| Tail Risk Dynamics in Stock Returns: Links to the Macroeconomy and Global Markets Connectedness D Massacci Management Science, 2016 | 93 | 2016 |
| Least squares estimation of large dimensional threshold factor models D Massacci Journal of Econometrics 197 (1), 101-129, 2017 | 47 | 2017 |
| Crypto risk premia N Borri, D Massacci, M Rubin, D Ruzzi Available at SSRN 4154627, 2022 | 29 | 2022 |
| Forecasting stock returns with large dimensional factor models A Giovannelli, D Massacci, S Soccorsi Journal of Empirical Finance 63, 252-269, 2021 | 29 | 2021 |
| Cambridge working papers in economics MH Pesaran, Y Shin Fac Econ Univ Cambridge, 2004 | 22 | 2004 |
| A two-regime threshold model with conditional skewed Student t distributions for stock returns D Massacci Economic Modelling 43, 9-20, 2014 | 14 | 2014 |
| Testing for regime changes in portfolios with a large number of assets: A robust approach to factor heteroskedasticity D Massacci Journal of Financial Econometrics 21 (2), 316-367, 2023 | 13 | 2023 |
| Predicting the distribution of stock returns: model formulation, statistical evaluation, VaR analysis and economic significance D Massacci Journal of Forecasting 34 (3), 191-208, 2015 | 12 | 2015 |
| Factor models with downside risk D Massacci, L Sarno, L Trapani Available at SSRN 3937321, 2024 | 10 | 2024 |
| Modelling large dimensional datasets with Markov switching factor models M Barigozzi, D Massacci Journal of Econometrics 247, 105919, 2025 | 6 | 2025 |
| High dimensional threshold regression with common stochastic trends D Massacci, L Trapani Available at SSRN 4133488, 2022 | 6 | 2022 |
| Interpretable machine learning for asset pricing G Kapetanios, F Kempf, D Massacci Available at SSRN 4473746, 2023 | 5 | 2023 |
| Unstable diffusion indexes: With an application to bond risk premia D Massacci Oxford Bulletin of Economics and Statistics 81 (6), 1376-1400, 2019 | 5 | 2019 |
| Instability of factor strength in asset returns D Massacci Journal of Business & Economic Statistics, 1-16, 2025 | 4 | 2025 |
| Forecasting in factor augmented regressions under structural change D Massacci, G Kapetanios International Journal of Forecasting 40 (1), 62-76, 2024 | 3 | 2024 |
| A switching model with flexible threshold variable: With an application to nonlinear dynamics in stock returns D Massacci Economics Letters 119 (2), 199-203, 2013 | 3 | 2013 |
| A simple test for linearity against exponential smooth transition models with endogenous variables D Massacci Economics Letters 117 (3), 851-856, 2012 | 3 | 2012 |
| An Asymptotically Smoothed Two-Stage Nonlinear Least Squares Estimator for Threshold Regression Models with Endogenous Variable D Massacci | 2 | 2011 |
| Liquidity resilience in the UK gilt futures market: evidence from the order book J Fullwood, D Massacci Bank of England Working Paper, 2018 | 1 | 2018 |
| Multivariate Regime Switching Model with Flexible Threshold Variable D Massacci Available at SSRN 2377220, 2014 | 1 | 2014 |
Lorenzo TrapaniUniversity of LeicesterVerified email at leicester.ac.uk
