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 122

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. He serves as an associate editor for the Journal of Business and Economic Statistics and the Journal of Financial Econometrics. At Brandeis University, he teaches econometrics both at the undergraduate and graduate level, as well as Financial Economics.

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.

Professor Pettenuzzo earned a B.Sc. in Business and Economics from the University of Verona, a M.A. in Economics from CORIPE Piemonte, and a Ph.D. in Economics from Bocconi University.


Metaxoglou, Konstantinos; Pettenuzzo, Davide; Smith, Aaron. "Option-Implied Equity Premium Predictions via Entropic Tilting." Journal of Financial Econometrics (2018). (forthcoming)

Koop, Gary; Korobilis, Dimitris; Pettenuzzo, Davide. "Bayesian Compressed VARs." Journal of Econometrics (2017). (forthcoming)

Gargano, Antonio; Pettenuzzo, Davide; Timmermann, Allan. "Bond Return Predictability: Economic Value and Links to the Macroeconomy." Management Science (2017).

Pettenuzzo, Davide, Allan Timmermann. "Forecasting Macroeconomic Variables Under Model Instability." Journal of Business and Economic Statistics (2017).

Pettenuzzo, Davide; Ravazzolo, Francesco. "Optimal Portfolio Choice under Decision-Based Model Combinations." Journal of Applied Econometrics (2016).

Pettenuzzo, Davide; Timmermann, Allan; Valkanov, Ross. "A MIDAS Approach to Modeling First and Second Moment Dynamics." Journal of Econometrics (2016).

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 213a Applied Econometrics with R
ECON 312a Advanced Econometrics II