Daniele Massacci

Tail Risk Dynamics in Stock Returns: Links to the Macroeconomy and Global Markets Connectedness

Daniele Massacci, D. Massacci, 2016, Manag. Sci..

Systematic Comovement in Threshold Group-Factor Models

Daniele Massacci, Mirco Rubin, Dario Ruzzi, 2021 .

Forecasting stock returns with large dimensional factor models

Daniele Massacci, Alessandro Giovannelli, Stefano Soccorsi, 2021 .

Least Squares Estimation of Large Dimensional Threshold Factor Models

Daniele Massacci, 2016 .

Predicting the Distribution of Stock Returns: Model Formulation, Statistical Evaluation, VaR Analysis and Economic Significance

Daniele Massacci, D. Massacci, 2015 .

Predicting the Distribution of Stock Returns: Model Formulation, Statistical Evaluation, VaR Analysis and Economic Significance: Predicting the Distribution of Stock Returns

Daniele Massacci, D. Massacci, 2015 .