Daniele Massacci

King's College London

Associate Professor (Senior Lecturer)

United Kingdom

SCHOLARLY PAPERS

16

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2,313

SSRN CITATIONS
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Top 35,987

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16

CROSSREF CITATIONS

6

Scholarly Papers (16)

1.

Forecasting Stock Returns with Large Dimensional Factor Models

Number of pages: 46 Posted: 26 Apr 2017 Last Revised: 14 Jul 2021
University of Rome Tor Vergata, King's College London and Department of Economics, Lancaster University Management School
Downloads 558 (64,509)
Citation 5

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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 334 (117,915)
Citation 5

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

3.

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

Number of pages: 59 Posted: 06 Nov 2017 Last Revised: 21 Oct 2020
Daniele Massacci
King's College London
Downloads 272 (146,416)

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

4.

Factor Models with Downside Risk

Number of pages: 106 Posted: 11 Oct 2021 Last Revised: 20 Oct 2021
Daniele Massacci, Lucio Sarno and Lorenzo Trapani
King's College London, University of Cambridge - Judge Business School and University of Nottingham - School of Economics
Downloads 261 (153,846)

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factor models, downside risk, risk premium, conditional asset pricing

5.

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 191 (205,229)
Citation 5

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

6.

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 125 (290,384)
Citation 1

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

7.

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 122 (295,590)
Citation 2

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Stock Returns, Density Forecast, Evaluation Criterion, Forecast Combination

8.

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 70 (419,273)

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

9.

Systematic Comovement in Threshold Group-Factor Models

Number of pages: 67 Posted: 18 May 2021 Last Revised: 15 Dec 2021
Daniele Massacci, Mirco Rubin and Dario Ruzzi
King's College London, EDHEC Business School and Bank of Italy
Downloads 69 (422,531)

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Comovement, Approximate Factor Model, Groups, Threshold, PCA

10.

Instability of Factor Strength in Asset Returns

Number of pages: 39 Posted: 13 Dec 2021
Daniele Massacci
King's College London
Downloads 65 (439,369)

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Factor strength, structural break, hypothesis testing, stock portfolios, multi-asset portfolios

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 65 (441,714)

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

Unstable Diffusion Indexes: With an Application to Bond Risk Premia

Oxford Bulletin of Economics and Statistics, Vol. 81, Issue 6, pp. 1376-1400, 2019
Number of pages: 25 Posted: 02 Jun 2020
Daniele Massacci
King's College London
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Citation 1
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12.

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 43 (523,695)

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Exponential Smooth Transition Model, Endogeneity, Linearity Test.

13.

Forecasting in Factor Augmented Regressions under Structural Change

Number of pages: 18 Posted: 02 Nov 2021
Daniele Massacci and George Kapetanios
King's College London and King's College, London
Downloads 39 (543,108)

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Factor Augmented Regression, Structural Instability, Out-of-Sample Forecasts, Estimation Window, Cross-Sectional Averages.

14.

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 39 (543,108)
Citation 1

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Threshold Model, Flexible Threshold Variable, Stock Returns

15.

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 33 (574,618)

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

16.

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 27 (610,221)

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Gilt Future, Liquidity, Order Book, Resilience