Assistant Professor of Economics


Ph.D., Bocconi University

Field of Specialty

Time-series econometrics
Bayesian econometrics
Econometric methods in finance

Contact Information

Sachar International Center 216

Personal Web Page

Davide Pettenuzzo

Davide Pettenuzzo is Assistant Professor of Economics at Brandeis University. His research interests include time-series econometrics, Bayesian econometrics, asset allocation, portfolio optimization, and econometric methods in finance. At Brandeis University, he teaches econometrics at both the undergraduate and graduate level.

Prior to joining Brandeis University, Professor Pettenuzzo worked for the economic consulting firm Bates White LLC, where he specialized in applying econometrics methods to quantify damages in antitrust litigations.


Pettenuzzo, Davide, Allan Timmermann. "An empirical investigation of the nature of the break point process for U.S. GDP and inflation." Journal of Business and Economic Statistics (2015). (forthcoming)

Pettenuzzo, Davide; Ravazzolo, Francesco. "Optimal Portfolio Choice under Decision-Based Model Combinations." Journal of Applied Econometrics (2015). (forthcoming)

Pettenuzzo, Davide; Timmermann, Allan; Valkanov, Ross. "A MIDAS Approach to Modeling First and Second Moment Dynamics." Journal of Econometrics (2015). (forthcoming)

Pettenuzzo, Davide; Timmermann, Allan; Valkanov, Rossen. "Forecasting Stock Returns under Economic Constraints." Journal of Financial Economics 114. 3 (2014): 517-553.

Pettenuzzo, Davide; White, Halbert. "Granger Causality, Exogeneity, Cointegration, and Economic Policy Analysis." Journal of Econometrics 178. (2014): 316-330.

Pettenuzzo, Davide;Timmermann, Allan. "Predictability of Stock Returns and Asset Allocation under Structural Breaks." Journal of Econometrics (2011).

Pettenuzzo, Davide; Timmermann, Allan; Pesaran, Hashem. "Learning, Structural Instability, and Present Value Calculations." Econometric Reviews (2007).

Pettenuzzo, Davide; Timmermann, Allan; Pesaran, Hashem. "Forecasting Time Series subject to Structural Breaks." Review of Economic Studies (2006).

Courses Taught

ECON 171a Financial Economics
ECON 184b Econometrics
ECON 312a Advanced Econometrics II
EL 94a Experiential Learning Practicum