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Details about Davide Pettenuzzo

E-mail:
Homepage:http://people.brandeis.edu/~dpettenu/
Workplace:Department of Economics, International Business School, Brandeis University, (more information at EDIRC)

Access statistics for papers by Davide Pettenuzzo.

Last updated 2017-02-07. Update your information in the RePEc Author Service.

Short-id: ppe516


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Working Papers

2016

  1. Bayesian Compressed Vector Autoregressions
    Working Papers, Brandeis University, Department of Economics and International Businesss School Downloads View citations (3)
    Also in Working Papers, Brandeis University, Department of Economics and International Businesss School (2016) Downloads View citations (3)
    Working Papers, Business School - Economics, University of Glasgow (2016) Downloads View citations (3)
  2. Bond Return Predictability: Economic Value and Links to the Macroeconomy
    Working Papers, Brandeis University, Department of Economics and International Businesss School Downloads
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2014) Downloads
    Working Papers, Brandeis University, Department of Economics and International Businesss School (2014) Downloads
  3. Forecasting Macroeconomic Variables under Model Instability
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
  4. Option-Implied Equity Premium Predictions via Entropic TiltinG
    Working Papers, Brandeis University, Department of Economics and International Businesss School Downloads View citations (1)
    Also in Working Papers, Brandeis University, Department of Economics and International Businesss School (2016) Downloads View citations (1)

2015

  1. Optimal Portfolio Choice under Decision-Based Model Combinations
    Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School Downloads
    Also in Working Papers, Brandeis University, Department of Economics and International Businesss School (2014) Downloads
    Working Paper, Norges Bank (2014) Downloads

2014

  1. A Bayesian MIDAS Approach to Modeling First and Second Moment Dynamics
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (2)
    Also in Working Papers, Brandeis University, Department of Economics and International Businesss School (2014) Downloads View citations (2)
  2. To Predict the Equity Market, Consult Economic Theory
    Rosenberg Global Financial Briefs, Brandeis University, Rosenberg Institute of Global Finance, International Businesss School Downloads

2013

  1. Forecasting Stock Returns under Economic Constraints
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (3)
    Also in Working Papers, Brandeis University, Department of Economics and International Businesss School (2013) Downloads View citations (5)

    See also Journal Article in Journal of Financial Economics (2014)

2010

  1. Granger Causality, Exogeneity, Cointegration, and Economic Policy Analysis
    Working Papers, Brandeis University, Department of Economics and International Businesss School Downloads View citations (3)
    See also Journal Article in Journal of Econometrics (2014)

2008

  1. Return Predictability under Equilibrium Constraints on the Equity Premium
    Working Papers, Brandeis University, Department of Economics and International Businesss School Downloads View citations (1)

2006

  1. Learning, Structural Instability and Present Value Calculations
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (1)
    Also in Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, Research Centre (2006) Downloads View citations (1)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2006) Downloads View citations (29)
    Computing in Economics and Finance 2006, Society for Computational Economics (2006) Downloads View citations (1)
    IEPR Working Papers, Institute of Economic Policy Research (IEPR) (2006) View citations (6)

    See also Journal Article in Econometric Reviews (2007)

2005

  1. The Forecasing time series subject to multiple structure breaks
    Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group

2004

  1. Forecasting Time Series Subject to Multiple Structural Breaks
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads View citations (20)
    Also in CESifo Working Paper Series, CESifo Group Munich (2004) Downloads View citations (12)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2004) Downloads View citations (27)
    IZA Discussion Papers, Institute for the Study of Labor (IZA) (2004) Downloads View citations (12)

    See also Journal Article in Review of Economic Studies (2006)

Journal Articles

2016

  1. A MIDAS approach to modeling first and second moment dynamics
    Journal of Econometrics, 2016, 193, (2), 315-334 Downloads

2014

  1. Forecasting stock returns under economic constraints
    Journal of Financial Economics, 2014, 114, (3), 517-553 Downloads View citations (9)
    See also Working Paper (2013)
  2. Granger causality, exogeneity, cointegration, and economic policy analysis
    Journal of Econometrics, 2014, 178, (P2), 316-330 Downloads View citations (4)
    See also Working Paper (2010)

2011

  1. Predictability of stock returns and asset allocation under structural breaks
    Journal of Econometrics, 2011, 164, (1), 60-78 Downloads View citations (46)

2007

  1. Learning, Structural Instability, and Present Value Calculations
    Econometric Reviews, 2007, 26, (2-4), 253-288 Downloads View citations (8)
    See also Working Paper (2006)

2006

  1. Forecasting Time Series Subject to Multiple Structural Breaks
    Review of Economic Studies, 2006, 73, (4), 1057-1084 Downloads View citations (137)
    See also Working Paper (2004)
 
Page updated 2017-03-27