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Davide Pettenuzzo

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Personal Details

First Name:Davide
Middle Name:
Last Name:Pettenuzzo
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RePEc Short-ID:ppe516
Email:
Homepage:http://people.brandeis.edu/~dpettenu/
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Location: Waltham, Massachusetts (United States)
Homepage: http://www.brandeis.edu/ief/
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Postal: MS032, P.O. Box 9110, Waltham, MA 02454-9110
Handle: RePEc:edi:gsbraus (more details at EDIRC)
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  1. 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.
  2. 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.
  3. 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.
  4. Pettenuzzo, Davide & Timmermann, Allan G & Valkanov, Rossen, 2013. "Forecasting Stock Returns under Economic Constraints," CEPR Discussion Papers 9377, C.E.P.R. Discussion Papers.
  5. 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.
  6. 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.
  7. 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.
  8. 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).
  9. 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.
  10. 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).
  1. Pettenuzzo, Davide & Timmermann, Allan & Valkanov, Rossen, 2014. "Forecasting stock returns under economic constraints," Journal of Financial Economics, Elsevier, vol. 114(3), pages 517-553.
  2. White, Halbert & Pettenuzzo, Davide, 2014. "Granger causality, exogeneity, cointegration, and economic policy analysis," Journal of Econometrics, Elsevier, vol. 178(P2), pages 316-330.
  3. 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.
  4. 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.
  5. 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.
19 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BEC: Business Economics (1) 2006-07-15
  2. NEP-CBA: Central Banking (1) 2006-07-15
  3. NEP-CFN: Corporate Finance (1) 2014-04-05
  4. NEP-CMP: Computational Economics (1) 2014-12-08
  5. NEP-ECM: Econometrics (4) 2004-06-27 2013-04-13 2014-12-08 2015-01-03
  6. NEP-ETS: Econometric Time Series (3) 2005-02-13 2014-09-25 2015-01-03
  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-FOR: Forecasting (9) 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. Author is listed
  10. NEP-GER: German Papers (1) 2014-09-29
  11. NEP-HPE: History & Philosophy of Economics (1) 2014-04-05
  12. NEP-MAC: Macroeconomics (2) 2014-09-25 2015-01-03
  13. NEP-ORE: Operations Research (3) 2014-09-25 2014-12-29 2015-01-03
  14. NEP-UPT: Utility Models & Prospect Theory (2) 2014-12-08 2014-12-29

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