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	0	1	3	59
Liquidity resilience in the UK gilt futures market: evidence from the order book	0	0	0	10	0	0	3	73
Total Working Papers	0	0	1	47	0	1	6	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	0	65
A switching model with flexible threshold variable: With an application to nonlinear dynamics in stock returns	0	0	0	20	0	1	1	79
A two-regime threshold model with conditional skewed Student t distributions for stock returns	0	0	0	10	0	0	1	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	0	1	2	13	1	2	7	42
Least squares estimation of large dimensional threshold factor models	0	0	2	42	2	2	14	160
Predicting the Distribution of Stock Returns: Model Formulation, Statistical Evaluation, VaR Analysis and Economic Significance	0	0	1	18	0	0	1	40
Tail Risk Dynamics in Stock Returns: Links to the Macroeconomy and Global Markets Connectedness	0	1	7	28	1	3	17	60
Unstable Diffusion Indexes: With an Application to Bond Risk Premia	0	0	0	9	0	1	1	189
Total Journal Articles	0	2	12	169	4	9	42	738

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Statistics updated 2025-05-12