Details about Davide Pettenuzzo

Access statistics for papers by Davide Pettenuzzo.

Last updated 2021-01-04. Update your information in the RePEc Author Service.

Short-id: ppe516

Working Papers

2020

1. Dividend Suspensions and Cash Flow Risk during the Covid-19 Pandemic
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (2)
2. Machine Learning Econometrics: Bayesian algorithms and methods
   Papers, arXiv.org View citations (2)
   Also in MPRA Paper, University Library of Munich, Germany (2020) View citations (2)
   Working Papers, Brandeis University, Department of Economics and International Business School (2020) View citations (2)
   Working Papers, Business School - Economics, University of Glasgow (2020) View citations (2)

2019

3. Cash Flow News and Stock Price Dynamics
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   See also Journal Article Cash Flow News and Stock Price Dynamics, Journal of Finance, American Finance Association (2020) View citations (7) (2020)

2018

4. Adaptive Hierarchical Priors for High-Dimensional Vector Autoregressions
   Working Paper series, Rimini Centre for Economic Analysis View citations (3)
   Also in Working Papers, Brandeis University, Department of Economics and International Business School (2017) View citations (3)
   See also Journal Article Adaptive hierarchical priors for high-dimensional vector autoregressions, Journal of Econometrics, Elsevier (2019) View citations (29) (2019)
5. Forecasting Stock Returns: A Predictor-Constrained Approach
   Working Papers, Brandeis University, Department of Economics and International Business School
   Also in Working Papers, Brandeis University, Department of Economics and International Business School (2017) View citations (1)
   See also Journal Article Forecasting stock returns: A predictor-constrained approach, Journal of Empirical Finance, Elsevier (2020) View citations (19) (2020)
6. High-frequency Cash Flow Dynamics
   Working Papers, Brandeis University, Department of Economics and International Business School View citations (1)
7. Optimal Asset Allocation with Multivariate Bayesian Dynamic Linear Models
   Working Papers, Brandeis University, Department of Economics and International Business School

2017

8. Bayesian Compressed Vector Autoregressions
   Working Paper series, Rimini Centre for Economic Analysis View citations (4)
   Also in Working Papers, Brandeis University, Department of Economics and International Business School (2016) View citations (20)
   Working Papers, Brandeis University, Department of Economics and International Business School (2016) View citations (23)
   Working Papers, Business School - Economics, University of Glasgow (2016) View citations (16)
   See also Journal Article Bayesian compressed vector autoregressions, Journal of Econometrics, Elsevier (2019) View citations (35) (2019)

2016

9. Adaptive Minnesota Prior for High-Dimensional Vector Autoregressions
   Essex Finance Centre Working Papers, University of Essex, Essex Business School View citations (7)
10. Bond Return Predictability: Economic Value and Links to the Macroeconomy
    Working Papers, Brandeis University, Department of Economics and International Business School View citations (1)
    Also in Working Papers, Brandeis University, Department of Economics and International Business School (2014) View citations (1)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2014) View citations (1)
    See also Journal Article Bond Return Predictability: Economic Value and Links to the Macroeconomy, Management Science, INFORMS (2019) View citations (42) (2019)
11. Forecasting Macroeconomic Variables under Model Instability
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)
    See also Journal Article Forecasting Macroeconomic Variables Under Model Instability, Journal of Business & Economic Statistics, Taylor & Francis Journals (2017) View citations (30) (2017)
12. Option-Implied Equity Premium Predictions via Entropic TiltinG
    Working Papers, Brandeis University, Department of Economics and International Business School View citations (2)
    Also in Working Papers, Brandeis University, Department of Economics and International Business School (2016) View citations (2)
    See also Journal Article Option-Implied Equity Premium Predictions via Entropic Tilting, Journal of Financial Econometrics, Oxford University Press (2019) View citations (1) (2019)

2015

13. Optimal Portfolio Choice under Decision-Based Model Combinations
    Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School View citations (1)
    Also in Working Papers, Brandeis University, Department of Economics and International Business School (2014)
    Working Paper, Norges Bank (2014)
    See also Journal Article Optimal Portfolio Choice Under Decision‐Based Model Combinations, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2016) View citations (37) (2016)

2014

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

2013

16. Forecasting Stock Returns under Economic Constraints
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (7)
    Also in Working Papers, Brandeis University, Department of Economics and International Business School (2013) View citations (7)
    See also Journal Article Forecasting stock returns under economic constraints, Journal of Financial Economics, Elsevier (2014) View citations (162) (2014)

2010

17. Granger Causality, Exogeneity, Cointegration, and Economic Policy Analysis
    Working Papers, Brandeis University, Department of Economics and International Business School View citations (5)
    See also Journal Article Granger causality, exogeneity, cointegration, and economic policy analysis, Journal of Econometrics, Elsevier (2014) View citations (13) (2014)

