Davide Pettenuzzo
Publication Details:
Korobilis, Dimitris; Pettenuzzo, Davide. "Adaptive Hierarchical Priors for High-Dimensional Vector Autoregressions." Journal of Econometrics (2018). (forthcoming)
Publication Details:
Metaxoglou, Konstantinos; Pettenuzzo, Davide; Smith, Aaron. "Option-Implied Equity Premium Predictions via Entropic Tilting." Journal of Financial Econometrics (2018). (forthcoming)
Publication Details:
Koop, Gary; Korobilis, Dimitris; Pettenuzzo, Davide. "Bayesian Compressed VARs." Journal of Econometrics (2017). (forthcoming)
Publication Details:
Gargano, Antonio; Pettenuzzo, Davide; Timmermann, Allan. "Bond Return Predictability: Economic Value and Links to the Macroeconomy." Management Science (2017).
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.
Publication Details:
Pettenuzzo, Davide; White, Halbert. "Granger Causality, Exogeneity, Cointegration, and Economic Policy Analysis." Journal of Econometrics 178. (2014): 316-330.
Publication Details:
Pettenuzzo, Davide;Timmermann, Allan. "Predictability of Stock Returns and Asset Allocation under Structural Breaks." Journal of Econometrics (2011).