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Davide Pettenuzzo

Personal Details

First Name:Davide
Middle Name:
Last Name:Pettenuzzo
Suffix:
RePEc Short-ID:ppe516
http://people.brandeis.edu/~dpettenu/index.html

Affiliation

Department of Economics, International Business School
Brandeis University

Waltham, Massachusetts (United States)
http://www.brandeis.edu/ief/
RePEc:edi:gsbraus (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Dimitris Korobilis & Davide Pettenuzzo, 2020. "Machine Learning Econometrics: Bayesian algorithms and methods," Papers 2004.11486, arXiv.org.
  2. Timmermann, Allan & Pettenuzzo, Davide & Sabbatucci, Riccardo, 2020. "Dividend Suspensions and Cash Flow Risk during the Covid-19 Pandemic," CEPR Discussion Papers 14921, C.E.P.R. Discussion Papers.
  3. Timmermann, Allan & Pettenuzzo, Davide & Sabbatucci, Riccardo, 2019. "Cash Flow News and Stock Price Dynamics," CEPR Discussion Papers 14117, C.E.P.R. Discussion Papers.
  4. Carlos Carvalho & Jared D. Fisher & Davide Pettenuzzo, 2018. "Optimal Asset Allocation with Multivariate Bayesian Dynamic Linear Models," Working Papers 123, Brandeis University, Department of Economics and International Business School.
  5. Davide Pettenuzzo & Riccardo Sabbatucci & Allan Timmermann, 2018. "High-frequency Cash Flow Dynamics," Working Papers 120, Brandeis University, Department of Economics and International Business School.
  6. Davide Pettenuzzo & Zhiyuan Pan & Yudong Wang, 2017. "Forecasting Stock Returns: A Predictor-Constrained Approach," Working Papers 116, Brandeis University, Department of Economics and International Business School.
  7. Dimitris Korobilis & Davide Pettenuzzo, 2017. "Adaptive Hierarchical Priors for High-Dimensional Vector Autoregessions," Working Papers 115, Brandeis University, Department of Economics and International Business School.
  8. Davide Pettenuzzo & Konstantinos Metaxoglou & Aaron Smith, 2016. "Option-Implied Equity Premium Predictions via Entropic TiltinG," Working Papers 99, Brandeis University, Department of Economics and International Business School.
  9. Timmermann, Allan & Pettenuzzo, Davide, 2016. "Forecasting Macroeconomic Variables under Model Instability," CEPR Discussion Papers 11355, C.E.P.R. Discussion Papers.
  10. Gary Koop & Dimitris Korobilis & Davide Pettenuzzo, 2016. "Bayesian Compressed Vector Autoregressions," Working Papers 2016_09, Business School - Economics, University of Glasgow.
  11. Korobilis, D & Pettenuzzo, D, 2016. "Adaptive Minnesota Prior for High-Dimensional Vector Autoregressions," Essex Finance Centre Working Papers 18626, University of Essex, Essex Business School.
  12. Davide Pettenuzzo & Rossen Valkanov & Allan Timmermann, 2014. "A Bayesian MIDAS Approach to Modeling First and Second Moment Dynamics," Working Papers 76, Brandeis University, Department of Economics and International Business School.
  13. Davide Pettenuzzo & Antonio Gargano & Allan Timmermann, 2014. "Bond Return Predictability: Economic Value and Links to the Macroeconomy," Working Papers 75, Brandeis University, Department of Economics and International Business School.
  14. Davide Pettenuzzo & Francesco Ravazzolo, 2014. "Optimal Portfolio Choice under Decision-Based Model Combinations," Working Papers 80, Brandeis University, Department of Economics and International Business School.
  15. Davide Pettenuzzo, 2013. "To Predict the Equity Market, Consult Economic Theory," Rosenberg Global Financial Briefs 8, Brandeis University, Rosenberg Institute of Global Finance, International Businesss School, revised 2014.
  16. Timmermann, Allan & Pettenuzzo, Davide & Valkanov, Rossen, 2013. "Forecasting Stock Returns under Economic Constraints," CEPR Discussion Papers 9377, C.E.P.R. Discussion Papers.
  17. Davide Pettenuzzo & Halbert White, 2010. "Granger Causality, Exogeneity, Cointegration, and Economic Policy Analysis," Working Papers 36, Brandeis University, Department of Economics and International Business School.
  18. Davide Pettenuzzo & Allan G. Timmermann & Rossen I. Valkanov, 2008. "Return Predictability under Equilibrium Constraints on the Equity Premium," Working Papers 37, Brandeis University, Department of Economics and International Business School.
  19. Hashem Pesaran & Davide Pettenuzzo & Allan Timmermann, 2006. "Learning, Structural Instability and Present Value Calculations," IEPR Working Papers 06.42, Institute of Economic Policy Research (IEPR).
  20. Profoessor Hashem Pesaran & Allan Timmermann & Davide Pettenuzzo, 2005. "The Forecasing time series subject to multiple structure breaks," Money Macro and Finance (MMF) Research Group Conference 2005 33, Money Macro and Finance Research Group.
  21. Pesaran, M. Hashem & Pettenuzzo, Davide & Timmermann, Allan, 2004. "Forecasting Time Series Subject to Multiple Structural Breaks," IZA Discussion Papers 1196, Institute of Labor Economics (IZA).

