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Daniele Massacci · Study

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Daniele Massacci

3 works· latest 2021· 2 institutionscluster: provisionalORCID 0000-0002-0606-2419

h-index3

i103

Citations134

Works here3

16

20

21

Most cited in this library

Tail Risk Dynamics in Stock Returns: Links to the Macroeconomy and Global Markets Connectedness2016 · 87 citations
Forecasting stock returns with large dimensional factor models2021 · 30 citations
Testing for Regime Changes in Portfolios with a Large Number of Assets: A Robust Approach to Factor Heteroskedasticity2020 · 17 citations

Works

3 shown

Forecasting stock returns with large dimensional factor models

Journal of Empirical Finance·2021·3 authors·Open access

30citations

Testing for Regime Changes in Portfolios with a Large Number of Assets: A Robust Approach to Factor Heteroskedasticity

Journal of Financial Econometrics·2020·1 author

17citations

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

Management Science·2016·1 author·Open access

87citations