10
H index
10
i10 index
508
Citations
Brandeis University | 10 H index 10 i10 index 508 Citations RESEARCH PRODUCTION: 14 Articles 42 Papers RESEARCH ACTIVITY:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Davide Pettenuzzo. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Journal of Econometrics | 5 |
Working Papers Series with more than one paper published | # docs |
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Working Papers / Brandeis University, Department of Economics and International Businesss School | 17 |
Working Papers / Business School - Economics, University of Glasgow | 2 |
CESifo Working Paper Series / CESifo | 2 |
Working Paper series / Rimini Centre for Economic Analysis | 2 |
Year | Title of citing document |
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2020 | A Scoring Rule for Factor and Autoregressive Models Under Misspecification. (2020). Corradin, Fausto ; Casarin, Roberto ; Wong, Wing-Keung ; Sartore, Nguyen Domenico ; Ravazzolo, Francesco. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:24:y:2020:i:2:p:66-103. Full description at Econpapers || Download paper |
2020 | Predicting bond return predictability. (2020). Thyrsgaard, Martin ; Kjar, Mads M ; Eriksen, Jonas N ; Borup, Daniel. In: CREATES Research Papers. RePEc:aah:create:2020-09. Full description at Econpapers || Download paper |
2020 | A Scoring Rule for Factor and Autoregressive Models Under Misspecification. (2020). Wong, Wing-Keung ; Sartore, Nguyen Domenico ; Ravazzolo, Francesco ; Corradin, Fausto ; Casarin, Roberto. In: International Association of Decision Sciences. RePEc:ahq:wpaper:v:24:y:2020:i:2:p:66-103. Full description at Econpapers || Download paper |
2020 | Bayesian MIDAS Penalized Regressions: Estimation, Selection, and Prediction. (2019). Mogliani, Matteo. In: Papers. RePEc:arx:papers:1903.08025. Full description at Econpapers || Download paper |
2020 | Predictive properties of forecast combination, ensemble methods, and Bayesian predictive synthesis. (2019). McAlinn, Kenichiro ; Takanashi, Kosaku. In: Papers. RePEc:arx:papers:1911.08662. Full description at Econpapers || Download paper |
2020 | Bayesian Inference in High-Dimensional Time-varying Parameter Models using Integrated Rotated Gaussian Approximations. (2020). Pfarrhofer, Michael ; Koop, Gary ; Huber, Florian. In: Papers. RePEc:arx:papers:2002.10274. Full description at Econpapers || Download paper |
2020 | High-dimensional macroeconomic forecasting using message passing algorithms. (2020). Korobilis, Dimitris. In: Papers. RePEc:arx:papers:2004.11485. Full description at Econpapers || Download paper |
2021 | Inference in Bayesian Additive Vector Autoregressive Tree Models. (2020). Huber, Florian ; Rossini, Luca. In: Papers. RePEc:arx:papers:2006.16333. Full description at Econpapers || Download paper |
2020 | Are low frequency macroeconomic variables important for high frequency electricity prices?. (2020). Rossini, Luca ; Ravazzolo, Francesco ; Foroni, Claudia. In: Papers. RePEc:arx:papers:2007.13566. Full description at Econpapers || Download paper |
2020 | Time-Varying Parameters as Ridge Regressions. (2020). Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2009.00401. Full description at Econpapers || Download paper |
2020 | Deep Learning, Predictability, and Optimal Portfolio Returns. (2020). BarunÃÂk, Jozef ; Babiak, Mykola. In: Papers. RePEc:arx:papers:2009.03394. Full description at Econpapers || Download paper |
2020 | Deep Distributional Time Series Models and the Probabilistic Forecasting of Intraday Electricity Prices. (2020). Nott, David J ; Smith, Michael Stanley ; Klein, Nadja. In: Papers. RePEc:arx:papers:2010.01844. Full description at Econpapers || Download paper |
2020 | Dissecting Time-Varying Risk Exposures in Cryptocurrency Markets. (2020). Pedio, Manuela ; Guidolin, Massimo ; Bianchi, Daniele. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp20143. Full description at Econpapers || Download paper |
2020 | From Fixed-Event to Fixed-Horizon Density Forecasts: Obtaining Measures of Multi-Horizon Uncertainty from Survey Density Forecasts. (2020). Sekhposyan, Tatevik ; Rossi, Barbara ; Ganics, Gergely. In: Working Papers. RePEc:bge:wpaper:1142. Full description at Econpapers || Download paper |