Articles

  1. Pan, Zhiyuan & Pettenuzzo, Davide & Wang, Yudong, 2020. "Forecasting stock returns: A predictor-constrained approach," Journal of Empirical Finance, Elsevier, vol. 55(C), pages 200-217.
  2. Davide Pettenuzzo & Riccardo Sabbatucci & Allan Timmermann, 2020. "Cash Flow News and Stock Price Dynamics," Journal of Finance, American Finance Association, vol. 75(4), pages 2221-2270, August.
  3. Konstantinos Metaxoglou & Davide Pettenuzzo & Aaron Smith, 2019. "Option-Implied Equity Premium Predictions via Entropic Tilting," Journal of Financial Econometrics, Oxford University Press, vol. 17(4), pages 559-586.
  4. Korobilis, Dimitris & Pettenuzzo, Davide, 2019. "Adaptive hierarchical priors for high-dimensional vector autoregressions," Journal of Econometrics, Elsevier, vol. 212(1), pages 241-271.
  5. Koop, Gary & Korobilis, Dimitris & Pettenuzzo, Davide, 2019. "Bayesian compressed vector autoregressions," Journal of Econometrics, Elsevier, vol. 210(1), pages 135-154.
  6. Antonio Gargano & Davide Pettenuzzo & Allan Timmermann, 2019. "Bond Return Predictability: Economic Value and Links to the Macroeconomy," Management Science, INFORMS, vol. 65(2), pages 508-540, February.
  7. Davide Pettenuzzo & Allan Timmermann, 2017. "Forecasting Macroeconomic Variables Under Model Instability," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(2), pages 183-201, April.
  8. Pettenuzzo, Davide & Timmermann, Allan & Valkanov, Rossen, 2016. "A MIDAS approach to modeling first and second moment dynamics," Journal of Econometrics, Elsevier, vol. 193(2), pages 315-334.
  9. Davide Pettenuzzo & Francesco Ravazzolo, 2016. "Optimal Portfolio Choice Under Decision‐Based Model Combinations," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(7), pages 1312-1332, November.
  10. White, Halbert & Pettenuzzo, Davide, 2014. "Granger causality, exogeneity, cointegration, and economic policy analysis," Journal of Econometrics, Elsevier, vol. 178(P2), pages 316-330.
  11. Pettenuzzo, Davide & Timmermann, Allan & Valkanov, Rossen, 2014. "Forecasting stock returns under economic constraints," Journal of Financial Economics, Elsevier, vol. 114(3), pages 517-553.
  12. Pettenuzzo, Davide & Timmermann, Allan, 2011. "Predictability of stock returns and asset allocation under structural breaks," Journal of Econometrics, Elsevier, vol. 164(1), pages 60-78, September.
  13. Hashem Pesaran & Davide Pettenuzzo & Allan Timmermann, 2007. "Learning, Structural Instability, and Present Value Calculations," Econometric Reviews, Taylor & Francis Journals, vol. 26(2-4), pages 253-288.
  14. M. Hashem Pesaran & Davide Pettenuzzo & Allan Timmermann, 2006. "Forecasting Time Series Subject to Multiple Structural Breaks," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 73(4), pages 1057-1084.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Rankings

This author is among the top 5% authors according to these criteria:
  1. Number of Journal Pages, Weighted by Simple Impact Factor

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 37 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-FOR: Forecasting (21) 2013-04-13 2013-08-31 2014-04-05 2014-09-25 2014-09-29 2014-12-08 2014-12-29 2015-01-03 2015-01-09 2015-09-18 2016-02-04 2016-04-09 2016-04-23 2016-07-09 2016-08-14 2017-11-26 2017-11-26 2018-03-12 2018-05-14 2018-05-14 2018-10-15. Author is listed
  2. NEP-ORE: Operations Research (16) 2014-09-25 2014-12-29 2015-01-03 2015-09-18 2016-04-09 2016-04-16 2016-04-23 2016-07-09 2017-11-26 2017-11-26 2018-03-12 2018-05-14 2018-10-15 2020-05-25 2020-06-08 2020-07-20. Author is listed
  3. NEP-ECM: Econometrics (11) 2004-06-27 2013-04-13 2014-12-08 2015-01-03 2016-04-09 2016-07-09 2017-01-01 2018-03-12 2018-05-14 2018-10-15 2020-05-11. Author is listed
  4. NEP-ETS: Econometric Time Series (10) 2005-02-13 2014-09-25 2015-01-03 2016-04-09 2016-04-16 2016-04-23 2017-01-01 2018-05-14 2018-05-14 2020-05-11. Author is listed
  5. NEP-BIG: Big Data (5) 2018-05-14 2020-05-11 2020-05-25 2020-06-08 2020-07-20. Author is listed
  6. NEP-CMP: Computational Economics (5) 2014-12-08 2020-05-11 2020-05-25 2020-06-08 2020-07-20. Author is listed
  7. NEP-FIN: Finance (5) 2006-01-24 2006-03-18 2006-04-08 2006-07-15 2006-09-23. Author is listed
  8. NEP-FMK: Financial Markets (4) 2006-04-08 2006-07-15 2013-08-31 2015-01-09
  9. NEP-MAC: Macroeconomics (4) 2014-09-25 2015-01-03 2017-01-01 2018-05-14
  10. NEP-RMG: Risk Management (3) 2016-02-04 2016-08-14 2018-10-15
  11. NEP-MST: Market Microstructure (2) 2018-03-05 2020-08-17
  12. NEP-UPT: Utility Models and Prospect Theory (2) 2014-12-08 2014-12-29
  13. NEP-BEC: Business Economics (1) 2006-07-15
  14. NEP-CBA: Central Banking (1) 2006-07-15
  15. NEP-CFN: Corporate Finance (1) 2014-04-05
  16. NEP-CWA: Central and Western Asia (1) 2021-06-21
  17. NEP-GEN: Gender (1) 2020-05-11
  18. NEP-GER: German Papers (1) 2014-09-29
  19. NEP-HPE: History and Philosophy of Economics (1) 2014-04-05

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