Main Content

Adaptive Hierarchical Priors for High-Dimensional Vector Autoregressions

Option-Implied Equity Premium Predictions via Entropic Tilting

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:
Korobilis, Dimitris; Pettenuzzo, Davide. "Adaptive Hierarchical Priors for High-Dimensional Vector Autoregressions." Journal of Econometrics (2019). (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:
Gargano, Antonio; Pettenuzzo, Davide; Timmermann, Allan. "Bond Return Predictability: Economic Value and Links to the Macroeconomy." Management Science (2019).

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

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).

Publication Details:
Pettenuzzo, Davide; Timmermann, Allan; Pesaran, Hashem. "Learning, Structural Instability, and Present Value Calculations." Econometric Reviews (2007).

Publication Details:
Pettenuzzo, Davide; Timmermann, Allan; Pesaran, Hashem. "Forecasting Time Series subject to Structural Breaks." Review of Economic Studies (2006).