Davide Pettenuzzo

Professor of Financial Econometrics in the Brandeis International Business School

Departments/Programs

Economics
International Business School

Degrees

Bocconi University, Ph.D.
CORIPE Piemonte, M.A.
University of Verona, B.Sc.

Expertise

Time-series econometrics
Bayesian econometrics
Econometric methods in finance

Profile

Davide Pettenuzzo is an Associate Professor of Financial Econometrics in the Brandeis International Business School. 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 at the undergraduate and graduate levels, 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. Webpage

Courses Taught

ECON	184b	Econometrics
ECON	213a	Applied Econometrics with R
ECON	312a	Advanced Econometrics II

Awards and Honors

Inquire Europe Research Grant (2020 - 2021)

Honoree, Brandeis Senior Week Faculty & Staff Appreciation Event (2017)

Inquire Europe Research Grant (2017)

Theodore and Jane Norman Fund for Faculty Research and Creative Projects (2017)

Brandeis University Research Innovation Awards (2016)

Theodore and Jane Norman Fund for Faculty Research and Creative Projects (2016)

Theodore and Jane Norman Fund for Faculty Research and Creative Projects (2015)

Kermit H. Perlmutter Fellowship Award for Teaching Excellence (2014)

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

Scholarship

Pettenuzzo, Davide, Korobilis, Dimitris. "Machine learning econometrics: Bayesian algorithms and methods." Oxford Research Encyclopedia: Economics and Finance., 2021 (forthcoming)

Fisher, Jared; Pettenuzzo, Davide; Carvalho, Carlos. "Optimal Asset Allocation with Multivariate Bayesian Dynamic Linear Models." Annals of Applied Statistics 14. (2020): 299-338.

Pettenuzzo, Davide; Sabbatucci, Riccardo; Timmermann, Allan. "Cash Flow News and Stock Price Dynamics." Journal of Finance 75. (2020): 2221-2270.

Zhiyuan, Pan; Pettenuzzo, Davide; Yudong, Wang. "Forecasting stock returns: A predictor-constrained approach." Journal of Empirical Finance 55. (2020): 200-217.

Gargano, Antonio; Pettenuzzo, Davide; Timmermann, Allan. "Bond Return Predictability: Economic Value and Links to the Macroeconomy." Management Science 65. 2 (2019): 508-540.

Koop, Gary; Korobilis, Dimitris; Pettenuzzo, Davide. "Bayesian Compressed VARs." Journal of Econometrics 210. 1 (2019): 135-154.

Korobilis, Dimitris; Pettenuzzo, Davide. "Adaptive Hierarchical Priors for High-Dimensional Vector Autoregressions." Journal of Econometrics 212. 1 (2019): 241-271.

Metaxoglou, Konstantinos; Pettenuzzo, Davide; Smith, Aaron. "Option-Implied Equity Premium Predictions via Entropic Tilting." Journal of Financial Econometrics 17. 4 (2019): 559–586.

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).