Davide Pettenuzzo : Citation Profile

Are you Davide Pettenuzzo?

Brandeis University

8

H index

6

i10 index

367

Citations

RESEARCH PRODUCTION:

9

Articles

37

Papers

RESEARCH ACTIVITY:

   14 years (2004 - 2018). See details.
   Cites by year: 26
   Journals where Davide Pettenuzzo has often published
   Relations with other researchers
   Recent citing documents: 76.    Total self citations: 15 (3.93 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/ppe516
   Updated: 2019-10-21    RAS profile: 2019-04-03    
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Relations with other researchers

Works with:

Korobilis, Dimitris (8)

Koop, Gary (5)

Ravazzolo, Francesco (4)

Authors registered in RePEc who have co-authored more than one work in the last five years with Davide Pettenuzzo.

Is cited by:

Maheu, John (15)

Pesaran, M (12)

Koop, Gary (12)

Korobilis, Dimitris (11)

Song, Yong (9)

Perron, Pierre (9)

GUPTA, RANGAN (8)

Ravazzolo, Francesco (8)

van Dijk, Dick (8)

Rossi, Barbara (7)

Verona, Fabio (7)

Cites to:

Campbell, John (35)

Stambaugh, Robert (20)

Clark, Todd (19)

Watson, Mark (18)

Timmermann, Allan (18)

Marcellino, Massimiliano (17)

Geweke, John (15)

Pesaran, M (15)

amisano, gianni (14)

Goyal, Amit (13)

Stock, James (13)

Main data

Where Davide Pettenuzzo has published?

Journals with more than one article published# docs
Journal of Econometrics4

Working Papers Series with more than one paper published# docs
Working Papers / Brandeis University, Department of Economics and International Businesss School16
CESifo Working Paper Series / CESifo Group Munich2
Working Paper series / Rimini Centre for Economic Analysis2

Recent works citing Davide Pettenuzzo (2019 and 2018)

YearTitle of citing document
2018Measuring Investor Sentiment. (2018). Zhou, Guofu. In: Annual Review of Financial Economics. RePEc:anr:refeco:v:10:y:2018:p:239-259.

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2018Sparse Bayesian vector autoregressions in huge dimensions. (2018). Kastner, Gregor ; Huber, Florian. In: Papers. RePEc:arx:papers:1704.03239.

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2018Large-Scale Dynamic Predictive Regressions. (2018). Bianchi, Daniele ; McAlinn, Kenichiro. In: Papers. RePEc:arx:papers:1803.06738.

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2018Structural Breaks in Time Series. (2018). Perron, Pierre ; Casini, Alessandro. In: Papers. RePEc:arx:papers:1805.03807.

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2019Bayesian MIDAS Penalized Regressions: Estimation, Selection, and Prediction. (2019). Mogliani, Matteo. In: Papers. RePEc:arx:papers:1903.08025.

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2019Boosting High Dimensional Predictive Regressions with Time Varying Parameters. (2019). Ng, Serena ; Yousuf, Kashif. In: Papers. RePEc:arx:papers:1910.03109.

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2019Bayesian MIDAS penalized regressions: estimation, selection, and prediction. (2019). Mogliani, Matteo. In: Working papers. RePEc:bfr:banfra:713.

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2019Optimism in Financial Markets: Stock Market Returns and Investor Sentiments. (2019). Concetto, Chiara Limongi ; Ravazzolo, Francesco. In: BEMPS - Bozen Economics & Management Paper Series. RePEc:bzn:wpaper:bemps56.

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2018Bayesian Vector Autoregressions. (2018). Ricco, Giovanni ; Miranda-Agrippino, Silvia. In: Discussion Papers. RePEc:cfm:wpaper:1808.

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2018Forecasting Methods in Finance. (2018). Timmermann, Allan G. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12692.

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2018Pockets of Predictability. (2018). Farmer, Leland ; Timmermann, Allan G ; Schmidt, Lawrence . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12885.

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2019Forecasting daily electricity prices with monthly macroeconomic variables. (2019). Rossini, Luca ; Ravazzolo, Francesco ; Foroni, Claudia. In: Working Paper Series. RePEc:ecb:ecbwps:20192250.

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2019Forecasting occupancy rate with Bayesian compression methods. (2019). Tsionas, Mike ; Assaf, George A. In: Annals of Tourism Research. RePEc:eee:anture:v:75:y:2019:i:c:p:439-449.

