Search results

• 2019

  Unstable Diffusion Indexes: With an Application to Bond Risk Premia

  Massacci, D., Dec 2019, In: OXFORD BULLETIN OF ECONOMICS AND STATISTICS. 81, 6, p. 1376-1400 25 p.

  Research output: Contribution to journal › Article › peer-review

  Open Access

  File

  • Factor Model 100%
  • Principal Components 50%
  • Structural Change 50%
  • Macroeconomics 50%
  • Least Squares Methods 33%
  3 Citations (Scopus)

  187 Downloads (Pure)
• 2017

  Least squares estimation of large dimensional threshold factor models

  Massacci, D., 1 Mar 2017, In: JOURNAL OF ECONOMETRICS. 197, 1, p. 101-129

  Research output: Contribution to journal › Article › peer-review

  Open Access

  File

  • Least Square Estimation 100%
  • Factor Model 100%
  • Estimation Theory 66%
  • Variables 50%
  • Linearity 50%
  24 Citations (Scopus)

  303 Downloads (Pure)

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

  Massacci, D., 1 Sept 2017, In: MANAGEMENT SCIENCE. 63, 9, p. 3072–3089

  Research output: Contribution to journal › Article › peer-review

  Open Access

  File

  • Market 100%
  • Capital Market Returns 100%
  • Share 66%
  • Large Firm 66%
  • Return 33%
  43 Citations (Scopus)

  350 Downloads (Pure)