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
   MPRA Paper, University Library of Munich, Germany View citations (2)
   Also in Papers, arXiv.org (2020) View citations (2)
   Working Papers, Business School - Economics, University of Glasgow (2020) View citations (2)
   Working Papers, Brandeis University, Department of Economics and International Businesss School (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 in Journal of Finance (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 Businesss School (2017) View citations (3)
   See also Journal Article in Journal of Econometrics (2019)
5. Forecasting Stock Returns: A Predictor-Constrained Approach
   Working Papers, Brandeis University, Department of Economics and International Businesss School
   Also in Working Papers, Brandeis University, Department of Economics and International Businesss School (2017) View citations (1)
   See also Journal Article in Journal of Empirical Finance (2020)
6. High-frequency Cash Flow Dynamics
   Working Papers, Brandeis University, Department of Economics and International Businesss School View citations (1)
7. Optimal Asset Allocation with Multivariate Bayesian Dynamic Linear Models
   Working Papers, Brandeis University, Department of Economics and International Businesss School

2017

8. Bayesian Compressed Vector Autoregressions
   Working Paper series, Rimini Centre for Economic Analysis View citations (3)
   Also in Working Papers, Brandeis University, Department of Economics and International Businesss School (2016) View citations (23)
   Working Papers, Business School - Economics, University of Glasgow (2016) View citations (15)
   Working Papers, Brandeis University, Department of Economics and International Businesss School (2016) View citations (20)
   See also Journal Article in Journal of Econometrics (2019)

2016

9. Adaptive Minnesota Prior for High-Dimensional Vector Autoregressions
   Essex Finance Centre Working Papers, University of Essex, Essex Business School View citations (6)
10. Bond Return Predictability: Economic Value and Links to the Macroeconomy
    Working Papers, Brandeis University, Department of Economics and International Businesss School View citations (1)
    Also in Working Papers, Brandeis University, Department of Economics and International Businesss School (2014) View citations (1)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2014) View citations (1)
    See also Journal Article in Management Science (2019)
11. Forecasting Macroeconomic Variables under Model Instability
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)
    See also Journal Article in Journal of Business & Economic Statistics (2017)
12. Option-Implied Equity Premium Predictions via Entropic TiltinG
    Working Papers, Brandeis University, Department of Economics and International Businesss School View citations (2)
    Also in Working Papers, Brandeis University, Department of Economics and International Businesss School (2016) View citations (2)
    See also Journal Article in The Journal of Financial Econometrics (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 Paper, Norges Bank (2014)
    Working Papers, Brandeis University, Department of Economics and International Businesss School (2014)
    See also Journal Article in Journal of Applied Econometrics (2016)

2014

14. A Bayesian MIDAS Approach to Modeling First and Second Moment Dynamics
    Working Papers, Brandeis University, Department of Economics and International Businesss School View citations (2)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (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 Businesss School (2013) View citations (7)
    See also Journal Article in Journal of Financial Economics (2014)

2010

17. Granger Causality, Exogeneity, Cointegration, and Economic Policy Analysis
    Working Papers, Brandeis University, Department of Economics and International Businesss School View citations (5)
    See also Journal Article in Journal of Econometrics (2014)

2008

18. Return Predictability under Equilibrium Constraints on the Equity Premium
    Working Papers, Brandeis University, Department of Economics and International Businesss 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)
    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)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2006) View citations (31)
    See also Journal Article in Econometric Reviews (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
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (21)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2004) View citations (32)
    IZA Discussion Papers, Institute of Labor Economics (IZA) (2004) View citations (17)
    CESifo Working Paper Series, CESifo (2004) View citations (20)
    See also Journal Article in Review of Economic Studies (2006)

Journal Articles

2020

1. Cash Flow News and Stock Price Dynamics
   Journal of Finance, 2020, 75, (4), 2221-2270 View citations (2)
   See also Working Paper (2019)
2. Forecasting stock returns: A predictor-constrained approach
   Journal of Empirical Finance, 2020, 55, (C), 200-217 View citations (18)
   See also Working Paper (2018)

2019

3. Adaptive hierarchical priors for high-dimensional vector autoregressions
   Journal of Econometrics, 2019, 212, (1), 241-271 View citations (25)
   See also Working Paper (2018)
4. Bayesian compressed vector autoregressions
   Journal of Econometrics, 2019, 210, (1), 135-154 View citations (31)
   See also Working Paper (2017)
5. Bond Return Predictability: Economic Value and Links to the Macroeconomy
   Management Science, 2019, 65, (2), 508-540 View citations (27)
   See also Working Paper (2016)
6. Option-Implied Equity Premium Predictions via Entropic Tilting
   The Journal of Financial Econometrics, 2019, 17, (4), 559-586
   See also Working Paper (2016)

2017

7. Forecasting Macroeconomic Variables Under Model Instability
   Journal of Business & Economic Statistics, 2017, 35, (2), 183-201 View citations (24)
   See also Working Paper (2016)

2016

8. A MIDAS approach to modeling first and second moment dynamics
   Journal of Econometrics, 2016, 193, (2), 315-334 View citations (34)
9. Optimal Portfolio Choice Under Decision‐Based Model Combinations
   Journal of Applied Econometrics, 2016, 31, (7), 1312-1332 View citations (32)
   See also Working Paper (2015)

2014

10. Forecasting stock returns under economic constraints
    Journal of Financial Economics, 2014, 114, (3), 517-553 View citations (129)
    See also Working Paper (2013)
11. Granger causality, exogeneity, cointegration, and economic policy analysis
    Journal of Econometrics, 2014, 178, (P2), 316-330 View citations (9)
    See also Working Paper (2010)

2011

12. Predictability of stock returns and asset allocation under structural breaks
    Journal of Econometrics, 2011, 164, (1), 60-78 View citations (86)

2007

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

2006

14. Forecasting Time Series Subject to Multiple Structural Breaks
    Review of Economic Studies, 2006, 73, (4), 1057-1084 View citations (209)
    See also Working Paper (2004)