Davide Pettenuzzo

Brandeis University - Department of Economics

Assistant Professor

Waltham, MA 02454-9110

United States

View CV
SCHOLARLY PAPERS

14

DOWNLOADS
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CITATIONS
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70

Scholarly Papers (14)

Forecasting Stock Returns Under Economic Constraints

Number of pages: 57 Posted: 09 Dec 2012
Davide Pettenuzzo, Allan G. Timmermann and Rossen I. Valkanov
Brandeis University - Department of Economics, University of California, San Diego (UCSD) - Department of Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 371 (61,163)

Abstract:

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 G. Timmermann and Rossen I. Valkanov
Brandeis University - Department of Economics, University of California, San Diego (UCSD) - Department of Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 2 (540,319)

Abstract:

Bayesian analysis, Economic constraints, Sharpe Ratio, Stock return predictability

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 G. Timmermann
USC Dornsife Institute for New Economic Thinking, Brandeis University - Department of Economics and University of California, San Diego (UCSD) - Department of Economics
Downloads 351 (65,509)
Citation 42

Abstract:

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 G. Timmermann
USC Dornsife Institute for New Economic Thinking, Brandeis University - Department of Economics and University of California, San Diego (UCSD) - Department of Economics
Downloads 20 (440,221)
Citation 42

Abstract:

Structural breaks, forecasting, hierarchical hidden Markov Chain Model, Bayesian model averaging

3.

Bond Return Predictability: Economic Value and Links to the Macroeconomy

Number of pages: 67 Posted: 26 Jul 2014 Last Revised: 11 Feb 2017
Antonio Gargano, Davide Pettenuzzo and Allan G. Timmermann
University of Melbourne - Department of Finance, Brandeis University - Department of Economics and University of California, San Diego (UCSD) - Department of Economics
Downloads 264 (49,470)

Abstract:

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

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 G. Timmermann and Rossen I. Valkanov
Brandeis University - Department of Economics, University of California, San Diego (UCSD) - Department of Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 180 (132,500)

Abstract:

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 G. Timmermann and Rossen I. Valkanov
Brandeis University - Department of Economics, University of California, San Diego (UCSD) - Department of Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 0

Abstract:

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

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 G. Timmermann
USC Dornsife Institute for New Economic Thinking, Brandeis University - Department of Economics and University of California, San Diego (UCSD) - Department of Economics
Downloads 109 (200,549)
Citation 4

Abstract:

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 G. Timmermann
USC Dornsife Institute for New Economic Thinking, Brandeis University - Department of Economics and University of California, San Diego (UCSD) - Department of Economics
Downloads 45 (333,075)
Citation 4

Abstract:

present value, stock prices, structural breaks, Bayesian learning

Forecasting Macroeconomic Variables Under Model Instability

Number of pages: 41 Posted: 09 May 2015
Davide Pettenuzzo and Allan G. Timmermann
Brandeis University - Department of Economics and University of California, San Diego (UCSD) - Department of Economics
Downloads 89 (230,790)

Abstract:

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 G. Timmermann
Brandeis University - Department of Economics and University of California, San Diego (UCSD) - Department of Economics
Downloads 0

Abstract:

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

7.

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 - Department of Economics and Free University of Bolzano
Downloads 80 (169,537)

Abstract:

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

8.

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 G. Timmermann
Brandeis University - Department of Economics and University of California, San Diego (UCSD) - Department of Economics
Downloads 75 (205,007)
Citation 15

Abstract:

9.

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 - Department of Economics and University of California, San Diego (UCSD) - Department of Economics
Downloads 19 (400,730)

Abstract:

10.

Adaptive Minnesota Prior for High-Dimensional Vector Autoregressions

Number of pages: 47 Posted: 16 Dec 2016
Dimitris Korobilis and Davide Pettenuzzo
University of Essex - Essex Business School and Brandeis University - Department of Economics
Downloads 0 (456,169)

Abstract:

Bayesian VARs, Minnesota Prior, Large Datasets, Macroeconomic Forecasting

11.

Learning, Structural Instability and Present Value Calculations

Bundesbank Series 1 Discussion Paper No. 2006,27
Number of pages: 56 Posted: 08 Jun 2016
University of Southern California - Department of Economics, Brandeis University - Department of Economics and University of California, San Diego (UCSD) - Department of Economics
Downloads 0 (471,383)
Citation 4

Abstract:

present value, stock prices, structural breaks, Bayesian learning

12.

Option-Implied Equity Premium Predictions via Entropic Tilting

Number of pages: 35 Posted: 26 Mar 2016 Last Revised: 06 Aug 2016
Konstantinos Metaxoglou, Davide Pettenuzzo and Aaron Smith
Carleton University, Brandeis University - Department of Economics and University of California, Davis - Department of Agricultural and Resource Economics
Downloads 0 (282,164)

Abstract:

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

13.

Bayesian Compressed Vector Autoregressions

Number of pages: 63 Posted: 26 Mar 2016 Last Revised: 11 Feb 2017
Gary Koop, Dimitris Korobilis and Davide Pettenuzzo
University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics, University of Essex - Essex Business School and Brandeis University - Department of Economics
Downloads 0 (254,203)

Abstract:

multivariate time series, random projection, forecasting

14.

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 - Department of Economics
Downloads 0 (532,463)

Abstract:

Bayesian estimation, bond returns, model uncertainty, stochastic volatility, time-varying parameters