Models, and Analysis, (Frank J. Fabozzi Series), Wiley, p. 274- 277, (2007) "Empirical Studies with Operational Loss Data: DallaValle, Fantazzini and Giudici Study" (with L. Dalla Valle ­ University of Milan, P. Giudici Univers it y of Pavia) European Rev iew of Agricult ural Economics, 34 (1), 129- 131, (2007) "Leaves and Cigarettes: Modelling the Tobacco Industry (With applicatio ns to Italy and Greece)" , Book Review by Kenneth J. Thomson. Agribusiness, Landscape and Env ironment al Man agement , 10(2),1- 13,(2007) "Evidence from a TimeChanging Regulated Agricult ura l Market: The Italian Tobacco Industry" (with F. Ferretti ­ Univers it y of Modena and Reggio Emilia). (in) S.Co 2005, (edited by C.Provasi), page 215 - 220, September 2005 "The econometric modelling of copulas: A review with extensio ns " Journal of t he It alian Societ y f or Financial Risk Management (AIFIRM) , 2, 2- 10, (2005) "Modelli Multivariati per la Gestione dei Rischi Operativi: L'approccio delle Copulae" (i.e. "Multivariate models for Operational Risks Management: The Copulae approach", with L. Dalla Valle ­ University of Milan, P. Giudic i Univers it y of Pavia) Capit al Mark et Not es, Research Department ­ Banca Intesa March (2002) "Investment grade financial corporate bonds: Term structure estimatio n and relative value" (with E. Bernini ­ Banca Intesa)


Credit mark et st rat egies, Research Department ­ Banca Intesa, November (2001) "Term structure estimat io n and relative value for European financ ia l names" (with E. Bernini ­ Banca Intesa) Collana Ricerche, St udi e Analisi Finanziaria ­ Banca Intesa, September 2001 "Funzioni spline per la stima di strutture a termine: il caso dei corporate spread finanziari", (i.e., "Spline functions for term structure estimat io n: The case of financ ia l corporate spreads"), (with E. Bernini)

PUBLICATIONS: BOOKS
.: (i.e. Economist), 2010, in press, : (i.e Methods of Econometrics) 1: ( ), [i.e. Vol 1: Basic Course, Author: Sergei A. Aivazian] 2: ( , ). [i.e. Vol 2.: Advanced Course, Author: Sergei A. Aivazia n and Dean Fantazzini] Franco Angeli (Milan, November 2005) "Leav es and Cigaret t es: Modelling t he Tobacco Indust ry " (with F. Arfini ­ University of Parma, F. Ferretti University of Modena and Reggio Emilia, K. Mattas Univers it y of Thessalonik i) Listed on SSRN's Top Ten download list for "ANRES: Other (Topic)"a nd "European Economic s : Agricult ure, Natural Resources & Enviro nme nta l Studies". Digital University Press (Bologna, November 2004) "Financial Mark et s Microst ruct ure and High Frequency Dat a: Theoret ical issues, St ylized Fact s and Economet ric Tools "