Tail Risk Dynamics in Stock Returns: Links to the Macroeconomy and Global Markets Connectedness D Massacci Management Science, 2016 | 79 | 2016 |
Least squares estimation of large dimensional threshold factor models D Massacci Journal of Econometrics 197 (1), 101-129, 2017 | 38 | 2017 |
Forecasting stock returns with large dimensional factor models A Giovannelli, D Massacci, S Soccorsi Journal of Empirical Finance 63, 252-269, 2021 | 23 | 2021 |
Crypto risk premia N Borri, D Massacci, M Rubin, D Ruzzi Available at SSRN 4154627, 2022 | 20 | 2022 |
Cambridge working papers in economics MH Pesaran, Y Shin Fac Econ Univ Cambridge, 2004 | 20 | 2004 |
A two-regime threshold model with conditional skewed Student t distributions for stock returns D Massacci Economic Modelling 43, 9-20, 2014 | 13 | 2014 |
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 | 12 | 2015 |
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 | 10 | 2023 |
Factor models with downside risk D Massacci, L Sarno, L Trapani Available at SSRN 3937321, 2021 | 10 | 2021 |
Unstable diffusion indexes: With an application to bond risk premia D Massacci Oxford Bulletin of Economics and Statistics 81 (6), 1376-1400, 2019 | 4 | 2019 |
High dimensional threshold regression with common stochastic trends D Massacci, L Trapani Available at SSRN 4133488, 2022 | 3 | 2022 |
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 | 3 | 2013 |
A simple test for linearity against exponential smooth transition models with endogenous variables D Massacci Economics Letters 117 (3), 851-856, 2012 | 3 | 2012 |
Forecasting in factor augmented regressions under structural change D Massacci, G Kapetanios International Journal of Forecasting 40 (1), 62-76, 2024 | 2 | 2024 |
Modelling Large Dimensional Datasets with Markov Switching Factor Models M Barigozzi, D Massacci arXiv preprint arXiv:2210.09828, 2022 | 2 | 2022 |
An Asymptotically Smoothed Two $ Stage Nonlinear Least Squares Estimator for Threshold Regression Models with Endogenous Variables D Massacci University of Surrey, Guildford, 2010 | 2 | 2010 |
Instability of Factor Strength in Asset Returns D Massacci Available at SSRN 3967460, 2023 | 1 | 2023 |
Interpretable machine learning for asset pricing G Kapetanios, F Kempf, D Massacci Available at SSRN 4473746, 2023 | 1 | 2023 |
Liquidity resilience in the UK gilt futures market: evidence from the order book J Fullwood, D Massacci Bank of England Working Paper, 2018 | 1 | 2018 |
Multivariate Regime Switching Model with Flexible Threshold Variable D Massacci Available at SSRN 2377220, 2014 | 1 | 2014 |