Dr Daniele Massacci Academics Reader in Data Analytics for Finance Research subject areas Banking & Finance Contact details daniele.massacci@kcl.ac.uk Daniele Massacci
Forecasting in factor augmented regressions under structural change THE RELATIONSHIP BETWEEN COVID-19 AND THE FINANCIAL MARKET Forecasting stock returns with large dimensional factor models Testing for Regime Changes in Portfolios with a Large Number of Assets: A Robust Approach to Factor Heteroskedasticity Unstable Diffusion Indexes: With an Application to Bond Risk Premia Least squares estimation of large dimensional threshold factor models Tail Risk Dynamics in Stock Returns: Links to the Macroeconomy and Global Markets Connectedness View all publications