MASSACCI, Daniele

MASSACCI, Daniele  

Dipartimento di Scienze economiche e statistiche  

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Titolo Tipologia Data di pubblicazione Autore(i) File
Forecasting in factor augmented regressions under structural change 1.1 Articolo in rivista 2023 Massacci, Daniele; Kapetanios, George
Predicting the Distribution of Stock Returns: Model Formulation, Statistical Evaluation, VaR Analysis and Economic Significance 1.1 Articolo in rivista 2015 Massacci, D
Unstable Diffusion Indexes: With an Application to Bond Risk Premia 1.1 Articolo in rivista 2019 Massacci, D
Tail Risk Dynamics in Stock Returns: Links to the Macroeconomy and Global Markets Connectedness 1.1 Articolo in rivista 2016 Massacci, D
Least Squares Estimation of Large Dimensional Threshold Factor Models 1.1 Articolo in rivista 2017 Massacci, D
A Simple Test for Linearity against Exponential Smooth Transition Models with Endogenous Variables 1.1 Articolo in rivista 2012 Massacci, D
A Variable Addition Test for Exogeneity in Structural Threshold Models 1.1 Articolo in rivista 2013 Massacci, D
A two-regime threshold model with conditional skewed Student t distributions for stock returns 1.1 Articolo in rivista 2014 Massacci, D
A Switching Model with Flexible Threshold Variable: With an Application to Nonlinear Dynamics in Stock Returns 1.1 Articolo in rivista 2013 Massacci, D
Forecasting stock returns with large dimensional factor models 1.1 Articolo in rivista 2021 Giovannelli, A; Massacci, D; Soccorsi, S
Testing for Regime Changes in Portfolios with a Large Number of Assets: A Robust Approach to Factor Heteroskedasticity 1.1 Articolo in rivista 2021 Massacci, D