Davide Pettenuzzo

Brandeis University - International Business School

Mailstop 32

Waltham, MA 02454-9110

United States

  • Brandeis University - International Business School

SCHOLARLY PAPERS

22

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280

CROSSREF CITATIONS

292

Scholarly Papers (22)

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1.

Dividend Suspensions and Cash Flows During the COVID-19 Pandemic: A Dynamic Econometric Model

Downloads 991 (38,934)
Citation 7

Dividend Suspensions and Cash Flows During the COVID-19 Pandemic: A Dynamic Econometric Model

Swedish House of Finance Research Paper No. 20-18
Number of pages: 55 Posted: 24 Sep 2020 Last Revised: 13 May 2022
Davide Pettenuzzo, Riccardo Sabbatucci and Allan Timmermann
Brandeis University - International Business School, Stockholm School of Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 989 (38,476)
Citation 7

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COVID-19; high-frequency cash flows; dividend suspensions; predictive density modeling, Bayesian estimation

Dividend Suspensions and Cash Flow Risk During the Covid-19 Pandemic

CEPR Discussion Paper No. DP14921
Number of pages: 42 Posted: 29 Jun 2020
Davide Pettenuzzo, Riccardo Sabbatucci and Allan Timmermann
Brandeis University - International Business School, Stockholm School of Economics and University of California, San Diego (UCSD) - Rady School of Management
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2.

Firm Value and Payout Suspensions During Financial Market Distress

Downloads 810 (51,518)
Citation 3

Firm Value and Payout Suspensions During Financial Market Distress

Swedish House of Finance Research Paper No. 21-10
Number of pages: 64 Posted: 10 Apr 2021 Last Revised: 05 Aug 2022
Davide Pettenuzzo, Riccardo Sabbatucci and Allan Timmermann
Brandeis University - International Business School, Stockholm School of Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 810 (50,815)
Citation 7

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Dividend and buyback suspensions; value of cash; pecking order theory; high frequency data; financial market distress, Covid-19

Outlasting the Pandemic: Corporate Payout and Financing Decisions During COVID-19

CEPR Discussion Paper No. DP16145
Number of pages: 55 Posted: 14 May 2021
Davide Pettenuzzo, Riccardo Sabbatucci and Allan Timmermann
Brandeis University - International Business School, Stockholm School of Economics and University of California, San Diego (UCSD) - Rady School of Management
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3.

Bond Return Predictability: Economic Value and Links to the Macroeconomy

Number of pages: 68 Posted: 26 Jul 2014 Last Revised: 05 Jun 2017
Antonio Gargano, Davide Pettenuzzo and Allan Timmermann
University of Houston - C.T. Bauer College of Business, Brandeis University - International Business School and UCSD
Downloads 794 (52,892)
Citation 75

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bond returns, yield curve, macro factors, stochastic volatility, time-varying parameters, unspanned macro risk factors

4.

Forecasting Stock Returns Under Economic Constraints

Downloads 583 (78,919)
Citation 80

Forecasting Stock Returns Under Economic Constraints

Number of pages: 57 Posted: 09 Dec 2012
Davide Pettenuzzo, Allan Timmermann and Rossen I. Valkanov
Brandeis University - International Business School, UCSD and University of California, San Diego (UCSD) - Rady School of Management
Downloads 581 (78,328)
Citation 2

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Economic constraints, Sharpe ratio, Equity premium predictions, Bayesian analysis

Forecasting Stock Returns Under Economic Constraints

CEPR Discussion Paper No. DP9377
Number of pages: 61 Posted: 12 Mar 2013
Davide Pettenuzzo, Allan Timmermann and Rossen I. Valkanov
Brandeis University - International Business School, UCSD and University of California, San Diego (UCSD) - Rady School of Management
Downloads 2 (1,058,901)
Citation 38
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Bayesian analysis, Economic constraints, Sharpe Ratio, Stock return predictability

5.

Cash Flow News and Stock Price Dynamics

Downloads 578 (79,738)
Citation 7

Cash Flow News and Stock Price Dynamics

Journal of Finance, Forthcoming, Swedish House of Finance Research Paper No. 18-10
Number of pages: 90 Posted: 01 Mar 2018 Last Revised: 15 Nov 2019
Davide Pettenuzzo, Riccardo Sabbatucci and Allan Timmermann
Brandeis University - International Business School, Stockholm School of Economics and UCSD
Downloads 578 (78,777)

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High-frequency cash flow news; predictability of dividend growth; present value model; dynamics and predictability of stock returns; Bayesian modeling

Cash Flow News and Stock Price Dynamics

CEPR Discussion Paper No. DP14117
Number of pages: 92 Posted: 04 Dec 2019
Davide Pettenuzzo, Riccardo Sabbatucci and Allan Timmermann
Brandeis University - International Business School, Stockholm School of Economics and University of California, San Diego (UCSD) - Rady School of Management
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Citation 3
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Dividend growth, High-frequency cash flow news, Present value model

6.

