Davide Pettenuzzo

Brandeis University - International Business School

Mailstop 32

Waltham, MA 02454-9110

United States

SCHOLARLY PAPERS

20

DOWNLOADS
Rank 10,233

SSRN RANKINGS

Top 10,233

in Total Papers Downloads

6,033

SSRN CITATIONS
Rank 2,807

SSRN RANKINGS

Top 2,807

in Total Papers Citations

175

CROSSREF CITATIONS

304

Scholarly Papers (20)

Dividend Suspensions and Cash Flows During the COVID-19 Pandemic: A Dynamic Econometric Model

Swedish House of Finance Research Paper No. 20-18
Number of pages: 58 Posted: 24 Sep 2020 Last Revised: 29 Dec 2020
Davide Pettenuzzo, Riccardo Sabbatucci and Allan Timmermann
Brandeis University - International Business School, Stockholm School of Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 756 (42,005)
Citation 4

Abstract:

Loading...

Corona virus, COVID-19, high-frequency cash flow news, dividend suspensions, dividend growth dynamics, event study methodology

Dividend Suspensions and Cash Flow Risk During the Covid-19 Pandemic

Number of pages: 42 Posted: 29 Jun 2020
Davide Pettenuzzo, Riccardo Sabbatucci and Allan Timmermann
Brandeis University - International Business School, Stockholm School of Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 2 (824,303)
  • Add to Cart

Abstract:

Loading...

2.

Bond Return Predictability: Economic Value and Links to the Macroeconomy

Number of pages: 68 Posted: 26 Jul 2014 Last Revised: 05 Jun 2017
Antonio Gargano, Davide Pettenuzzo and Allan Timmermann
University of Houston - C.T. Bauer College of Business, Brandeis University - International Business School and UCSD
Downloads 718 (45,664)
Citation 57

Abstract:

Loading...

bond returns, yield curve, macro factors, stochastic volatility, time-varying parameters, unspanned macro risk factors

3.
Downloads 525 ( 68,267)
Citation 57

Forecasting Stock Returns Under Economic Constraints

Number of pages: 57 Posted: 09 Dec 2012
Davide Pettenuzzo, Allan Timmermann and Rossen I. Valkanov
Brandeis University - International Business School, UCSD and University of California, San Diego (UCSD) - Rady School of Management
Downloads 523 (67,870)
Citation 2

Abstract:

Loading...

Economic constraints, Sharpe ratio, Equity premium predictions, Bayesian analysis

Forecasting Stock Returns Under Economic Constraints

Number of pages: 61 Posted: 12 Mar 2013
Davide Pettenuzzo, Allan Timmermann and Rossen I. Valkanov
Brandeis University - International Business School, UCSD and University of California, San Diego (UCSD) - Rady School of Management
Downloads 2 (824,303)
Citation 15
  • Add to Cart

Abstract:

Loading...

Bayesian analysis, Economic constraints, Sharpe Ratio, Stock return predictability

4.

Bayesian Compressed Vector Autoregressions

Number of pages: 35 Posted: 26 Mar 2016 Last Revised: 06 Jun 2017
Gary Koop, Dimitris Korobilis and Davide Pettenuzzo
University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics, University of Glasgow - Adam Smith Business School and Brandeis University - International Business School
Downloads 502 (72,187)
Citation 9

Abstract:

Loading...

multivariate time series, random projection, forecasting

5.
Downloads 450 ( 82,355)
Citation 4

Cash Flow News and Stock Price Dynamics

Journal of Finance, Forthcoming, Swedish House of Finance Research Paper No. 18-10
Number of pages: 90 Posted: 01 Mar 2018 Last Revised: 15 Nov 2019
Davide Pettenuzzo, Riccardo Sabbatucci and Allan Timmermann
Brandeis University - International Business School, Stockholm School of Economics and UCSD
Downloads 450 (81,613)

Abstract:

Loading...

High-frequency cash flow news; predictability of dividend growth; present value model; dynamics and predictability of stock returns; Bayesian modeling

Cash Flow News and Stock Price Dynamics

Number of pages: 92 Posted: 04 Dec 2019
Davide Pettenuzzo, Riccardo Sabbatucci and Allan Timmermann
Brandeis University - International Business School, Stockholm School of Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 0
Citation 3
  • Add to Cart

Abstract:

Loading...

