Assistant Professor of Economics
Econometric methods in finance
- Bocconi University, Ph.D.
- CORIPE Piemonte, M.A.
- University of Verona, B.Sc.
ECON 171aFinancial Economics
ECON 312aAdvanced Econometrics II
EL 94aExperiential Learning Practicum
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; 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).
Awards & Honors:
- (2013) Theodore and Jane Norman Fund for Faculty Research and Creative Projects