2008

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

2006

19. Learning, Structural Instability and Present Value Calculations
    IEPR Working Papers, Institute of Economic Policy Research (IEPR) View citations (36)
    Also in CESifo Working Paper Series, CESifo (2006) View citations (3)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2006) View citations (31)
    Computing in Economics and Finance 2006, Society for Computational Economics (2006) View citations (3)
    Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank (2006) View citations (31)
    See also Journal Article Learning, Structural Instability, and Present Value Calculations, Econometric Reviews, Taylor & Francis Journals (2007) View citations (14) (2007)

2005

20. 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

21. Forecasting Time Series Subject to Multiple Structural Breaks
    CESifo Working Paper Series, CESifo View citations (20)
    Also in IZA Discussion Papers, Institute of Labor Economics (IZA) (2004) View citations (17)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2004) View citations (21)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2004) View citations (32)
    See also Journal Article Forecasting Time Series Subject to Multiple Structural Breaks, The Review of Economic Studies, Review of Economic Studies Ltd (2006) View citations (229) (2006)

Journal Articles

2020

1. Cash Flow News and Stock Price Dynamics
   Journal of Finance, 2020, 75, (4), 2221-2270 View citations (7)
   See also Working Paper Cash Flow News and Stock Price Dynamics, CEPR Discussion Papers (2019) (2019)
2. Forecasting stock returns: A predictor-constrained approach
   Journal of Empirical Finance, 2020, 55, (C), 200-217 View citations (19)
   See also Working Paper Forecasting Stock Returns: A Predictor-Constrained Approach, Working Papers (2018) (2018)

2019

3. Adaptive hierarchical priors for high-dimensional vector autoregressions
   Journal of Econometrics, 2019, 212, (1), 241-271 View citations (29)
   See also Working Paper Adaptive Hierarchical Priors for High-Dimensional Vector Autoregressions, Working Paper series (2018) View citations (3) (2018)
4. Bayesian compressed vector autoregressions
   Journal of Econometrics, 2019, 210, (1), 135-154 View citations (35)
   See also Working Paper Bayesian Compressed Vector Autoregressions, Working Paper series (2017) View citations (4) (2017)
5. Bond Return Predictability: Economic Value and Links to the Macroeconomy
   Management Science, 2019, 65, (2), 508-540 View citations (42)
   See also Working Paper Bond Return Predictability: Economic Value and Links to the Macroeconomy, Working Papers (2016) View citations (1) (2016)
6. Option-Implied Equity Premium Predictions via Entropic Tilting
   Journal of Financial Econometrics, 2019, 17, (4), 559-586 View citations (1)
   See also Working Paper Option-Implied Equity Premium Predictions via Entropic TiltinG, Working Papers (2016) View citations (2) (2016)

2017

7. Forecasting Macroeconomic Variables Under Model Instability
   Journal of Business & Economic Statistics, 2017, 35, (2), 183-201 View citations (30)
   See also Working Paper Forecasting Macroeconomic Variables under Model Instability, CEPR Discussion Papers (2016) View citations (1) (2016)

2016

8. A MIDAS approach to modeling first and second moment dynamics
   Journal of Econometrics, 2016, 193, (2), 315-334 View citations (42)
9. Optimal Portfolio Choice Under Decision‐Based Model Combinations
   Journal of Applied Econometrics, 2016, 31, (7), 1312-1332 View citations (37)
   See also Working Paper Optimal Portfolio Choice under Decision-Based Model Combinations, Working Papers (2015) View citations (1) (2015)

2014

10. Forecasting stock returns under economic constraints
    Journal of Financial Economics, 2014, 114, (3), 517-553 View citations (162)
    See also Working Paper Forecasting Stock Returns under Economic Constraints, CEPR Discussion Papers (2013) View citations (7) (2013)
11. Granger causality, exogeneity, cointegration, and economic policy analysis
    Journal of Econometrics, 2014, 178, (P2), 316-330 View citations (13)
    See also Working Paper Granger Causality, Exogeneity, Cointegration, and Economic Policy Analysis, Working Papers (2010) View citations (5) (2010)

2011

12. Predictability of stock returns and asset allocation under structural breaks
    Journal of Econometrics, 2011, 164, (1), 60-78 View citations (97)

2007

13. Learning, Structural Instability, and Present Value Calculations
    Econometric Reviews, 2007, 26, (2-4), 253-288 View citations (14)
    See also Working Paper Learning, Structural Instability and Present Value Calculations, IEPR Working Papers (2006) View citations (36) (2006)

2006

14. Forecasting Time Series Subject to Multiple Structural Breaks
    The Review of Economic Studies, 2006, 73, (4), 1057-1084 View citations (229)
    See also Working Paper Forecasting Time Series Subject to Multiple Structural Breaks, CESifo Working Paper Series (2004) View citations (20) (2004)