Main Content

Bond Return Predictability: Economic Value and Links to the Macroeconomy

Bayesian Compressed VARs

Forecasting Macroeconomic Variables Under Model Instability

Optimal Portfolio Choice under Decision-Based Model Combinations

A MIDAS Approach to Modeling First and Second Moment Dynamics

Forecasting Stock Returns under Economic Constraints

Granger Causality, Exogeneity, Cointegration, and Economic Policy Analysis

Predictability of Stock Returns and Asset Allocation under Structural Breaks

Learning, Structural Instability, and Present Value Calculations

Forecasting Time Series subject to Structural Breaks

Davide Pettenuzzo

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

Publication Details:
Koop, Gary; Korobilis, Dimitris; Pettenuzzo, Davide. "Bayesian Compressed VARs.

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

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

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

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