Daniele Massacci : Citation Profile

King's College London

4

H index

3

i10 index

82

Citations

RESEARCH PRODUCTION:

9

Articles

2

Papers

RESEARCH ACTIVITY:

   9 years (2012 - 2021). See details.
   Cites by year: 9
   Journals where Daniele Massacci has often published
   Relations with other researchers
   Recent citing documents: 23.    Total self citations: 4 (4.65 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pma1104
   Updated: 2026-01-17    RAS profile: 2025-01-14    
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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 (9)

Hallin, Marc (6)

Hotta, Luiz (5)

Lucas, Andre (5)

Valls Pereira, Pedro (5)

Trucíos, Carlos (5)

Trapani, Lorenzo (3)

Trapani, Lorenzo (3)

Reitz, Stefan (2)

Zevallos, Mauricio (2)

Urga, Giovanni (2)

Cites to:

Timmermann, Allan (17)

Lippi, Marco (17)

Hallin, Marc (17)

Forni, Mario (15)

Diebold, Francis (14)

Hansen, Bruce (10)

Ng, Serena (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 (2025 and 2024)

YearTitle of citing document
2025Dynamic CoVaR Modeling and Estimation. (2025). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275.

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2024Modelling Large Dimensional Datasets with Markov Switching Factor Models. (2024). Barigozzi, Matteo ; Massacci, Daniele. In: Papers. RePEc:arx:papers:2210.09828.

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2025On Estimation and Inference of Large Approximate Dynamic Factor Models via the Principal Component Analysis. (2023). Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2211.01921.

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2024Improving Estimation of Portfolio Risk Using New Statistical Factors. (2024). Tsay, Ruey ; Chen, Rong ; Guerard, John ; Liu, Xialu. In: Papers. RePEc:arx:papers:2409.17182.

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2025Extreme conditional tail risk inference in ARMA–GARCH models. (2025). Ma, Yaolan ; Wei, BO. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:177:y:2025:i:c:s0165188925000946.

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

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2024Estimation and inference for high dimensional factor model with regime switching. (2024). Urga, Giovanni ; Wang, FA. In: Journal of Econometrics. RePEc:eee:econom:v:241:y:2024:i:2:s0304407624000988.

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2025Modelling large dimensional datasets with Markov switching factor models. (2025). Barigozzi, Matteo ; Massacci, Daniele. In: Journal of Econometrics. RePEc:eee:econom:v:247:y:2025:i:c:s0304407624002707.

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2025When structural break meets threshold effect: Factor analysis under structural instabilities. (2025). Tu, Yundong ; Ma, Chenchen. In: Journal of Econometrics. RePEc:eee:econom:v:249:y:2025:i:pb:s0304407625000260.

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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.

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2024An empirical review of dynamic extreme value models for forecasting value at risk, expected shortfall and expectile. (2024). Herrera, Rodrigo ; Candia, Claudio. In: Journal of Empirical Finance. RePEc:eee:empfin:v:77:y:2024:i:c:s0927539824000239.

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2024Jump tail risk exposure and the cross-section of stock returns. (2024). Alexiou, Lykourgos ; Rompolis, Leonidas S. In: Journal of Empirical Finance. RePEc:eee:empfin:v:79:y:2024:i:c:s0927539824000999.

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2025Asymmetric tail risk spillover and co-movement between climate risk and the international energy market. (2025). Pham, Thu Phuong ; Adeabah, David. In: Energy Economics. RePEc:eee:eneeco:v:141:y:2025:i:c:s0140988324008314.

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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.

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2024Do market conditions affect interconnectedness pattern of socially responsible equities?. (2024). Anwer, Zaheer ; Naeem, Muhammad Abubakr ; Khan, Ashraf ; Paltrinieri, Andrea. In: International Review of Economics & Finance. RePEc:eee:reveco:v:93:y:2024:i:pa:p:611-630.

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2025How robust are financial connectedness networks? A network attack assessment. (2025). Cao, Yufei ; Zou, Yueming. In: Research in International Business and Finance. RePEc:eee:riibaf:v:76:y:2025:i:c:s0275531925000649.

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2025Joint extreme Value-at-Risk and Expected Shortfall dynamics with a single integrated tail shape parameter. (2025). Lucas, Andre ; Dinnocenzo, Enzo ; Zhang, Xin ; Schwaab, Bernd. In: Working Paper Series. RePEc:hhs:rbnkwp:0446.

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2025Improving estimation of portfolio risk using new statistical factors. (2025). Tsay, Ruey ; Chen, Rong ; Guerard, John ; Liu, Xialu. In: Annals of Operations Research. RePEc:spr:annopr:v:346:y:2025:i:1:d:10.1007_s10479-024-06307-8.

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2025Mixed frequency data and portfolio selection: A novel approach integrating DEA with mixed frequency data sources. (2025). Wang, Liukai ; Xiong, YU ; Liang, Shuhao. In: Annals of Operations Research. RePEc:spr:annopr:v:347:y:2025:i:3:d:10.1007_s10479-025-06529-4.

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2025Stock return forecasting based on the proxy variables of category factors. (2025). Zhao, Yuan ; Gong, Xue ; Zhang, Weiguo ; Xu, Weijun. In: Financial Innovation. RePEc:spr:fininn:v:11:y:2025:i:1:d:10.1186_s40854-025-00779-8.

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2024Joint extreme Value-at-Risk and Expected Shortfall dynamics with a single integrated tail shape parameter. (2024). Lucas, Andre ; D'Innocenzo, Enzo ; Zhang, Xin ; Schwaab, Bernd. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20240069.

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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.

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2024Regime‐dependent commodity price dynamics: A predictive analysis. (2024). Hlouskova, Jaroslava ; Obersteiner, Michael ; Fortin, Ines ; Cuaresma, Jesus Crespo. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:7:p:2822-2847.

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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]		article31
2021Forecasting stock returns with large dimensional factor models In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article10
2020Forecasting Stock Returns with Large Dimensional Factor Models.(2020) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 10		paper
2017Tail Risk Dynamics in Stock Returns: Links to the Macroeconomy and Global Markets Connectedness In: Management Science.
[Full Text][Citation analysis]		article32
2015Predicting the Distribution of Stock Returns: Model Formulation, Statistical Evaluation, VaR Analysis and Economic Significance In: Journal of Forecasting.
[Full Text][Citation analysis]		article4

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