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Daniele Massacci

Personal Details

First Name:Daniele
Middle Name:
Last Name:Massacci
Suffix:
RePEc Short-ID:pma1104
[This author has chosen not to make the email address public]
https://sites.google.com/site/danielemassacci/home

Affiliation

Business School
King's College London

London, United Kingdom
http://www.kcl.ac.uk/business

: +44-2078483770
+44 (0)207 848 4254
Bush House, 30 Aldwych, London WC2B 4BG
RePEc:edi:dmkcluk (more details at EDIRC)

Research output

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Jump to: Articles

Articles

  1. Daniele Massacci, 2015. "Predicting the Distribution of Stock Returns: Model Formulation, Statistical Evaluation, VaR Analysis and Economic Significance," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 34(3), pages 191-208, April.
  2. Massacci, Daniele, 2014. "A two-regime threshold model with conditional skewed Student t distributions for stock returns," Economic Modelling, Elsevier, vol. 43(C), pages 9-20.
  3. Massacci, Daniele, 2013. "A switching model with flexible threshold variable: With an application to nonlinear dynamics in stock returns," Economics Letters, Elsevier, vol. 119(2), pages 199-203.
  4. Massacci, Daniele, 2013. "A variable addition test for exogeneity in structural threshold models," Economics Letters, Elsevier, vol. 120(1), pages 5-9.
  5. Massacci, Daniele, 2012. "A simple test for linearity against exponential smooth transition models with endogenous variables," Economics Letters, Elsevier, vol. 117(3), pages 851-856.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Articles

  1. Daniele Massacci, 2015. "Predicting the Distribution of Stock Returns: Model Formulation, Statistical Evaluation, VaR Analysis and Economic Significance," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 34(3), pages 191-208, April.

    Cited by:

    1. Leopoldo Catania & Nima Nonejad, 2016. "Density Forecasts and the Leverage Effect: Some Evidence from Observation and Parameter-Driven Volatility Models," Papers 1605.00230, arXiv.org, revised Nov 2016.
    2. Crump, Richard K. & Giannone, Domenico & Hundtofte , Sean, 2018. "Changing risk-return profiles," Staff Reports 850, Federal Reserve Bank of New York.
    3. Kaihua Deng, 2015. "Predicting By Learning: An Adaptive Rationale," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 10(02), pages 1-14, December.
    4. Pal, Shanoli Samui & Kar, Samarjit, 2019. "Time series forecasting for stock market prediction through data discretization by fuzzistics and rule generation by rough set theory," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 162(C), pages 18-30.

  2. Massacci, Daniele, 2014. "A two-regime threshold model with conditional skewed Student t distributions for stock returns," Economic Modelling, Elsevier, vol. 43(C), pages 9-20.

    Cited by:

    1. Dahiru A. Balaa & Taro Takimotob, 2017. "Stock markets volatility spillovers during financial crises: A DCC-MGARCH with skewed-t density approach," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 17(1), pages 25-48, March.

  3. Massacci, Daniele, 2013. "A switching model with flexible threshold variable: With an application to nonlinear dynamics in stock returns," Economics Letters, Elsevier, vol. 119(2), pages 199-203.

    Cited by:

    1. Massacci, Daniele, 2014. "A two-regime threshold model with conditional skewed Student t distributions for stock returns," Economic Modelling, Elsevier, vol. 43(C), pages 9-20.
    2. Leppin, Julian S. & Reitz, Stefan, 2014. "The role of a changing market: Environment for credit default swap pricing," HWWI Research Papers 153, Hamburg Institute of International Economics (HWWI).

  4. Massacci, Daniele, 2012. "A simple test for linearity against exponential smooth transition models with endogenous variables," Economics Letters, Elsevier, vol. 117(3), pages 851-856.

    Cited by:

    1. Massacci, Daniele, 2013. "A variable addition test for exogeneity in structural threshold models," Economics Letters, Elsevier, vol. 120(1), pages 5-9.

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