Dividend growth, High-frequency cash flow news, Present value model

Outlasting the Pandemic: Corporate Payout and Financing Decisions During COVID-19

Swedish House of Finance Research Paper No. 21-10
Number of pages: 58 Posted: 10 Apr 2021 Last Revised: 12 Jul 2021
Davide Pettenuzzo, Riccardo Sabbatucci and Allan Timmermann
Brandeis University - International Business School, Stockholm School of Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 418 (88,958)
Citation 1

Abstract:

Loading...

COVID-19 pandemic; dividend suspensions; share repurchases; bond and equity issues; corporate actions; stock market reaction

Outlasting the Pandemic: Corporate Payout and Financing Decisions During COVID-19

Number of pages: 55 Posted: 14 May 2021
Davide Pettenuzzo, Riccardo Sabbatucci and Allan Timmermann
Brandeis University - International Business School, Stockholm School of Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 0
  • Add to Cart

Abstract:

Loading...

Forecasting Time Series Subject to Multiple Structural Breaks

Number of pages: 41 Posted: 19 Jul 2004
M. Hashem Pesaran, Davide Pettenuzzo and Allan Timmermann
University of Southern California - Department of Economics, Brandeis University - International Business School and UCSD
Downloads 378 (99,984)
Citation 5

Abstract:

Loading...

structural breaks, forecasting, hierarchical hidden Markov chain model, Bayesian model averaging

Forecasting Time Series Subject to Multiple Structural Breaks

Number of pages: 42 Posted: 17 Nov 2004
M. Hashem Pesaran, Davide Pettenuzzo and Allan Timmermann
University of Southern California - Department of Economics, Brandeis University - International Business School and UCSD
Downloads 20 (670,663)
Citation 14
  • Add to Cart

Abstract:

Loading...

Structural breaks, forecasting, hierarchical hidden Markov Chain Model, Bayesian model averaging

8.

Machine Learning Econometrics: Bayesian Algorithms and Methods

Number of pages: 33 Posted: 14 May 2020
Dimitris Korobilis and Davide Pettenuzzo
University of Glasgow - Adam Smith Business School and Brandeis University - International Business School
Downloads 338 (114,241)

Abstract:

Loading...

MCMC, Approximate Inference, Scalability, Parallel Computation

9.

Adaptive Hierarchical Priors for High-Dimensional Vector Autoregressions

Number of pages: 58 Posted: 16 Dec 2016 Last Revised: 02 Apr 2018
Dimitris Korobilis and Davide Pettenuzzo
University of Glasgow - Adam Smith Business School and Brandeis University - International Business School
Downloads 320 (121,265)
Citation 2

Abstract:

Loading...

Bayesian VARs, Mixture Prior, Large Datasets, Macroeconomic Forecasting

A MIDAS Approach to Modeling First and Second Moment Dynamics

Number of pages: 41 Posted: 26 Jul 2014 Last Revised: 19 Sep 2015
Davide Pettenuzzo, Allan Timmermann and Rossen I. Valkanov
Brandeis University - International Business School, UCSD and University of California, San Diego (UCSD) - Rady School of Management
Downloads 290 (133,948)
Citation 4

Abstract:

Loading...

MIDAS regressions; Bayesian estimation; stochastic volatility; out-of-sample forecasts; GDP growth

A Bayesian MIDAS Approach to Modeling First and Second Moment Dynamics

Number of pages: 48 Posted: 25 Sep 2014
Davide Pettenuzzo, Allan Timmermann and Rossen I. Valkanov
Brandeis University - International Business School, UCSD and University of California, San Diego (UCSD) - Rady School of Management
Downloads 0
Citation 7
  • Add to Cart

Abstract:

Loading...

Bayesian estimation, GDP growth, MIDAS regressions, out-of-sample forecasts, stochastic volatility

11.

Optimal Asset Allocation with Multivariate Bayesian Dynamic Linear Models

Number of pages: 53 Posted: 18 Oct 2018
Carlos M. Carvalho, Jared Fisher and Davide Pettenuzzo
University of Texas at Austin - Red McCombs School of Business, Brigham Young University, Department of Statistics and Brandeis University - International Business School
Downloads 260 (150,557)
Citation 1

Abstract:

Loading...

Optimal Asset Allocation, Bayesian Econometrics, Dynamic Linear Models

12.

Forecasting Stock Returns: A Predictor-Constrained Approach

Number of pages: 42 Posted: 18 Oct 2017 Last Revised: 21 Jun 2019
Zhiyuan Pan, Davide Pettenuzzo and Yudong Wang
Southwestern University of Finance and Economics (SWUFE) - Institute of Chinese Financial Studies (ICFS), Brandeis University - International Business School and Shanghai Jiao Tong University (SJTU)
Downloads 211 (184,112)
Citation 2

Abstract:

Loading...

