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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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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
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A switching model with flexible threshold variable : with an application to nonlinear dynamics in stock returns
Massacci, Daniele - In: Economics letters 119 (2013) 2, pp. 199-203
Persistent link: https://www.econbiz.de/10009745760
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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
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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
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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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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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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
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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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Instability of factor strength in asset returns
Massacci, Daniele - 2023
Persistent link: https://www.econbiz.de/10014420287