Bayesian Compressed Vector Autoregressions

Number of pages: 35 Posted: 26 Mar 2016 Last Revised: 06 Jun 2017
Gary Koop, Dimitris Korobilis and Davide Pettenuzzo
University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics, University of Glasgow - Adam Smith Business School and Brandeis University - International Business School
Downloads 556 (83,721)
Citation 15

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multivariate time series, random projection, forecasting

7.

Machine Learning Econometrics: Bayesian Algorithms and Methods

Number of pages: 33 Posted: 14 May 2020
Dimitris Korobilis and Davide Pettenuzzo
University of Glasgow - Adam Smith Business School and Brandeis University - International Business School
Downloads 462 (104,939)

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MCMC, Approximate Inference, Scalability, Parallel Computation

8.

Forecasting Time Series Subject to Multiple Structural Breaks

Downloads 421 (117,028)
Citation 82

Forecasting Time Series Subject to Multiple Structural Breaks

Number of pages: 41 Posted: 19 Jul 2004
M. Hashem Pesaran, Davide Pettenuzzo and Allan Timmermann
University of Southern California - Department of Economics, Brandeis University - International Business School and UCSD
Downloads 401 (122,679)
Citation 5

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structural breaks, forecasting, hierarchical hidden Markov chain model, Bayesian model averaging

Forecasting Time Series Subject to Multiple Structural Breaks

Number of pages: 42 Posted: 17 Nov 2004
M. Hashem Pesaran, Davide Pettenuzzo and Allan Timmermann
University of Southern California - Department of Economics, Brandeis University - International Business School and UCSD
Downloads 20 (883,862)
Citation 17
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Structural breaks, forecasting, hierarchical hidden Markov Chain Model, Bayesian model averaging

9.

Adaptive Hierarchical Priors for High-Dimensional Vector Autoregressions

Number of pages: 58 Posted: 16 Dec 2016 Last Revised: 02 Apr 2018
Dimitris Korobilis and Davide Pettenuzzo
University of Glasgow - Adam Smith Business School and Brandeis University - International Business School
Downloads 373 (134,396)
Citation 2

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Bayesian VARs, Mixture Prior, Large Datasets, Macroeconomic Forecasting

10.

A MIDAS Approach to Modeling First and Second Moment Dynamics

Downloads 336 (150,552)
Citation 13

A MIDAS Approach to Modeling First and Second Moment Dynamics

Number of pages: 41 Posted: 26 Jul 2014 Last Revised: 19 Sep 2015
Davide Pettenuzzo, Allan Timmermann and Rossen I. Valkanov
Brandeis University - International Business School, UCSD and University of California, San Diego (UCSD) - Rady School of Management
Downloads 336 (149,615)
Citation 4

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MIDAS regressions; Bayesian estimation; stochastic volatility; out-of-sample forecasts; GDP growth

A Bayesian MIDAS Approach to Modeling First and Second Moment Dynamics

CEPR Discussion Paper No. DP10160
Number of pages: 48 Posted: 25 Sep 2014
Davide Pettenuzzo, Allan Timmermann and Rossen I. Valkanov
Brandeis University - International Business School, UCSD and University of California, San Diego (UCSD) - Rady School of Management
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Citation 7
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Bayesian estimation, GDP growth, MIDAS regressions, out-of-sample forecasts, stochastic volatility

11.

Optimal Asset Allocation with Multivariate Bayesian Dynamic Linear Models

Number of pages: 53 Posted: 18 Oct 2018
Carlos M. Carvalho, Jared Fisher and Davide Pettenuzzo
University of Texas at Austin - Red McCombs School of Business, Brigham Young University, Department of Statistics and Brandeis University - International Business School
Downloads 321 (158,112)
Citation 1

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Optimal Asset Allocation, Bayesian Econometrics, Dynamic Linear Models

12.

Forecasting Stock Returns: A Predictor-Constrained Approach

Number of pages: 42 Posted: 18 Oct 2017 Last Revised: 21 Jun 2019
Zhiyuan Pan, Davide Pettenuzzo and Yudong Wang
Southwestern University of Finance and Economics (SWUFE) - Institute of Chinese Financial Studies (ICFS), Brandeis University - International Business School and Shanghai Jiao Tong University (SJTU)
Downloads 261 (197,259)
Citation 3

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Equity premium, Predictive regressions, Predictor constraints, 12-month high, Model combinations

13.