Equity premium, Predictive regressions, Predictor constraints, 12-month high, Model combinations

13.

Optimal Portfolio Choice under Decision-Based Model Combinations

Number of pages: 30 Posted: 01 Nov 2014 Last Revised: 05 Nov 2015
Davide Pettenuzzo and Francesco Ravazzolo
Brandeis University - International Business School and Free University of Bozen-Bolzano - Faculty of Economics and Management
Downloads 169 (224,229)
Citation 14

Abstract:

Loading...

Bayesian econometrics, Time-varying parameters, Model combinations, Portfolio choice

Learning, Structural Instability and Present Value Calculations

Number of pages: 39 Posted: 23 Feb 2006
M. Hashem Pesaran, Davide Pettenuzzo and Allan Timmermann
University of Southern California - Department of Economics, Brandeis University - International Business School and UCSD
Downloads 116 (302,757)

Abstract:

Loading...

present value, stock prices, structural breaks, Bayesian learning

Learning, Structural Instability and Present Value Calculations

Econometric Reviews 26 (2-4), 253-–288
Number of pages: 35 Posted: 10 Jan 2006 Last Revised: 30 Nov 2012
M. Hashem Pesaran, Davide Pettenuzzo and Allan Timmermann
University of Southern California - Department of Economics, Brandeis University - International Business School and UCSD
Downloads 51 (489,060)
Citation 8

Abstract:

Loading...

present value, stock prices, structural breaks, Bayesian learning

Forecasting Macroeconomic Variables Under Model Instability

Number of pages: 41 Posted: 09 May 2015
Davide Pettenuzzo and Allan Timmermann
Brandeis University - International Business School and UCSD
Downloads 147 (252,531)
Citation 4

Abstract:

Loading...

Time-varying parameters, regime switching, change point models, stochastic volatility, GDP growth forecasts, inflation forecasts

Forecasting Macroeconomic Variables Under Model Instability

Number of pages: 44 Posted: 27 Jun 2016
Davide Pettenuzzo and Allan Timmermann
Brandeis University - International Business School and UCSD
Downloads 0
Citation 5
  • Add to Cart

Abstract:

Loading...

GDP growth, inflation, regime switching, stochastic volatility, time-varying parameters

16.

Option-Implied Equity Premium Predictions via Entropic Tilting

Number of pages: 35 Posted: 26 Mar 2016 Last Revised: 12 Sep 2017
Konstantinos Metaxoglou, Davide Pettenuzzo and Aaron Smith
Carleton University, Brandeis University - International Business School and University of California, Davis - Department of Agricultural and Resource Economics
Downloads 146 (253,253)
Citation 1

Abstract:

Loading...

entropic tilting, density forecasts, variance risk premium, equity premium, options

17.

Predictability of Stock Returns and Asset Allocation Under Structural Breaks

Journal of Econometrics, Vol. 164, No. 1, September 2011
Number of pages: 43 Posted: 30 Nov 2012
Davide Pettenuzzo and Allan Timmermann
Brandeis University - International Business School and UCSD
Downloads 144 (256,113)
Citation 10

Abstract:

Loading...

18.

Granger Causality, Exogeneity, Cointegration, and Economic Policy Analysis

Number of pages: 36 Posted: 30 Nov 2012
Davide Pettenuzzo and Halbert L. White Jr.
Brandeis University - International Business School and University of California, San Diego (UCSD) - Department of Economics
Downloads 47 (497,831)
Citation 1

Abstract:

Loading...

19.

Learning, Structural Instability and Present Value Calculations

Number of pages: 56 Posted: 08 Jun 2016
M. Hashem Pesaran, Davide Pettenuzzo and Allan Timmermann
University of Southern California - Department of Economics, Brandeis University - International Business School and UCSD
Downloads 25 (614,364)

Abstract:

Loading...

present value, stock prices, structural breaks, Bayesian learning

20.

Bond Return Predictability: Economic Value and Links to the Macroeconomy

Number of pages: 63 Posted: 25 Sep 2014
Davide Pettenuzzo
Brandeis University - International Business School
Downloads 0 (818,233)
  • Add to Cart

Abstract:

Loading...

Bayesian estimation, bond returns, model uncertainty, stochastic volatility, time-varying parameters