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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/

Affiliation

Department of Economics, International Business School
Brandeis University

Waltham, Massachusetts (United States)
http://www.brandeis.edu/ief/

:

MS032, P.O. Box 9110, Waltham, MA 02454-9110
RePEc:edi:gsbraus (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Dimitris Korobilis & Davide Pettenuzzo, 2017. "Adaptive Hierarchical Priors for High-Dimensional Vector Autoregessions," Working Papers 115, Brandeis University, Department of Economics and International Businesss School.
  2. Davide Pettenuzzo & Zhiyuan Pan & Yudong Wang, 2017. "Forecasting Stock Returns: A Predictor-Constrained Approach," Working Papers 116, Brandeis University, Department of Economics and International Businesss School.
  3. 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.
  4. 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 Businesss School.
  5. Pettenuzzo, Davide & Timmermann, Allan G, 2016. "Forecasting Macroeconomic Variables under Model Instability," CEPR Discussion Papers 11355, C.E.P.R. Discussion Papers.
  6. Gary Koop & Dimitris Korobilis & Davide Pettenuzzo, 2016. "Bayesian Compressed Vector Autoregressions," Working Papers 2016_09, Business School - Economics, University of Glasgow.
  7. Davide Pettenuzzo & Francesco Ravazzolo, 2014. "Optimal Portfolio Choice under Decision-Based Model Combinations," Working Papers 80, Brandeis University, Department of Economics and International Businesss School.
  8. 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 Businesss School.
  9. 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 Businesss School.
  10. 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.
  11. Pettenuzzo, Davide & Timmermann, Allan G & Valkanov, Rossen, 2013. "Forecasting Stock Returns under Economic Constraints," CEPR Discussion Papers 9377, C.E.P.R. Discussion Papers.
  12. Davide Pettenuzzo & Halbert White, 2010. "Granger Causality, Exogeneity, Cointegration, and Economic Policy Analysis," Working Papers 36, Brandeis University, Department of Economics and International Businesss School.
  13. 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 Businesss School.
  14. 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).
  15. 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.
  16. Pesaran, M. Hashem & Pettenuzzo, Davide & Timmermann, Allan, 2004. "Forecasting Time Series Subject to Multiple Structural Breaks," IZA Discussion Papers 1196, Institute for the Study of Labor (IZA).

Articles

  1. 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.
  2. 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.
  3. White, Halbert & Pettenuzzo, Davide, 2014. "Granger causality, exogeneity, cointegration, and economic policy analysis," Journal of Econometrics, Elsevier, vol. 178(P2), pages 316-330.
  4. Pettenuzzo, Davide & Timmermann, Allan & Valkanov, Rossen, 2014. "Forecasting stock returns under economic constraints," Journal of Financial Economics, Elsevier, vol. 114(3), pages 517-553.
  5. 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.
  6. 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.
  7. M. Hashem Pesaran & Davide Pettenuzzo & Allan Timmermann, 2006. "Forecasting Time Series Subject to Multiple Structural Breaks," Review of Economic Studies, Oxford University Press, vol. 73(4), pages 1057-1084.

More information

Research fields, statistics, top rankings, if available.

Statistics

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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 31 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 (17) 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. Author is listed
  2. NEP-ORE: Operations Research (10) 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. Author is listed
  3. NEP-ECM: Econometrics (7) 2004-06-27 2013-04-13 2014-12-08 2015-01-03 2016-04-09 2016-07-09 2017-01-01. Author is listed
  4. NEP-ETS: Econometric Time Series (7) 2005-02-13 2014-09-25 2015-01-03 2016-04-09 2016-04-16 2016-04-23 2017-01-01. Author is listed
  5. NEP-FIN: Finance (5) 2006-01-24 2006-03-18 2006-04-08 2006-07-15 2006-09-23. Author is listed
  6. NEP-FMK: Financial Markets (4) 2006-04-08 2006-07-15 2013-08-31 2015-01-09
  7. NEP-MAC: Macroeconomics (3) 2014-09-25 2015-01-03 2017-01-01
  8. NEP-RMG: Risk Management (2) 2016-02-04 2016-08-14
  9. NEP-UPT: Utility Models & Prospect Theory (2) 2014-12-08 2014-12-29
  10. NEP-BEC: Business Economics (1) 2006-07-15
  11. NEP-CBA: Central Banking (1) 2006-07-15
  12. NEP-CFN: Corporate Finance (1) 2014-04-05
  13. NEP-CMP: Computational Economics (1) 2014-12-08
  14. NEP-GER: German Papers (1) 2014-09-29
  15. NEP-HPE: History & Philosophy of Economics (1) 2014-04-05

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