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Massacci, Daniele
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Identification and estimation in an incoherent model of contagion
Massacci, Daniele
(
contributor
)
-
2007
Persistent link: https://www.econbiz.de/10003535851
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2
Predicting the distribution of stock returns : model formulation, statistical evaluation, VaR analysis and economic significance
Massacci, Daniele
- In:
Journal of forecasting
34
(
2015
)
3
,
pp. 191-208
Persistent link: https://www.econbiz.de/10011305266
Saved in:
3
A variable addition test for exogeneity in structural threshold models
Massacci, Daniele
- In:
Economics letters
120
(
2013
)
1
,
pp. 5-9
Persistent link: https://www.econbiz.de/10009760511
Saved in:
4
A two-regime threshold model with conditional skewed Student t distributions for stock returns
Massacci, Daniele
- In:
Economic modelling
43
(
2014
),
pp. 9-20
Persistent link: https://www.econbiz.de/10010500997
Saved in:
5
A simple test for linearity against exponential smooth transition models with endogenous variables
Massacci, Daniele
- In:
Economics letters
117
(
2012
)
3
,
pp. 851-856
Persistent link: https://www.econbiz.de/10009682577
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6
Tail risk dynamics in stock returns : links to the macroeconomy and global markets connectedness
Massacci, Daniele
- In:
Management science : journal of the Institute for …
63
(
2017
)
9
,
pp. 3072-3089
Persistent link: https://www.econbiz.de/10011749024
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7
Least squares estimation of large dimensional threshold factor models
Massacci, Daniele
- In:
Journal of econometrics
197
(
2017
)
1
,
pp. 101-129
Persistent link: https://www.econbiz.de/10011818348
Saved in:
8
Testing for regime changes in portfolios with a large number of assets : a robust approach to factor heteroskedasticity
Massacci, Daniele
- In:
Journal of financial econometrics
21
(
2023
)
2
,
pp. 316-367
Persistent link: https://www.econbiz.de/10014314751
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9
Instability of factor strength in asset returns
Massacci, Daniele
-
2023
Persistent link: https://www.econbiz.de/10014420287
Saved in:
10
Unstable Diffusion Indexes: With an Application to Bond Risk Premia
Massacci, Daniele
- In:
Oxford Bulletin of Economics and Statistics
(
2019
)
Persistent link: https://www.econbiz.de/10012095513
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