Learning, Structural Instability and Present Value Calculations

Downloads 203 (248,956)
Citation 8

Learning, Structural Instability and Present Value Calculations

CESifo Working Paper Series No. 1650
Number of pages: 39 Posted: 23 Feb 2006
M. Hashem Pesaran, Davide Pettenuzzo and Allan Timmermann
University of Southern California - Department of Economics, Brandeis University - International Business School and UCSD
Downloads 131 (361,155)
Citation 1

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present value, stock prices, structural breaks, Bayesian learning

Learning, Structural Instability and Present Value Calculations

Econometric Reviews 26 (2-4), 253-–288
Number of pages: 35 Posted: 10 Jan 2006 Last Revised: 30 Nov 2012
M. Hashem Pesaran, Davide Pettenuzzo and Allan Timmermann
University of Southern California - Department of Economics, Brandeis University - International Business School and UCSD
Downloads 72 (541,839)
Citation 11

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present value, stock prices, structural breaks, Bayesian learning

14.

Optimal Portfolio Choice under Decision-Based Model Combinations

Number of pages: 30 Posted: 01 Nov 2014 Last Revised: 05 Nov 2015
Davide Pettenuzzo and Francesco Ravazzolo
Brandeis University - International Business School and Free University of Bozen-Bolzano - Faculty of Economics and Management
Downloads 192 (261,829)
Citation 15

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Bayesian econometrics, Time-varying parameters, Model combinations, Portfolio choice

15.

Forecasting Macroeconomic Variables Under Model Instability

Downloads 181 (275,787)
Citation 11

Forecasting Macroeconomic Variables Under Model Instability

Number of pages: 41 Posted: 09 May 2015
Davide Pettenuzzo and Allan Timmermann
Brandeis University - International Business School and UCSD
Downloads 181 (275,755)
Citation 1

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Time-varying parameters, regime switching, change point models, stochastic volatility, GDP growth forecasts, inflation forecasts

Forecasting Macroeconomic Variables Under Model Instability

CEPR Discussion Paper No. DP11355
Number of pages: 44 Posted: 27 Jun 2016
Davide Pettenuzzo and Allan Timmermann
Brandeis University - International Business School and UCSD
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Citation 8
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GDP growth, inflation, regime switching, stochastic volatility, time-varying parameters

16.

Predictability of Stock Returns and Asset Allocation Under Structural Breaks

Journal of Econometrics, Vol. 164, No. 1, September 2011
Number of pages: 43 Posted: 30 Nov 2012
Davide Pettenuzzo and Allan Timmermann
Brandeis University - International Business School and UCSD
Downloads 180 (277,179)
Citation 11

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17.

Option-Implied Equity Premium Predictions via Entropic Tilting

Number of pages: 35 Posted: 26 Mar 2016 Last Revised: 12 Sep 2017
Konstantinos Metaxoglou, Davide Pettenuzzo and Aaron Smith
Carleton University, Brandeis University - International Business School and University of California, Davis - Department of Agricultural and Resource Economics
Downloads 167 (295,757)
Citation 1

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entropic tilting, density forecasts, variance risk premium, equity premium, options

18.

Conditional Forecasts in Large Bayesian VARs with Multiple Soft and Hard Constraints

Number of pages: 39 Posted: 16 Feb 2023
Joshua CC Chan, Davide Pettenuzzo, Aubrey Poon and Dan Zhu
Purdue University, Brandeis University - International Business School, University of Kent - School of Economics and Monash University - Department of Econometrics & Business Statistics
Downloads 145 (332,646)

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precision-based method, conditional forecast, vector autoregression

19.

The Term Structure of Cash Flow Risk

Number of pages: 29 Posted: 17 Oct 2022 Last Revised: 11 Jan 2023
Davide Pettenuzzo and Riccardo Sabbatucci
Brandeis University - International Business School and Stockholm School of Economics
Downloads 95 (452,960)

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High-frequency cash flow news; term structure of cash flow risk; cash flow beta;

20.

Granger Causality, Exogeneity, Cointegration, and Economic Policy Analysis

Number of pages: 36 Posted: 30 Nov 2012
Davide Pettenuzzo and Halbert L. White Jr.
Brandeis University - International Business School and University of California, San Diego (UCSD) - Department of Economics
Downloads 63 (573,823)
Citation 1

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21.

Learning, Structural Instability and Present Value Calculations

Bundesbank Series 1 Discussion Paper No. 2006,27
Number of pages: 56 Posted: 08 Jun 2016
M. Hashem Pesaran, Davide Pettenuzzo and Allan Timmermann
University of Southern California - Department of Economics, Brandeis University - International Business School and UCSD
Downloads 41 (693,097)
Citation 3

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present value, stock prices, structural breaks, Bayesian learning

22.

Bond Return Predictability: Economic Value and Links to the Macroeconomy

CEPR Discussion Paper No. DP10104
Number of pages: 63 Posted: 25 Sep 2014
Davide Pettenuzzo
Brandeis University - International Business School
Downloads 0 (1,032,298)
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Bayesian estimation, bond returns, model uncertainty, stochastic volatility, time-varying parameters