Daniele Massacci
Names
| first: |
Daniele |
| last: |
Massacci |
Identifer
Contact
Affiliations
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King's College London
/ Business School
Research profile
author of:
- Unstable Diffusion Indexes: With an Application to Bond Risk Premia (RePEc:bla:obuest:v:81:y:2019:i:6:p:1376-1400)
by Daniele Massacci - Liquidity resilience in the UK gilt futures market: evidence from the order book (RePEc:boe:boeewp:0744)
by Fullwood, Jonathan & Massacci, Daniele - A two-regime threshold model with conditional skewed Student t distributions for stock returns (RePEc:eee:ecmode:v:43:y:2014:i:c:p:9-20)
by Massacci, Daniele - A simple test for linearity against exponential smooth transition models with endogenous variables (RePEc:eee:ecolet:v:117:y:2012:i:3:p:851-856)
by Massacci, Daniele - A switching model with flexible threshold variable: With an application to nonlinear dynamics in stock returns (RePEc:eee:ecolet:v:119:y:2013:i:2:p:199-203)
by Massacci, Daniele - A variable addition test for exogeneity in structural threshold models (RePEc:eee:ecolet:v:120:y:2013:i:1:p:5-9)
by Massacci, Daniele - Least squares estimation of large dimensional threshold factor models (RePEc:eee:econom:v:197:y:2017:i:1:p:101-129)
by Massacci, Daniele - Forecasting stock returns with large dimensional factor models (RePEc:eee:empfin:v:63:y:2021:i:c:p:252-269)
by Giovannelli, Alessandro & Massacci, Daniele & Soccorsi, Stefano - Tail Risk Dynamics in Stock Returns: Links to the Macroeconomy and Global Markets Connectedness (RePEc:inm:ormnsc:v:63:y:2017:i:9:p:3072-3089)
by Daniele Massacci - Forecasting Stock Returns with Large Dimensional Factor Models (RePEc:lan:wpaper:305661169)
by Alessandro Giovannelli & Daniele Massacci & Stefano Soccorsi - Predicting the Distribution of Stock Returns: Model Formulation, Statistical Evaluation, VaR Analysis and Economic Significance (RePEc:wly:jforec:v:34:y:2015:i:3:p:191-208)
by Daniele Massacci