Details about Daniele Massacci

Access statistics for papers by Daniele Massacci.

Last updated 2025-01-14. Update your information in the RePEc Author Service.

Short-id: pma1104

Working Papers

2020

1. Forecasting Stock Returns with Large Dimensional Factor Models
   Working Papers, Lancaster University Management School, Economics Department View citations (5)
   See also Journal Article Forecasting stock returns with large dimensional factor models, Journal of Empirical Finance, Elsevier (2021) View citations (2) (2021)

2018

2. Liquidity resilience in the UK gilt futures market: evidence from the order book
   Bank of England working papers, Bank of England

Journal Articles

2021

1. Forecasting stock returns with large dimensional factor models
   Journal of Empirical Finance, 2021, 63, (C), 252-269 View citations (2)
   See also Working Paper Forecasting Stock Returns with Large Dimensional Factor Models, Working Papers (2020) View citations (5) (2020)

2019

2. Unstable Diffusion Indexes: With an Application to Bond Risk Premia
   Oxford Bulletin of Economics and Statistics, 2019, 81, (6), 1376-1400 View citations (2)

2017

3. Least squares estimation of large dimensional threshold factor models
   Journal of Econometrics, 2017, 197, (1), 101-129 View citations (28)
4. Tail Risk Dynamics in Stock Returns: Links to the Macroeconomy and Global Markets Connectedness
   Management Science, 2017, 63, (9), 3072-3089 View citations (24)

2015

5. Predicting the Distribution of Stock Returns: Model Formulation, Statistical Evaluation, VaR Analysis and Economic Significance
   Journal of Forecasting, 2015, 34, (3), 191-208 View citations (6)

2014

6. A two-regime threshold model with conditional skewed Student t distributions for stock returns
   Economic Modelling, 2014, 43, (C), 9-20 View citations (1)

2013

7. A switching model with flexible threshold variable: With an application to nonlinear dynamics in stock returns
   Economics Letters, 2013, 119, (2), 199-203 View citations (3)
8. A variable addition test for exogeneity in structural threshold models
   Economics Letters, 2013, 120, (1), 5-9

2012

9. A simple test for linearity against exponential smooth transition models with endogenous variables
   Economics Letters, 2012, 117, (3), 851-856 View citations (1)