Davide Pettenuzzo

Brandeis University - International Business School

Mailstop 32

Waltham, MA 02454-9110

United States

  • Brandeis University - International Business School

SCHOLARLY PAPERS

20

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5,627

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Top 2,818

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175

CROSSREF CITATIONS

302

Scholarly Papers (20)

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1.

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

Downloads 715 ( 44,141)
Citation 3

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: 58 Posted: 24 Sep 2020 Last Revised: 29 Dec 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
Downloads 713 (43,535)
Citation 3

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Corona virus, COVID-19, high-frequency cash flow news, dividend suspensions, dividend growth dynamics, event study methodology

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
Downloads 2 (799,154)
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2.

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 709 (44,492)
Citation 57

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

3.

Forecasting Stock Returns Under Economic Constraints

Downloads 519 ( 66,347)
Citation 56

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 517 (65,964)
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 (799,307)
Citation 14
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Bayesian analysis, Economic constraints, Sharpe Ratio, Stock return predictability

4.

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 491 (71,098)
Citation 9

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multivariate time series, random projection, forecasting

5.

Cash Flow News and Stock Price Dynamics

Downloads 431 ( 83,183)
Citation 4

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 431 (82,453)

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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.

Forecasting Time Series Subject to Multiple Structural Breaks

Downloads 395 ( 92,016)
Citation 78

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 375 (96,941)
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 (648,239)
Citation 14
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Structural breaks, forecasting, hierarchical hidden Markov Chain Model, Bayesian model averaging

7.

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 315 (118,586)
Citation 2

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Bayesian VARs, Mixture Prior, Large Datasets, Macroeconomic Forecasting

8.

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 283 (132,803)

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MCMC, Approximate Inference, Scalability, Parallel Computation

9.

A MIDAS Approach to Modeling First and Second Moment Dynamics

Downloads 282 (133,287)
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 282 (132,652)
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

10.

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 California, Berkeley and Brandeis University - International Business School
Downloads 250 (150,684)
Citation 1

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Optimal Asset Allocation, Bayesian Econometrics, Dynamic Linear Models

11.

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 205 (182,071)
Citation 2

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

12.

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

Downloads 203 (183,701)

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

Swedish House of Finance Research Paper No. 21-10
Number of pages: 58 Posted: 10 Apr 2021 Last Revised: 12 Jul 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
Downloads 203 (183,549)

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COVID-19 pandemic; dividend suspensions; share repurchases; bond and equity issues; corporate actions; stock market reaction

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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13.

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 167 (218,209)
Citation 13

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

14.

Learning, Structural Instability and Present Value Calculations

Downloads 166 (219,331)
Citation 10

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 115 (293,729)

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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 51 (472,274)
Citation 8

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present value, stock prices, structural breaks, Bayesian learning

15.

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 143 (248,259)
Citation 1

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

16.

Forecasting Macroeconomic Variables Under Model Instability

Downloads 142 (249,677)
Citation 12

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 142 (250,467)
Citation 4

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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 5
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GDP growth, inflation, regime switching, stochastic volatility, time-varying parameters

17.

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 142 (249,677)
Citation 10

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18.

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 47 (480,415)
Citation 1

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19.

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 22 (613,611)

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present value, stock prices, structural breaks, Bayesian learning

20.

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 (793,642)
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Bayesian estimation, bond returns, model uncertainty, stochastic volatility, time-varying parameters