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2018Usefulness of economic and energy data at different frequencies for carbon price forecasting in the EU ETS. (2018). Zhao, Xin ; Kang, Wanglin ; Ding, Lili ; Han, Meng. In: Applied Energy. RePEc:eee:appene:v:216:y:2018:i:c:p:132-141.

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2018The macroeconomic and fiscal implications of inflation forecast errors. (2018). Tavlas, George ; Gibson, Heather ; Hall, Stephen G ; Dellas, Harris. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:93:y:2018:i:c:p:203-217.

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2018Forecasting the prices of crude oil using the predictor, economic and combined constraints. (2018). Yi, Yongsheng ; Huang, Dengshi ; Zhang, Yaojie ; Ma, Feng. In: Economic Modelling. RePEc:eee:ecmode:v:75:y:2018:i:c:p:237-245.

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2019Intraday momentum and stock return predictability: Evidence from China. (2019). Zhang, Yaojie ; Zhu, BO ; Ma, Feng. In: Economic Modelling. RePEc:eee:ecmode:v:76:y:2019:i:c:p:319-329.

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2019On the reduced macroeconomic volatility of the Australian economy: Good policy or good luck?. (2019). Cross, Jamie. In: Economic Modelling. RePEc:eee:ecmode:v:77:y:2019:i:c:p:174-186.

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2019Forecasting stock returns: Do less powerful predictors help?. (2019). Shi, Benshan ; Ma, Feng ; Zeng, Qing ; Zhang, Yaojie. In: Economic Modelling. RePEc:eee:ecmode:v:78:y:2019:i:c:p:32-39.

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2018Are low-frequency data really uninformative? A forecasting combination perspective. (2018). Ma, Feng ; Zhang, Yaojie ; Liu, LI. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:44:y:2018:i:c:p:92-108.

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2019Forecasting using random subspace methods. (2019). Nibbering, Didier ; Boot, Tom . In: Journal of Econometrics. RePEc:eee:econom:v:209:y:2019:i:2:p:391-406.

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2019Dynamic Bayesian predictive synthesis in time series forecasting. (2019). West, Mike ; McAlinn, Kenichiro. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:1:p:155-169.

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2019Bayesian inference and prediction of a multiple-change-point panel model with nonparametric priors. (2019). Jensen, Mark ; Fisher, Mark. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:1:p:187-202.

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2019Achieving parsimony in Bayesian vector autoregressions with the horseshoe prior. (2019). Yu, Cindy ; Follett, Lendie . In: Econometrics and Statistics. RePEc:eee:ecosta:v:11:y:2019:i:c:p:130-144.

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2019Testing subspace Granger causality. (2019). Al-Sadoon, Majid M. In: Econometrics and Statistics. RePEc:eee:ecosta:v:9:y:2019:i:c:p:42-61.

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2018Equity premium predictions with many predictors: A risk-based explanation of the size and value factors. (2018). Stivers, Adam . In: Journal of Empirical Finance. RePEc:eee:empfin:v:45:y:2018:i:c:p:126-140.

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2018Momentum of return predictability. (2018). Wang, Yudong ; Diao, Xundi ; Ma, Feng ; Liu, LI. In: Journal of Empirical Finance. RePEc:eee:empfin:v:45:y:2018:i:c:p:141-156.

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2018Forecasting stock market returns by summing the frequency-decomposed parts. (2018). Verona, Fabio ; Faria, Gonalo. In: Journal of Empirical Finance. RePEc:eee:empfin:v:45:y:2018:i:c:p:228-242.

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2018Oil and the short-term predictability of stock return volatility. (2018). Yin, Libo ; Wang, Yudong ; Wu, Chongfeng ; Wei, YU. In: Journal of Empirical Finance. RePEc:eee:empfin:v:47:y:2018:i:c:p:90-104.

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2019Economic constraints and stock return predictability: A new approach. (2019). Wei, YU ; Zhang, Yaojie ; Yi, Yongsheng ; Ma, Feng. In: International Review of Financial Analysis. RePEc:eee:finana:v:63:y:2019:i:c:p:1-9.

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2018Forecasting the equity risk premium: The importance of regime-dependent evaluation. (2018). Baltas, Nick ; Karyampas, Dimitrios . In: Journal of Financial Markets. RePEc:eee:finmar:v:38:y:2018:i:c:p:83-102.

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2019Exchange rate comovements, hedging and volatility spillovers on new EU forex markets. (2019). Kočenda, Evžen ; Moravcova, Michala ; Koenda, Even. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:58:y:2019:i:c:p:42-64.

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2018Using low frequency information for predicting high frequency variables. (2018). Marcellino, Massimiliano ; Guérin, Pierre ; Foroni, Claudia. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:4:p:774-787.

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2019Oil price increases and the predictability of equity premium. (2019). Wu, Chongfeng ; Liu, LI ; Pan, Zhiyuan ; Wang, Yudong. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:102:y:2019:i:c:p:43-58.

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2019An anatomy of the market return. (2019). Schneider, Paul. In: Journal of Financial Economics. RePEc:eee:jfinec:v:132:y:2019:i:2:p:325-350.

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2018Oil shocks and stock return volatility. (2018). Bachmeier, Lance ; Nadimi, Soheil R. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:68:y:2018:i:c:p:1-9.

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2018Stock return predictability and model instability: Evidence from mainland China and Hong Kong. (2018). Hong, Hui ; Ryan, James ; Obrien, Fergal ; Chen, Naiwei. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:68:y:2018:i:c:p:132-142.

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2018Regime shifts and stock return predictability. (2018). Hammerschmid, Regina ; Lohre, Harald. In: International Review of Economics & Finance. RePEc:eee:reveco:v:56:y:2018:i:c:p:138-160.

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2019Empirical analysis of intertemporal relations between downside risks and expected returns—Evidence from Asian markets. (2019). Chiang, Thomas C. In: Research in International Business and Finance. RePEc:eee:riibaf:v:47:y:2019:i:c:p:264-278.

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2019Large Bayesian vector autoregressions. (2019). Chan, Joshua. In: CAMA Working Papers. RePEc:een:camaaa:2019-19.

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2019Minnesota-type adaptive hierarchical priors for large Bayesian VARs. (2019). , Joshua . In: CAMA Working Papers. RePEc:een:camaaa:2019-61.

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2018Bayesian vector autoregressions. (2018). Ricco, Giovanni ; Miranda-Agrippino, Silvia. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:87393.

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2019Reach for Yield by U.S. Public Pension Funds. (2019). Zlate, Andrei ; Bohn, James ; Anadu, Kenechukwu E ; Pritsker, Matthew ; Lu, Lina. In: Supervisory Research and Analysis Working Papers. RePEc:fip:fedbqu:rpa19-2.

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2019Reach for Yield by U.S. Public Pension Funds. (2019). Zlate, Andrei ; Bohn, James ; Anadu, Kenechukwu E ; Pritsker, Matthew ; Lu, Lina. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2019-48.

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2019Effectiveness and Sustainability of Grain Price Support Policies in China. (2019). Li, Xiaolei ; Lyu, Jie. In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:9:p:2478-:d:226421.

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2018Spillovers from US monetary policy: Evidence from a time-varying parameter GVAR model. (2018). Huber, Florian ; Feldkircher, Martin ; Doppelhofer, Gernot ; Cuaresma, Jesus Crespo. In: Discussion Paper Series in Economics. RePEc:hhs:nhheco:2018_031.

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2019Predictability concentrates in bad times. And so does disagreement. (2019). de Oliveira, Thiago. In: Discussion Papers of Business and Economics. RePEc:hhs:sdueko:2019_008.

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2018Presentation and Testing of the Creeping Trend with Harmonic Weights Method in the Light of Sovereign CDS Prices. (2018). Geczi-Papp, Renata . In: Theory Methodology Practice (TMP). RePEc:mic:tmpjrn:v:14:y:2018:i:02:p:25-37.

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2019A Fresh Look at Return Predictability Using a More Efficient Estimator. (2019). Johnson, Travis L. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:9:y:2019:i:1:p:1-46..

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2018Forecasting with High-Dimensional Panel VARs. (2018). Koop, Gary ; Korobilis, Dimitris. In: MPRA Paper. RePEc:pra:mprapa:84275.

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2018Variational Bayes inference in high-dimensional time-varying parameter models. (2018). Korobilis, Dimitris ; Koop, Gary. In: MPRA Paper. RePEc:pra:mprapa:87972.

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2019Short-term forecasting of the US unemployment rate. (2019). Maas, Benedikt. In: MPRA Paper. RePEc:pra:mprapa:94066.

