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	1	1	38	1	2	6	64
Liquidity resilience in the UK gilt futures market: evidence from the order book	0	0	1	11	7	8	13	85
Total Working Papers	0	1	2	49	8	10	19	149

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	1	1	1	66
A switching model with flexible threshold variable: With an application to nonlinear dynamics in stock returns	0	0	0	20	2	2	5	83
A two-regime threshold model with conditional skewed Student t distributions for stock returns	0	0	0	10	0	1	4	49
A variable addition test for exogeneity in structural threshold models	0	0	0	13	0	0	1	59
Forecasting stock returns with large dimensional factor models	0	1	3	15	2	6	10	50
Least squares estimation of large dimensional threshold factor models	0	1	2	43	0	4	10	166
Predicting the Distribution of Stock Returns: Model Formulation, Statistical Evaluation, VaR Analysis and Economic Significance	0	0	1	18	0	0	2	41
Tail Risk Dynamics in Stock Returns: Links to the Macroeconomy and Global Markets Connectedness	0	1	5	30	4	7	19	69
Unstable Diffusion Indexes: With an Application to Bond Risk Premia	0	0	0	9	0	0	3	191
Total Journal Articles	0	3	11	174	9	21	55	774

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Statistics updated 2025-12-06