Davide Pettenuzzo

Brandeis University - International Business School

Mailstop 32

Waltham, MA 02454-9110

United States

  • Brandeis University - International Business School

SCHOLARLY PAPERS

17

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CITATIONS
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197

Scholarly Papers (17)

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1.

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 Melbourne - Department of Finance, Brandeis University - International Business School and UCSD
Downloads 651 (39,050)
Citation 22

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

2.

Forecasting Stock Returns Under Economic Constraints

Downloads 475 ( 58,730)
Citation 42

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 473 (58,377)
Citation 1

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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 (666,280)
Citation 1
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Bayesian analysis, Economic constraints, Sharpe Ratio, Stock return predictability

3.

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 425 (67,233)
Citation 1

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multivariate time series, random projection, forecasting

4.

Forecasting Time Series Subject to Multiple Structural Breaks

Downloads 384 ( 75,820)
Citation 67

Forecasting Time Series Subject to Multiple Structural Breaks

IZA Discussion Paper No. 1196; CESifo Working Paper Series No. 1237
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 364 (80,023)
Citation 4

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

Forecasting Time Series Subject to Multiple Structural Breaks

CEPR Discussion Paper No. 4636
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 (536,872)
Citation 3
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Structural breaks, forecasting, hierarchical hidden Markov Chain Model, Bayesian model averaging

5.

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 256 (118,533)
Citation 1

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Bayesian VARs, Mixture Prior, Large Datasets, Macroeconomic Forecasting

6.

A MIDAS Approach to Modeling First and Second Moment Dynamics

Downloads 252 (120,492)
Citation 7

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 252 (119,960)
Citation 2

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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 1
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Bayesian estimation, GDP growth, MIDAS regressions, out-of-sample forecasts, stochastic volatility

7.

Cash Flow News and Stock Price Dynamics

Swedish House of Finance Research Paper No. 18-10
Number of pages: 83 Posted: 01 Mar 2018 Last Revised: 01 Oct 2018
Davide Pettenuzzo, Riccardo Sabbatucci and Allan Timmermann
Brandeis University - International Business School, Stockholm School of Economics and UCSD
Downloads 208 (145,442)

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High-frequency cash flow news; predictability of dividend growth; jump risk; dynamics in stock returns; uncertainty transmission channel; Bayesian modeling

8.

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 162 (182,098)

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

9.

Learning, Structural Instability and Present Value Calculations

Downloads 160 (184,078)
Citation 9

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 111 (246,433)

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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 49 (396,234)
Citation 3

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present value, stock prices, structural breaks, Bayesian learning

10.

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 Bolzano
Downloads 156 (188,040)
Citation 5

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

11.

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 128 (220,720)
Citation 1

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

12.

Forecasting Macroeconomic Variables Under Model Instability

Downloads 127 (221,994)
Citation 6

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 127 (222,809)
Citation 3

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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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GDP growth, inflation, regime switching, stochastic volatility, time-varying parameters

13.

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 121 (230,302)
Citation 1

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14.

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, University of Texas at Austin - Red McCombs School of Business and Brandeis University - International Business School
Downloads 118 (234,682)

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Optimal Asset Allocation, Bayesian Econometrics, Dynamic Linear Models

15.

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 39 (426,004)
Citation 1

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16.

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 16 (542,240)

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present value, stock prices, structural breaks, Bayesian learning

17.

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 (666,371)
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Bayesian estimation, bond returns, model uncertainty, stochastic volatility, time-varying parameters