Davide Pettenuzzo

Brandeis University - Department of Economics

Assistant Professor

Waltham, MA 02454-9110

United States

SCHOLARLY PAPERS

15

DOWNLOADS
Rank 15,712

SSRN RANKINGS

Top 15,712

in Total Papers Downloads

2,605

CITATIONS
Rank 6,916

SSRN RANKINGS

Top 6,916

in Total Papers Citations

70

Scholarly Papers (15)

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 404 (61,131)

Abstract:

Loading...

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 (583,095)
  • Add to Cart

Abstract:

Loading...

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 355 (71,016)
Citation 42

Abstract:

Loading...

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 (476,878)
Citation 42
  • Add to Cart

Abstract:

Loading...

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: 68 Posted: 26 Jul 2014 Last Revised: 05 Jun 2017
Antonio Gargano, Davide Pettenuzzo and Allan G. Timmermann
The University of Melbourne - Department of Finance, Brandeis University - Department of Economics and University of California, San Diego (UCSD) - Department of Economics
Downloads 264 (41,175)
Citation 2

Abstract:

Loading...

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 209 (125,943)

Abstract:

Loading...

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
  • Add to Cart

Abstract:

Loading...

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 (219,194)
Citation 4

Abstract:

Loading...

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 (362,802)
Citation 4

Abstract:

Loading...

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 113 (214,848)

Abstract:

Loading...

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
  • Add to Cart

Abstract:

Loading...

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 (177,916)

Abstract:

Loading...

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 (215,229)
Citation 15

Abstract:

Loading...

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 (399,363)

Abstract:

Loading...

10.

Forecasting Stock Returns: A Predictor-Constrained Approach

Number of pages: 39 Posted: 18 Oct 2017
Zhiyuan Pan, Davide Pettenuzzo and Yudong Wang
Southwestern University of Finance and Economics (SWUFE) - Institute of Chinese Financial Studies (ICFS), Brandeis University - Department of Economics and Shanghai Jiao Tong University (SJTU)
Downloads 0 (275,371)

Abstract:

Loading...

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

11.

Adaptive Hierarchical Priors for High-Dimensional Vector Autoregressions

Number of pages: 53 Posted: 16 Dec 2016 Last Revised: 15 Sep 2017
Dimitris Korobilis and Davide Pettenuzzo
University of Essex - Essex Business School and Brandeis University - Department of Economics
Downloads 0 (257,447)

Abstract:

Loading...

Bayesian VARs, Mixture Prior, Large Datasets, Macroeconomic Forecasting

12.

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 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 0 (503,100)
Citation 4

Abstract:

Loading...

present value, stock prices, structural breaks, Bayesian learning

13.

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 Essex - Essex Business School and Brandeis University - Department of Economics
Downloads 0 (116,466)

Abstract:

Loading...

multivariate time series, random projection, forecasting

14.

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 - Department of Economics and University of California, Davis - Department of Agricultural and Resource Economics
Downloads 0 (228,555)

Abstract:

Loading...

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

15.

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 (580,787)
  • Add to Cart

Abstract:

Loading...

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