Concepedia
Statistics
Publications
7
Citations
200
H-Index
Active since
2015
Affiliations
King's College London(Current)
Bank of England
University of Naples Federico II
Centre for Studies in Economics and Finance
Daniele Massacci is an author at King's College London specializing in business, factor models, and finance.
Publications per year
2015–2022
Tail Risk Dynamics in Stock Returns: Links to the Macroeconomy and Global Markets Connectedness
Daniele Massacci · Management Science · 2016 · 87 citations · Full text
Business, Economics, Finance +17
Least squares estimation of large dimensional threshold factor models
Daniele Massacci · Journal of Econometrics · 2016 · 44 citations · Full text
Business, Biostatistics, Psychometrics +7
Predicting the Distribution of Stock Returns: Model Formulation, Statistical Evaluation, VaR Analysis and Economic Significance
Daniele Massacci · Journal of Forecasting · 2015 · 16 citations
Testing for Regime Changes in Portfolios with a Large Number of Assets: A Robust Approach to Factor Heteroskedasticity
Daniele Massacci · Journal of Financial Econometrics · 2020 · 16 citations
Forecasting Stock Returns with Large Dimensional Factor Models
Alessandro Giovannelli, Daniele Massacci, Stefano Soccorsi · SSRN Electronic Journal · 2017 · 15 citations · Full text
Business, Finance, Financial Management +14
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