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2019A Bivariate Forecasting Model For Russian GDP Under Structural Changes In Monetary Policy and Long-Term Growth. (2019). Polbin, Andrey ; Fokin, Nikita. In: MPRA Paper. RePEc:pra:mprapa:95306.

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2019Testing for Episodic Predictability in Stock Returns. (2019). Taylor, Robert ; Rodrigues, Paulo ; Robert, A M ; Georgiev, Iliyan ; Demetrescu, Matei. In: Working Papers. RePEc:ptu:wpaper:w201906.

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2018Forecasting with High-Dimensional Panel VARs. (2018). Korobilis, Dimitris ; Koop, Gary. In: Working Paper series. RePEc:rim:rimwps:18-20.

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2018Machine Learning Macroeconometrics: A Primer. (2018). Korobilis, Dimitris. In: Working Paper series. RePEc:rim:rimwps:18-30.

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2018Variational Bayes inference in high-dimensional time-varying parameter models. (2018). Korobilis, Dimitris ; Koop, Gary. In: Working Paper series. RePEc:rim:rimwps:18-31.

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2019How useful are historical data for forecasting the long-run equity return distribution?. (2007). . In: Working Paper series. RePEc:rim:rimwps:19-07.

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2018Spillovers from US monetary policy: Evidence from a time-varying parameter GVAR model. (2018). Huber, Florian ; Feldkircher, Martin ; Doppelhofer, Gernot ; Crespo Cuaresma, Jesus. In: Working Papers in Economics. RePEc:ris:sbgwpe:2018_006.

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2018Bayesian vector autoregressions. (2018). Ricco, Giovanni ; Miranda-Agrippino, Silvia. In: Sciences Po publications. RePEc:spo:wpmain:info:hdl:2441/27od5pb99881folvtfs8s3k16l.

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2018Combined Density Nowcasting in an Uncertain Economic Environment. (2018). van Dijk, Herman ; Ravazzolo, Francesco ; Aastveit, Knut Are. In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:36:y:2018:i:1:p:131-145.

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2017Forecasting Using Random Subspace Methods. (2017). Boot, Tom ; Nibbering, Didier . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160073.

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2018The Evolution of Forecast Density Combinations in Economics. (2018). Mitchell, James ; van Dijk, Herman ; Ravazzolo, Francesco ; Aastveit, Knut Are. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20180069.

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2018Forecast Density Combinations of Dynamic Models and Data Driven Portfolio Strategies. (2018). Basturk, Nalan ; van Dijk, Herman ; Hoogerheide, Lennart ; Grassi, Stefano ; Borowska, Agnieszka. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20180076.

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2018The role of tourism toward economic growth in the local economy. (2018). Bashir, Abdul. In: Economic Journal of Emerging Markets. RePEc:uii:journl:v:10:y:2018:i:1:p:32-39.

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2019Second Order Time Dependent Inflation Persistence in the United States: a GARCH-in-Mean Model with Time Varying Coefficients.. (2019). Paraskevopoulos, Alexandros G ; Karanasos, Menelaos G ; Canepa, Alessandra. In: Department of Economics and Statistics Cognetti de Martiis. Working Papers. RePEc:uto:dipeco:201911.

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2018A scoring rule for factor and autoregressive models under misspecification. (2018). Casarin, Roberto ; Sartore, Domenico ; Ravazzolo, Francesco ; Corradin, Fausto. In: Working Papers. RePEc:ven:wpaper:2018:18.

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2019Steady‐state modeling and macroeconomic forecasting quality. (2019). Louzis, Dimitrios. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:34:y:2019:i:2:p:285-314.

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2018Bayesian Vector Autoregressions. (2018). Ricco, Giovanni ; Miranda-Agrippino, Silvia. In: The Warwick Economics Research Paper Series (TWERPS). RePEc:wrk:warwec:1159.

