Daniele Massacci

King's College London

Associate Professor (Senior Lecturer)

United Kingdom

SCHOLARLY PAPERS

12

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7

CROSSREF CITATIONS

4

Scholarly Papers (12)

1.

Forecasting Stock Returns with Large Dimensional Factor Models

Number of pages: 46 Posted: 26 Apr 2017 Last Revised: 02 Apr 2018
University of Rome Tor Vergata, King's College London and Department of Economics, Lancaster University Management School
Downloads 358 (89,132)
Citation 4

Abstract:

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Stock Returns Forecasting, Factor Model, Large Data Sets, Forecast Evaluation.

2.

Tail Risk Dynamics in Stock Returns: Links to the Macroeconomy and Global Markets Connectedness

Number of pages: 47 Posted: 01 Nov 2014 Last Revised: 17 Apr 2017
Daniele Massacci
King's College London
Downloads 290 (112,476)
Citation 2

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Time-Varying Tail Risk, Score-Based Model, Stock Returns, Uncertainty, Tail Connectedness

3.

Least Squares Estimation of Large Dimensional Threshold Factor Models

Number of pages: 56 Posted: 29 Jul 2015 Last Revised: 17 Apr 2017
Daniele Massacci
King's College London
Downloads 177 (181,866)
Citation 2

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Large Threshold Factor Model, Least Squares Estimation, Model Selection, Linearity Testing, Connectedness

4.

Multivariate Regime Switching Model with Flexible Threshold Variable

Number of pages: 37 Posted: 16 Jan 2014 Last Revised: 08 Feb 2015
Daniele Massacci
King's College London
Downloads 115 (257,171)
Citation 1

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Multivariate Threshold Model, Flexible Threshold Variable, Regime-Specific Cross-Sectional Dependence, Stock Returns

5.

Predicting the Distribution of Stock Returns: Model Formulation, Statistical Evaluation, VaR Analysis and Economic Significance

Number of pages: 32 Posted: 08 May 2013 Last Revised: 19 Apr 2017
Daniele Massacci
King's College London
Downloads 114 (258,732)
Citation 1

Abstract:

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Stock Returns, Density Forecast, Evaluation Criterion, Forecast Combination

6.

Testing for Regime Changes in Portfolios with a Large Number of Assets: A Robust Approach to Factor Heteroskedasticity

Number of pages: 45 Posted: 06 Nov 2017 Last Revised: 14 Oct 2019
Daniele Massacci
King's College London
Downloads 110 (265,328)

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Large Factor Model, Portfolio Choice, Threshold Model, Linearity Testing, Principal Component Analysis

7.

A Two-Regime Threshold Model with Conditional Skewed Student t Distributions for Stock Returns

Number of pages: 25 Posted: 06 Feb 2013 Last Revised: 19 Apr 2017
Daniele Massacci
King's College London
Downloads 67 (360,087)

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Threshold Model, Skewed Student t Distribution, Stock Returns, Value at Risk

8.

Unstable Diffusion Indexes: With an Application to Bond Risk Premia

Number of pages: 54 Posted: 02 Aug 2016 Last Revised: 28 Jun 2019
Daniele Massacci
King's College London
Downloads 57 (390,446)
Citation 1

Abstract:

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Large Factor Model, Factor Augmented Regression, Structural Break, Bond Risk Premia.

9.

A Simple Test for Linearity Against Exponential Smooth Transition Models with Endogenous Variables

Number of pages: 10 Posted: 17 Oct 2011 Last Revised: 19 Apr 2017
Daniele Massacci
King's College London
Downloads 41 (448,694)

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Exponential Smooth Transition Model, Endogeneity, Linearity Test.

10.

A Switching Model with Flexible Threshold Variable: With an Application to Nonlinear Dynamics in Stock Returns

Number of pages: 10 Posted: 17 Nov 2012 Last Revised: 19 Apr 2017
Daniele Massacci
King's College London
Downloads 32 (488,555)
Citation 1

Abstract:

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Threshold Model, Flexible Threshold Variable, Stock Returns

11.

A Variable Addition Test for Exogeneity in Structural Threshold Models

Number of pages: 11 Posted: 06 Nov 2012 Last Revised: 19 Apr 2017
Daniele Massacci
King's College London
Downloads 26 (520,347)

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threshold regression model, endogeneity, exogeneity test, variable addition test

12.

Liquidity Resilience in the UK Gilt Futures Market: Evidence from the Order Book

Bank of England Working Paper No. 744
Number of pages: 42 Posted: 14 Aug 2018
Jonathan Fullwood and Daniele Massacci
Bank of England and King's College London
Downloads 17 (575,585)

Abstract:

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Gilt Future, Liquidity, Order Book, Resilience