Daniele Massacci : Citation Profile

King's College London

4

H index

2

i10 index

71

Citations

RESEARCH PRODUCTION:

9

Articles

2

Papers

RESEARCH ACTIVITY:

   9 years (2012 - 2021). See details.
   Cites by year: 7
   Journals where Daniele Massacci has often published
   Relations with other researchers
   Recent citing documents: 12.    Total self citations: 4 (5.33 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pma1104
   Updated: 2025-04-12    RAS profile: 2025-01-14    
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Relations with other researchers

Works with:

Giovannelli, Alessandro (2)

Soccorsi, Stefano (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Daniele Massacci.

Is cited by:

Barigozzi, Matteo (8)

Hallin, Marc (6)

Trucíos, Carlos (5)

Valls Pereira, Pedro (5)

Hotta, Luiz (5)

Lucas, Andre (4)

Trapani, Lorenzo (3)

Trapani, Lorenzo (3)

Fan, Jianqing (2)

Leppin, Julian (2)

Perron, Pierre (2)

Cites to:

Hallin, Marc (17)

Timmermann, Allan (17)

Lippi, Marco (17)

Forni, Mario (15)

Diebold, Francis (14)

Ng, Serena (10)

Hansen, Bruce (10)

Watson, Mark (9)

Bollerslev, Tim (8)

Reichlin, Lucrezia (8)

Perez Quiros, Gabriel (7)

Main data

Production by document typearticlepaper20122013201420152016201720182019202020210123Documents Highcharts.comExport to raster or vector imagePrint the chart
Cumulative documents published2012201320142015201620172018201920202021051015Documents Highcharts.comExport to raster or vector imagePrint the chart

Citations received20142015201620172018201920202021202220232024202505101520Citations Highcharts.comExport to raster or vector imagePrint the chart
Citations by production year2013201420152016201720182019202020210255075Citations Highcharts.comExport to raster or vector imagePrint the chart

H-Index: 4Most cited documents1234560102030Number of citations Highcharts.comExport to raster or vector imagePrint the chart
H-Index evolution2013082013092013102013112013122014012014022014032014042014052014062014072014082014092014102014112014122015012015022015032015042015052015062015072015082015092015102015112015122016012016022016032016042016052016062016072016082016092016102016112016122017012017022017032017042017052017062017072017082017092017102017112017122018012018022018032018042018052018062018072018082018092018102018112018122019012019022019032019042019052019062019072019082019092019102019112019122020012020022020032020042020052020062020072020082020092020102020112020122021012021022021032021042021052021062021072021082021092021102021112021122022012022022022032022042022052022062022072022082022092022102022112022122023012023022023032023042023052023062023072023082023092023102023112023122024012024022024032024042024052024062024072024082024092024102024112024122025012025022025032025040246h-index Highcharts.comExport to raster or vector imagePrint the chart

Where Daniele Massacci has published?

Journals with more than one article published# docs
Economics Letters3

Recent works citing Daniele Massacci (2025 and 2024)

Year  ↓Title of citing document  ↓
2025Dynamic Co-Quantile Regression. (2022). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275.

Full description at Econpapers || Download paper

2024Modelling 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

2024Predictive ability tests with possibly overlapping models. (2024). Gutknecht, Daniel ; Fosten, Jack ; Corradi, Valentina. In: Journal of Econometrics. RePEc:eee:econom:v:241:y:2024:i:1:s0304407624000629.

Full description at Econpapers || Download paper

2024Modeling Turning Points in the Global Equity Market. (2024). Casarin, Roberto ; Billio, Monica ; Ahelegbey, Daniel Felix. In: Econometrics and Statistics. RePEc:eee:ecosta:v:30:y:2024:i:c:p:60-75.

Full description at Econpapers || Download paper

2024Forecasting in factor augmented regressions under structural change. (2024). Kapetanios, George ; Massacci, Daniele. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:1:p:62-76.

Full description at Econpapers || Download paper

2024Adaptive Robust Large Volatility Matrix Estimation Based on High-Frequency Financial Data. (2024). Fan, Jianqing ; Shin, Minseok ; Kim, Donggyu. In: Working Papers. RePEc:ucr:wpaper:202419.

Full description at Econpapers || Download paper

Works by Daniele Massacci:

Year  ↓Title  ↓Type  ↓Cited  ↓
2019Unstable Diffusion Indexes: With an Application to Bond Risk Premia In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article2
2018Liquidity resilience in the UK gilt futures market: evidence from the order book In: Bank of England working papers.
[Full Text][Citation analysis]		paper0
2014A two-regime threshold model with conditional skewed Student t distributions for stock returns In: Economic Modelling.
[Full Text][Citation analysis]		article1
2012A simple test for linearity against exponential smooth transition models with endogenous variables In: Economics Letters.
[Full Text][Citation analysis]		article0
2013A switching model with flexible threshold variable: With an application to nonlinear dynamics in stock returns In: Economics Letters.
[Full Text][Citation analysis]		article2
2013A variable addition test for exogeneity in structural threshold models In: Economics Letters.
[Full Text][Citation analysis]		article0
2017Least squares estimation of large dimensional threshold factor models In: Journal of Econometrics.
[Full Text][Citation analysis]		article28
2021Forecasting stock returns with large dimensional factor models In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article8
2020Forecasting Stock Returns with Large Dimensional Factor Models.(2020) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 8		paper
2017Tail Risk Dynamics in Stock Returns: Links to the Macroeconomy and Global Markets Connectedness In: Management Science.
[Full Text][Citation analysis]		article26
2015Predicting the Distribution of Stock Returns: Model Formulation, Statistical Evaluation, VaR Analysis and Economic Significance In: Journal of Forecasting.
[Full Text][Citation analysis]		article4

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated February, 4 2025. Contact: CitEc Team