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	38	2	3	8	66
Liquidity resilience in the UK gilt futures market: evidence from the order book	0	0	1	11	3	10	15	88
Total Working Papers	0	0	2	49	5	13	23	154

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	1	1	66
A switching model with flexible threshold variable: With an application to nonlinear dynamics in stock returns	0	0	0	20	3	5	8	86
A two-regime threshold model with conditional skewed Student t distributions for stock returns	0	0	0	10	3	3	7	52
A variable addition test for exogeneity in structural threshold models	0	0	0	13	2	2	3	61
Forecasting stock returns with large dimensional factor models	0	0	3	15	2	6	12	52
Least squares estimation of large dimensional threshold factor models	0	0	2	43	0	3	10	166
Predicting the Distribution of Stock Returns: Model Formulation, Statistical Evaluation, VaR Analysis and Economic Significance	0	0	1	18	1	1	3	42
Tail Risk Dynamics in Stock Returns: Links to the Macroeconomy and Global Markets Connectedness	0	0	3	30	1	7	14	70
Unstable Diffusion Indexes: With an Application to Bond Risk Premia	0	0	0	9	1	1	4	192
Total Journal Articles	0	0	9	174	13	29	62	787

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Statistics updated 2026-01-09