2021 | Is the ex?ante equity risk premium always positive? Evidence from a new conditional expectations model. (2021). Faff, Robert ; Hoang, Khoa. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:1:p:95-124. Full description at Econpapers || Download paper |
2020 | Idiosyncratic momentum and the crossâ€section of stock returns: Further evidence. (2020). Lin, QI. In: European Financial Management. RePEc:bla:eufman:v:26:y:2020:i:3:p:579-627. Full description at Econpapers || Download paper |
2020 | Large Time-Varying Volatility Models for Electricity Prices. (2020). Rossini, Luca ; Ravazzolo, Francesco ; Gianfreda, Angelica. In: Working Papers. RePEc:bny:wpaper:0088. Full description at Econpapers || Download paper |
2020 | Time-frequency forecast of the equity premium. (2020). Verona, Fabio ; Faria, Gonalo. In: Research Discussion Papers. RePEc:bof:bofrdp:2020_006. Full description at Econpapers || Download paper |
2020 | Deep Learning, Predictability, and Optimal Portfolio Returns. (2020). BarunÃk, Jozef ; Babiak, Mykola. In: CERGE-EI Working Papers. RePEc:cer:papers:wp677. Full description at Econpapers || Download paper |
2020 | Real-Time Forecasting Using Mixed-Frequency VARS with Time-Varying Parameters. (2020). Reif, Magnus ; Heinrich, Markus. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8054. Full description at Econpapers || Download paper |
2021 | Predictability of Bull and Bear Markets: A New Look at Forecasting Stock Market Regimes (and Returns) in the US. (2021). Neuenkirch, Matthias ; Haase, Felix. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8828. Full description at Econpapers || Download paper |
2020 | From Fixed-event to Fixed-horizon Density Forecasts: Obtaining Measures of Multi-horizon Uncertainty from Survey Density Forecasts. (2020). Sekhposyan, Tatevik ; Rossi, Barbara ; Ganics, Gergely. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14267. Full description at Econpapers || Download paper |
2020 | Forecasting in the Presence of Instabilities: How Do We Know Whether Models Predict Well and How to Improve Them. (2020). Rossi, Barbara. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14472. Full description at Econpapers || Download paper |
2020 | Adaptative predictability of stock market returns. (2020). Veiga, Helena ; Lopes, Maria Helena ; Casas, Maria Isabel ; Mao, Xiuping. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:31648. Full description at Econpapers || Download paper |
2020 | Forecasting stock market volatility: The role of technical variables. (2020). Liu, LI ; Pan, Zhiyuan. In: Economic Modelling. RePEc:eee:ecmode:v:84:y:2020:i:c:p:55-65. Full description at Econpapers || Download paper |
2020 | Forecasting stock market returns: New technical indicators and two-step economic constraint method. (2020). Hong, Lianying ; Kang, Jie ; Dong, Xiaodi ; Dai, Zhifeng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:53:y:2020:i:c:s1062940820301133. Full description at Econpapers || Download paper |
2020 | Equity premium prediction and optimal portfolio decision with Bagging. (2020). Yin, Anwen. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301686. Full description at Econpapers || Download paper |
2020 | Forecasting economic policy uncertainty of BRIC countries using Bayesian VARs. (2020). GUPTA, RANGAN ; Sun, Xiaojin. In: Economics Letters. RePEc:eee:ecolet:v:186:y:2020:i:c:s0165176519303386. Full description at Econpapers || Download paper |
2020 | Fat tails in leading indicators. (2020). Österholm, Pär ; Kiss, Tamas ; Osterholm, Par. In: Economics Letters. RePEc:eee:ecolet:v:193:y:2020:i:c:s016517652030210x. Full description at Econpapers || Download paper |
2020 | Does modeling a structural break improve forecast accuracy?. (2020). Pick, Andreas ; Boot, Tom. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:1:p:35-59. Full description at Econpapers || Download paper |
2020 | Relevant parameter changes in structural break models. (2020). Dufays, Arnaud. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:1:p:46-78. Full description at Econpapers || Download paper |
2020 | Incorporating overnight and intraday returns into multivariate GARCH volatility models. (2020). Wu, Jianbin ; