4
H index
2
i10 index
56
Citations
King's College London (60% share) | 4 H index 2 i10 index 56 Citations RESEARCH PRODUCTION: 9 Articles 2 Papers RESEARCH ACTIVITY: 9 years (2012 - 2021). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/pma1104 |
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Daniele Massacci. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Economics Letters | 3 |
Year | Title of citing document |
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2023 | Estimation and Inference for High Dimensional Factor Model with Regime Switching. (2022). Wang, FA ; Urga, Giovanni. In: Papers. RePEc:arx:papers:2205.12126. Full description at Econpapers || Download paper |
2023 | Dynamic Co-Quantile Regression. (2022). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275. Full description at Econpapers || Download paper |
2023 | Modelling Large Dimensional Datasets with Markov Switching Factor Models. (2022). Massacci, Daniele ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2210.09828. Full description at Econpapers || Download paper |
2023 | On Estimation and Inference of Large Approximate Dynamic Factor Models via the Principal Component Analysis. (2022). Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2211.01921. Full description at Econpapers || Download paper |
2023 | Measuring tail risk at high-frequency: An $L_1$-regularized extreme value regression approach with unit-root predictors. (2023). Trapin, Luca ; Sun, LI ; Hambuckers, Julien. In: Papers. RePEc:arx:papers:2301.01362. Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | Anticipating extreme losses using score-driven shape filters. (2023). Blazsek, Szabolcs ; Alvaro, Escribano ; Szabolcs, Blazsek ; Astrid, Ayala. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:27:y:2023:i:4:p:449-484:n:1. Full description at Econpapers || Download paper |
2023 | Group fused Lasso for large factor models with multiple structural breaks. (2023). Tu, Yundong ; Ma, Chenchen. In: Journal of Econometrics. RePEc:eee:econom:v:233:y:2023:i:1:p:132-154. Full description at Econpapers || Download paper |
2023 | Shrinkage estimation of multiple threshold factor models. (2023). Tu, Yundong ; Ma, Chenchen. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1876-1892. Full description at Econpapers || Download paper |
2023 | A method for predicting VaR by aggregating generalized distributions driven by the dynamic conditional score. (2023). Li, Handong ; Song, Shijia. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:88:y:2023:i:c:p:203-214. Full description at Econpapers || Download paper |
2023 | Estimation and Inference for High Dimensional Factor Model with Regime Switching. (2023). Wang, FA ; Urga, Giovanni. In: MPRA Paper. RePEc:pra:mprapa:117012. Full description at Econpapers || Download paper |
2023 | A new hybrid method with data-characteristic-driven analysis for artificial intelligence and robotics index return forecasting. (2023). GUPTA, RANGAN ; Zhang, Han. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-023-00483-5. Full description at Econpapers || Download paper |
2023 | Consistency, distributional convergence, and optimality of score-driven filters. (2023). Lucas, Andre ; Lin, Yicong ; Beutner, Eric A. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20230051. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2019 | Unstable Diffusion Indexes: With an Application to Bond Risk Premia In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 0 |
2018 | Liquidity resilience in the UK gilt futures market: evidence from the order book In: Bank of England working papers. [Full Text][Citation analysis] | paper | 0 |
2014 | A two-regime threshold model with conditional skewed Student t distributions for stock returns In: Economic Modelling. [Full Text][Citation analysis] | article | 1 |
2012 | A simple test for linearity against exponential smooth transition models with endogenous variables In: Economics Letters. [Full Text][Citation analysis] | article | 0 |
2013 | A switching model with flexible threshold variable: With an application to nonlinear dynamics in stock returns In: Economics Letters. [Full Text][Citation analysis] | article | 2 |
2013 | A variable addition test for exogeneity in structural threshold models In: Economics Letters. [Full Text][Citation analysis] | article | 0 |
2017 | Least squares estimation of large dimensional threshold factor models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 23 |
2021 | Forecasting stock returns with large dimensional factor models In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 7 |
2020 | Forecasting Stock Returns with Large Dimensional Factor Models.(2020) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
2017 | Tail Risk Dynamics in Stock Returns: Links to the Macroeconomy and Global Markets Connectedness In: Management Science. [Full Text][Citation analysis] | article | 19 |
2015 | Predicting the Distribution of Stock Returns: Model Formulation, Statistical Evaluation, VaR Analysis and Economic Significance In: Journal of Forecasting. [Full Text][Citation analysis] | article | 4 |
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