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D

Daniele Massacci

university of london

7H-index
43Paper Count
252Citation Count
Published Papers 7
Publication Date
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High Dimensional Threshold Factor Models with Common Stochastic Trends
errJOURNAL OF BUSINESS & ECONOMIC STATISTICS
IF2.5
err2026-02-01
err0
PREAI
errMassacci, Daniele; Trapani, Lorenzo
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Factor Models of Asset Returns and Bear Market Risk
errMANAGEMENT SCIENCE
IF4.9
err2025-11-01
err0
PREAI
errMassacci, Daniele; Sarno, Lucio; Trapani, Lorenzo
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errSave
Instability of Factor Strength in Asset Returns
errJOURNAL OF BUSINESS & ECONOMIC STATISTICS
IF2.5
err2025-02-03
err0
PREAI
errDaniele Massacci
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Forecasting in factor augmented regressions under structural change
errINTERNATIONAL JOURNAL OF FORECASTING
IF7.1
err2024-01-01
err0
PREAI
errMassacci, Daniele; Kapetanios, George
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errSave
Least squares estimation of large dimensional threshold factor models
errJOURNAL OF ECONOMETRICS
IF4
err2017-03-01
err21
errOAAI
errMassacci, Daniele
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errSave
Predicting the Distribution of Stock Returns: Model Formulation, Statistical Evaluation, VaR Analysis and Economic Significance
errJOURNAL OF FORECASTING
IF2.7
err2015-02-24
err10
PREAI
errMassacci, Daniele
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errSave
A two-regime threshold model with conditional skewed Student t distributions for stock returns
errECONOMIC MODELLING
IF4.7
err2014-12-01
err4
PREAI
errMassacci, Daniele
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errSave

Research Directions

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Co-authors
Cooperation Journals
L
Lucio Sarno
H-index: 61 · Papers: 265
G
George Kapetanios
H-index: 44 · Papers: 421
L
Lorenzo Trapani
H-index: 14 · Papers: 103
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