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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 2019-04-03. Update your information in the RePEc Author Service.

Short-id: ppe516


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Working Papers

2018

  1. Adaptive Hierarchical Priors for High-Dimensional Vector Autoregressions
    Working Paper series, Rimini Centre for Economic Analysis Downloads View citations (2)
    Also in Working Papers, Brandeis University, Department of Economics and International Businesss School (2017) Downloads View citations (2)
  2. Forecasting Stock Returns: A Predictor-Constrained Approach
    Working Papers, Brandeis University, Department of Economics and International Businesss School Downloads
    Also in Working Papers, Brandeis University, Department of Economics and International Businesss School (2017) Downloads View citations (1)
  3. High-frequency Cash Flow Dynamics
    Working Papers, Brandeis University, Department of Economics and International Businesss School Downloads View citations (1)
  4. Optimal Asset Allocation with Multivariate Bayesian Dynamic Linear Models
    Working Papers, Brandeis University, Department of Economics and International Businesss School Downloads

2017

  1. Bayesian Compressed Vector Autoregressions
    Working Paper series, Rimini Centre for Economic Analysis Downloads View citations (2)
    Also in Working Papers, Brandeis University, Department of Economics and International Businesss School (2016) Downloads View citations (11)
    Working Papers, Business School - Economics, University of Glasgow (2016) Downloads View citations (6)
    Working Papers, Brandeis University, Department of Economics and International Businesss School (2016) Downloads View citations (14)

    See also Journal Article in Journal of Econometrics (2019)

2016

  1. Adaptive Minnesota Prior for High-Dimensional Vector Autoregressions
    Essex Finance Centre Working Papers, University of Essex, Essex Business School Downloads View citations (1)
  2. Bond Return Predictability: Economic Value and Links to the Macroeconomy
    Working Papers, Brandeis University, Department of Economics and International Businesss School Downloads View citations (1)
    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 View citations (1)
    See also Journal Article in Journal of Business & Economic Statistics (2017)
  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

    See also Journal Article in Journal of Applied Econometrics (2016)

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

    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 (5)
    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 (2006) Downloads View citations (1)
    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)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2006) Downloads View citations (29)

    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
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (12)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2004) Downloads View citations (20)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2004) Downloads View citations (27)
    IZA Discussion Papers, Institute of Labor Economics (IZA) (2004) Downloads View citations (12)

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

Journal Articles

2019

  1. Bayesian compressed vector autoregressions
    Journal of Econometrics, 2019, 210, (1), 135-154 Downloads View citations (1)
    See also Working Paper (2017)

2017

  1. Forecasting Macroeconomic Variables Under Model Instability
    Journal of Business & Economic Statistics, 2017, 35, (2), 183-201 Downloads View citations (4)
    See also Working Paper (2016)

2016

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

2014

  1. Forecasting stock returns under economic constraints
    Journal of Financial Economics, 2014, 114, (3), 517-553 Downloads View citations (43)
    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 (6)
    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 (58)

2007

  1. Learning, Structural Instability, and Present Value Calculations
    Econometric Reviews, 2007, 26, (2-4), 253-288 Downloads View citations (7)
    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 (158)
    See also Working Paper (2004)
 
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