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Davide Pettenuzzo
Davide Pettenuzzo
Associate Professor of Financial Econometrics, Brandeis International Business School
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Forecasting time series subject to multiple structural breaks
MH Pesaran, D Pettenuzzo, A Timmermann
The Review of Economic Studies 73 (4), 1057-1084, 2006
4282006
Forecasting stock returns under economic constraints
D Pettenuzzo, A Timmermann, R Valkanov
Journal of Financial Economics 114 (3), 517-553, 2014
3322014
Predictability of stock returns and asset allocation under structural breaks
D Pettenuzzo, A Timmermann
Journal of Econometrics 164 (1), 60-78, 2011
2012011
Bond return predictability: Economic value and links to the macroeconomy
A Gargano, D Pettenuzzo, A Timmermann
Management Science 65 (2), 508-540, 2019
1562019
Bayesian compressed vector autoregressions
G Koop, D Korobilis, D Pettenuzzo
Journal of Econometrics 210 (1), 135-154, 2019
1162019
Optimal portfolio choice under decision‐based model combinations
D Pettenuzzo, F Ravazzolo
Journal of Applied Econometrics 31 (7), 1312-1332, 2016
852016
A MIDAS approach to modeling first and second moment dynamics
D Pettenuzzo, A Timmermann, R Valkanov
Journal of Econometrics 193 (2), 315-334, 2016
622016
Forecasting macroeconomic variables under model instability
D Pettenuzzo, A Timmermann
Journal of Business & Economic Statistics 35 (2), 183-201, 2017
562017
Adaptive hierarchical priors for high-dimensional vector autoregressions
D Korobilis, D Pettenuzzo
Journal of Econometrics 212 (1), 241-271, 2019
452019
Forecasting stock returns: A predictor-constrained approach
Z Pan, D Pettenuzzo, Y Wang
Journal of Empirical Finance 55, 200-217, 2020
362020
Granger causality, exogeneity, cointegration, and economic policy analysis
H White, D Pettenuzzo
Journal of Econometrics 178, 316-330, 2014
362014
Learning, structural instability, and present value calculations
H Pesaran, D Pettenuzzo, A Timmermann
Econometric Reviews 26 (2-4), 253-288, 2007
322007
Cash flow news and stock price dynamics
D Pettenuzzo, R Sabbatucci, A Timmermann
The Journal of Finance 75 (4), 2221-2270, 2020
292020
Outlasting the pandemic: Corporate payout and financing decisions during COVID-19
D Pettenuzzo, R Sabbatucci, A Timmermann
CEPR Discussion Paper No. DP16145, 2021
182021
Dividend suspensions and cash flow risk during the COVID-19 pandemic
D Pettenuzzo, R Sabbatucci, A Timmermann
Centre for Economic Policy Research, 2020
152020
Dividend suspensions and cash flows during the Covid-19 pandemic: A dynamic econometric model
D Pettenuzzo, R Sabbatucci, A Timmermann
Journal of econometrics 235 (2), 1522-1541, 2023
132023
A Bayesian midas approach to modeling first and second moment dynamics
D Pettenuzzo, A Timmermann, RI Valkanov
CEPR Discussion Paper No. DP10160, 2014
102014
Optimal asset allocation with multivariate Bayesian dynamic linear models
JD Fisher, D Pettenuzzo, CM Carvalho
92020
Payout suspensions during the Covid-19 pandemic
D Pettenuzzo, R Sabbatucci, A Timmermann
Economics letters 224, 111024, 2023
82023
Conditional forecasts in large bayesian VARs with multiple soft and hard constraints
JCC Chan, D Pettenuzzo, A Poon, D Zhu
Available at SSRN 4358152, 2023
82023
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