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Daniele Massacci

King's College London (from arXiv:2507.17599, 2025) · ORCID · OpenAlex

15 papers in scope · 14 published · 2 on the econ.EM arXiv · 208 citations · h-index 7 (over the papers listed here)

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  6. Jiangtao Duan
  7. Xu Han
  8. Matteo Luciani
  9. Markus Pelger
  10. Jushan Bai
  11. Ruoxuan Xiong
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  15. Pierre Perrón
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Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md.

Papers

(2 of 15)

High Dimensional Threshold Factor Models with Common Stochastic Trends
published2026 · Journal of Business and Economic Statistics
with Lorenzo Trapani
Journal of Business and Economic Statistics
A general randomized test for Alpha
working paper2025 · arXiv
with Laura Sarno, Lorenzo Trapani, Pierluigi Vallarino
Paper profile arXiv arXiv:2507.17599
Instability of Factor Strength in Asset Returns
published2024 · Journal of Business and Economic Statistics · 2 citations · first circulated 2021
Journal of Business and Economic Statistics
Modelling large dimensional datasets with Markov switching factor models
published2024 · Journal of Econometrics · 8 citations · first circulated 2022
with Matteo Barigozzi
Paper profile Journal of Econometrics arXiv:2210.09828
Forecasting in factor augmented regressions under structural change
published2023 · International Journal of Forecasting · 7 citations · first circulated 2021
with George Kapetanios
International Journal of Forecasting
Forecasting stock returns with large dimensional factor models
published2021 · Journal of Empirical Finance · 15 citations · first circulated 2017
with Alessandro Giovannelli, Stefano Soccorsi
Journal of Empirical Finance
Testing for Regime Changes in Portfolios with a Large Number of Assets: A Robust Approach to Factor Heteroskedasticity
published2020 · Journal of Financial Econometrics · 16 citations
Journal of Financial Econometrics
Unstable Diffusion Indexes: With an Application to Bond Risk Premia
published2019 · Oxford Bulletin of Economics and Statistics · 6 citations · first circulated 2016
Oxford Bulletin of Economics and Statistics
Least squares estimation of large dimensional threshold factor models
published2016 · Journal of Econometrics · 44 citations · first circulated 2015
Journal of Econometrics
Tail Risk Dynamics in Stock Returns: Links to the Macroeconomy and Global Markets Connectedness
published2016 · Management Science · 87 citations
Management Science
Predicting the Distribution of Stock Returns: Model Formulation, Statistical Evaluation, VaR Analysis and Economic Significance
published2015 · Journal of Forecasting · 16 citations
Journal of Forecasting
A two-regime threshold model with conditional skewed Student t distributions for stock returns
published2014 · Economic Modelling · 1 citations · first circulated 2013
Economic Modelling
A variable addition test for exogeneity in structural threshold models
published2013 · Economics Letters · first circulated 2012
Economics Letters
A switching model with flexible threshold variable: With an application to nonlinear dynamics in stock returns
published2013 · Economics Letters · 3 citations · first circulated 2012
Economics Letters
A simple test for linearity against exponential smooth transition models with endogenous variables
published2012 · Economics Letters · 3 citations · first circulated 2011
Economics Letters

Assembled from arXiv and OpenAlex. Duplicate records for the same paper are merged, and the published version is shown where we could identify one. Corrections welcome.