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Daniele Massacci
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Cited by
Cited by
Year
Tail Risk Dynamics in Stock Returns: Links to the Macroeconomy and Global Markets Connectedness
D Massacci
Management Science, 2016
782016
Least squares estimation of large dimensional threshold factor models
D Massacci
Journal of Econometrics 197 (1), 101-129, 2017
382017
Forecasting stock returns with large dimensional factor models
A Giovannelli, D Massacci, S Soccorsi
Journal of Empirical Finance 63, 252-269, 2021
222021
Crypto risk premia
N Borri, D Massacci, M Rubin, D Ruzzi
Available at SSRN 4154627, 2022
192022
Cambridge working papers in economics
MH Pesaran, Y Shin
Fac Econ Univ Cambridge, 2004
192004
Predicting the distribution of stock returns: model formulation, statistical evaluation, VaR analysis and economic significance
D Massacci
Journal of Forecasting 34 (3), 191-208, 2015
122015
A two-regime threshold model with conditional skewed Student t distributions for stock returns
D Massacci
Economic Modelling 43, 9-20, 2014
112014
Testing for regime changes in portfolios with a large number of assets: A robust approach to factor heteroskedasticity
D Massacci
Journal of Financial Econometrics 21 (2), 316-367, 2023
102023
Factor models with downside risk
D Massacci, L Sarno, L Trapani
Available at SSRN 3937321, 2021
102021
Unstable diffusion indexes: With an application to bond risk premia
D Massacci
Oxford Bulletin of Economics and Statistics 81 (6), 1376-1400, 2019
42019
High dimensional threshold regression with common stochastic trends
D Massacci, L Trapani
Available at SSRN 4133488, 2022
32022
A switching model with flexible threshold variable: With an application to nonlinear dynamics in stock returns
D Massacci
Economics letters 119 (2), 199-203, 2013
32013
A simple test for linearity against exponential smooth transition models with endogenous variables
D Massacci
Economics Letters 117 (3), 851-856, 2012
32012
Forecasting in factor augmented regressions under structural change
D Massacci, G Kapetanios
International Journal of Forecasting 40 (1), 62-76, 2024
22024
Modelling Large Dimensional Datasets with Markov Switching Factor Models
M Barigozzi, D Massacci
arXiv preprint arXiv:2210.09828, 2022
22022
An Asymptotically Smoothed Two $ Stage Nonlinear Least Squares Estimator for Threshold Regression Models with Endogenous Variables
D Massacci
University of Surrey, Guildford, 2010
22010
Instability of Factor Strength in Asset Returns
D Massacci
Available at SSRN 3967460, 2023
12023
Interpretable machine learning for asset pricing
G Kapetanios, F Kempf, D Massacci
Available at SSRN 4473746, 2023
12023
Liquidity resilience in the UK gilt futures market: evidence from the order book
J Fullwood, D Massacci
Bank of England Working Paper, 2018
12018
Multivariate Regime Switching Model with Flexible Threshold Variable
D Massacci
Available at SSRN 2377220, 2014
12014
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