Daniele Massacci : Citation Profile

Are you Daniele Massacci?

King's College London (60% share)
Centro Studi di Economia e Finanza (CSEF) (40% share)

4

H index

2

i10 index

70

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: 24.    Total self citations: 4 (5.41 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pma1104
   Updated: 2024-12-03    RAS profile: 2022-11-17    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

Soccorsi, Stefano (2)

Giovannelli, Alessandro (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)

Hotta, Luiz (5)

Trucíos, Carlos (5)

Valls Pereira, Pedro (5)

Trapani, Lorenzo (3)

Trapani, Lorenzo (3)

Lucas, Andre (3)

Leppin, Julian (2)

Schwaab, Bernd (2)

Baltagi, Badi (2)

Cites to:

Lippi, Marco (17)

Hallin, Marc (17)

Timmermann, Allan (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

Where Daniele Massacci has published?

Journals with more than one article published# docs
Economics Letters3

Recent works citing Daniele Massacci (2024 and 2023)

YearTitle of citing document
2023Estimation 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

2024Dynamic 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

2023On 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

2023Measuring 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

2023Anticipating 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

2023Determining the number of change-points in high-dimensional factor models by cross-validation with matrix completion. (2023). Wu, Jianhong ; Zhou, Ruichao. In: Economics Letters. RePEc:eee:ecolet:v:232:y:2023:i:c:s0165176523003750.

Full description at Econpapers || Download paper

2023Group 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

2023Shrinkage 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

2023Adaptive robust large volatility matrix estimation based on high-frequency financial data. (2023). Fan, Jianqing ; Kim, Donggyu ; Shin, Minseok. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:1:s0304407623002300.

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

2023Tail risk in the Chinese stock market: An AEV model on the maximal drawdowns. (2023). Song, Yuping ; Hou, Weijie ; Feng, Yun. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pa:s1544612323006669.

Full description at Econpapers || Download paper

2023European bank credit risk transmission during the credit Suisse collapse. (2023). Bouri, Elie ; Foglia, Matteo ; Nekhili, Ramzi. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pb:s1544612323008243.

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

2023A 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

2023Estimation 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

2023A 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

2023Consistency, 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

Works by Daniele Massacci:

YearTitleTypeCited
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]		article25
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 November, 3 2024. Contact: CitEc Team