Faculty Guide

Title

Assistant Professor of Economics

Economics
International Business School

Expertise

Time-series econometrics
Bayesian econometrics
Econometric methods in finance

Profile

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.

Awards and Honors

Theodore and Jane Norman Fund for Faculty Research and Creative Projects (2013)

Courses Taught

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

Scholarship

Pettenuzzo, Davide; White, Halbert. "Granger Causality, Exogeneity, Cointegration, and Economic Policy Analysis." Journal of Econometrics (2012). (forthcoming)

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).