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Massacci, Daniele's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
212 |
Total
Citations
3 |
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1.
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Massacci, Daniele
Einaudi Institute for Economics and Finance (EIEF)
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24 Feb 12
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Last Revised:
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03 Apr 12
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59
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1
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Threshold Model, Threshold Estimation, Asymptotic Normality, Statistical Inference, Stock Returns.
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2.
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Massacci, Daniele
Einaudi Institute for Economics and Finance (EIEF)
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06 Feb 13
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Last Revised:
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22 May 13
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33
(238,087)
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Threshold Model, Skewed Student t Distribution, Stock Returns, Value at Risk
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3.
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Massacci, Daniele
Einaudi Institute for Economics and Finance (EIEF)
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17 Oct 11
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Last Revised:
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10 Nov 11
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29
(246,109)
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1
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Exponential Smooth Transition Model, Endogeneity, Linearity Test
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4.
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Massacci, Daniele
Einaudi Institute for Economics and Finance (EIEF)
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07 Jul 12
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Last Revised:
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01 Aug 12
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27
(251,969)
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Stock Returns, Out-of-Sample Predictability, UK Market, Capitalisation Effects
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5.
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Massacci, Daniele
Einaudi Institute for Economics and Finance (EIEF)
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18
(285,987)
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Stock Returns, Density Forecast, Forecast Combination, Value at Risk, Risk Management
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6.
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Massacci, Daniele
Einaudi Institute for Economics and Finance (EIEF)
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17 Nov 12
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Last Revised:
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22 Jan 13
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18
(282,364)
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1
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Threshold Model, Flexible Threshold Variable, Stock Returns
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7.
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Massacci, Daniele
Einaudi Institute for Economics and Finance (EIEF)
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06 Nov 12
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Last Revised:
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11 Mar 13
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18
(282,364)
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threshold regression model, endogeneity, exogeneity test, variable addition test
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8.
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Massacci, Daniele
Einaudi Institute for Economics and Finance (EIEF)
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12 May 12
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Last Revised:
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06 Jun 12
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10
(310,502)
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Multivariate Threshold Model, Statistical Inference, Asymptotic Normality.
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