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Massacci, Daniele
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1

Forecasting in factor augmented regressions under structura..:

Massacci, Daniele ; Kapetanios, George
International Journal of Forecasting.  40 (2024)  1 - p. 62-76 , 2024
Link: https://doi.org/10.1016/..
 
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2

Forecasting stock returns with large dimensional factor mod..:

Giovannelli, Alessandro ; Massacci, Daniele ; Soccorsi, Stefano
Journal of Empirical Finance.  63 (2021)  - p. 252-269 , 2021
Link: https://doi.org/10.1016/..
 
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3

Testing for Regime Changes in Portfolios with a Large Numbe..:

Massacci, Daniele
Journal of Financial Econometrics.  21 (2021)  2 - p. 316-367 , 2021
Link: https://doi.org/10.1093/..
 
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4

Unstable Diffusion Indexes: With an Application to Bond Ris..:

Massacci, Daniele
Oxford Bulletin of Economics and Statistics.  81 (2019)  6 - p. 1376-1400 , 2019
Link: https://doi.org/10.1111/..
 
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5

Tail risk dynamics in stock returns 

, In: Management science
links to the macroeconomy and global markets connectedness 
Massacci, Daniele. (2017)  9 - p. 3072-3089
Copies: Zentrale;
 
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6

Tail Risk Dynamics in Stock Returns: Links to the Macroecon..:

Massacci, Daniele
Management Science.  63 (2017)  9 - p. 3072-3089 , 2017
Link: https://doi.org/10.1287/..
 
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7

Tail Risk Dynamics in Stock Returns: Links to the Macroecon..:

Massacci, Daniele
Management Science.  63 (2017)  9 - p. 3072-3089 , 2017
Link: https://www.jstor.org/st..
 
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8

Least squares estimation of large dimensional threshold fac..:

Massacci, Daniele
Journal of Econometrics.  197 (2017)  1 - p. 101-129 , 2017
Link: https://doi.org/10.1016/..
 
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9

Predicting the Distribution of Stock Returns: Model Formula..:

Massacci, Daniele
Journal of Forecasting.  34 (2015)  3 - p. 191-208 , 2015
Link: https://doi.org/10.1002/..
 
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10

A two-regime threshold model with conditional skewed Studen..:

Massacci, Daniele
Economic Modelling.  43 (2014)  - p. 9-20 , 2014
Link: https://doi.org/10.1016/..
 
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11

A switching model with flexible threshold variable: With an..:

Massacci, Daniele
Economics Letters.  119 (2013)  2 - p. 199-203 , 2013
Link: https://doi.org/10.1016/..
 
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12

A variable addition test for exogeneity in structural thres..:

Massacci, Daniele
Economics Letters.  120 (2013)  1 - p. 5-9 , 2013
Link: https://doi.org/10.1016/..
 
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13

A simple test for linearity against exponential smooth tran..:

Massacci, Daniele
Economics Letters.  117 (2012)  3 - p. 851-856 , 2012
Link: https://doi.org/10.1016/..
 
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14

Modelling Large Dimensional Datasets with Markov Switching ..:

Barigozzi, Matteo ; Massacci, Daniele
http://arxiv.org/abs/2210.09828.  , 2022
Link: http://arxiv.org/abs/221..
 
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15

Forecasting stock returns with large dimensional factor mod..:

Giovannelli, Alessandro ; Massacci, Daniele ; Soccorsi, Stefano
https://eprints.lancs.ac.uk/id/eprint/158242/1/GMS2021_JEF_Revision_DM_AG_SS_rev_AG_June152021_app.pdf.  , 2021
Link: https://eprints.lancs.ac..
 
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