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Works by Davide Pettenuzzo:

YearTitleTypeCited
2014Optimal portfolio choice under decision-based model combinations In: Working Paper.
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2015Optimal Portfolio Choice under Decision-Based Model Combinations.(2015) In: Working Papers.
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2014Optimal Portfolio Choice under Decision-Based Model Combinations.(2014) In: Working Papers.
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2016Optimal Portfolio Choice Under Decision‐Based Model Combinations.(2016) In: Journal of Applied Econometrics.
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2016Bayesian Compressed Vector Autoregressions In: Working Papers.
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2016Bayesian Compressed Vector Autoregressions.(2016) In: Working Papers.
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2019Bayesian compressed vector autoregressions.(2019) In: Journal of Econometrics.
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2016Bayesian Compressed Vector Autoregressions.(2016) In: Working Papers.
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2017Bayesian Compressed Vector Autoregressions.(2017) In: Working Paper series.
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2017Adaptive Hierarchical Priors for High-Dimensional Vector Autoregessions In: Working Papers.
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2018Adaptive Hierarchical Priors for High-Dimensional Vector Autoregressions.(2018) In: Working Paper series.
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2017Forecasting Stock Returns: A Predictor-Constrained Approach In: Working Papers.
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2018Forecasting Stock Returns: A Predictor-Constrained Approach.(2018) In: Working Papers.
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2018High-frequency Cash Flow Dynamics In: Working Papers.
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2018Optimal Asset Allocation with Multivariate Bayesian Dynamic Linear Models In: Working Papers.
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2010Granger Causality, Exogeneity, Cointegration, and Economic Policy Analysis In: Working Papers.
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2014Granger causality, exogeneity, cointegration, and economic policy analysis.(2014) In: Journal of Econometrics.
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2008Return Predictability under Equilibrium Constraints on the Equity Premium In: Working Papers.
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2013Forecasting Stock Returns under Economic Constraints In: Working Papers.
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2013Forecasting Stock Returns under Economic Constraints.(2013) In: CEPR Discussion Papers.
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2014Forecasting stock returns under economic constraints.(2014) In: Journal of Financial Economics.
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2014Bond Return Predictability: Economic Value and Links to the Macroeconomy In: Working Papers.
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2016Bond Return Predictability: Economic Value and Links to the Macroeconomy.(2016) In: Working Papers.
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2014Bond Return Predictability: Economic Value and Links to the Macroeconomy.(2014) In: CEPR Discussion Papers.
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2014A Bayesian MIDAS Approach to Modeling First and Second Moment Dynamics In: Working Papers.
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2014A Bayesian MIDAS Approach to Modeling First and Second Moment Dynamics.(2014) In: CEPR Discussion Papers.
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2016Option-Implied Equity Premium Predictions via Entropic TiltinG In: Working Papers.
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2016Option-Implied Equity Premium Predictions via Entropic TiltinG.(2016) In: Working Papers.
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2014To Predict the Equity Market, Consult Economic Theory In: Rosenberg Global Financial Briefs.
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2004‘Forecasting Time Series Subject to Multiple Structural Breaks’ In: Cambridge Working Papers in Economics.
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2004Forecasting Time Series Subject to Multiple Structural Breaks.(2004) In: CESifo Working Paper Series.
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2004Forecasting Time Series Subject to Multiple Structural Breaks.(2004) In: CEPR Discussion Papers.
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2004Forecasting Time Series Subject to Multiple Structural Breaks.(2004) In: IZA Discussion Papers.
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2006Forecasting Time Series Subject to Multiple Structural Breaks.(2006) In: Review of Economic Studies.
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2006Learning, Structural Instability and Present Value Calculations In: Cambridge Working Papers in Economics.
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2006Learning, Structural Instability and Present Value Calculations.(2006) In: CESifo Working Paper Series.
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2006Learning, structural instability and present value calculations.(2006) In: Computing in Economics and Finance 2006.
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2006Learning, Structural Instability and Present Value Calculations.(2006) In: IEPR Working Papers.
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2007Learning, Structural Instability, and Present Value Calculations.(2007) In: Econometric Reviews.
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2006Learning, structural instability and present value calculations.(2006) In: Discussion Paper Series 1: Economic Studies.
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2016Forecasting Macroeconomic Variables under Model Instability In: CEPR Discussion Papers.
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2017Forecasting Macroeconomic Variables Under Model Instability.(2017) In: Journal of Business & Economic Statistics.
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2011Predictability of stock returns and asset allocation under structural breaks In: Journal of Econometrics.
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2016A MIDAS approach to modeling first and second moment dynamics In: Journal of Econometrics.
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2016Adaptive Minnesota Prior for High-Dimensional Vector Autoregressions In: Essex Finance Centre Working Papers.
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2005The Forecasing time series subject to multiple structure breaks In: Money Macro and Finance (MMF) Research Group Conference 2005.
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