Access Statistics for Daniele Massacci

Author contact details at EconPapers.

Working Paper	File Downloads				Abstract Views
Working Paper	Last month	3 months	12 months	Total	Last month	3 months	12 months	Total
Forecasting Stock Returns with Large Dimensional Factor Models	0	0	1	37	1	1	3	59
Liquidity resilience in the UK gilt futures market: evidence from the order book	0	0	0	10	0	1	4	73
Total Working Papers	0	0	1	47	1	2	7	132

Journal Article	File Downloads				Abstract Views
Journal Article	Last month	3 months	12 months	Total	Last month	3 months	12 months	Total
A simple test for linearity against exponential smooth transition models with endogenous variables	0	0	0	16	0	0	1	65
A switching model with flexible threshold variable: With an application to nonlinear dynamics in stock returns	0	0	0	20	1	1	1	79
A two-regime threshold model with conditional skewed Student t distributions for stock returns	0	0	0	10	0	0	2	45
A variable addition test for exogeneity in structural threshold models	0	0	0	13	0	0	0	58
Forecasting stock returns with large dimensional factor models	1	1	3	13	1	1	9	41
Least squares estimation of large dimensional threshold factor models	0	1	2	42	0	2	14	158
Predicting the Distribution of Stock Returns: Model Formulation, Statistical Evaluation, VaR Analysis and Economic Significance	0	1	1	18	0	1	1	40
Tail Risk Dynamics in Stock Returns: Links to the Macroeconomy and Global Markets Connectedness	1	3	9	28	1	8	18	58
Unstable Diffusion Indexes: With an Application to Bond Risk Premia	0	0	0	9	1	1	1	189
Total Journal Articles	2	6	15	169	4	14	47	733

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Statistics updated 2025-03-03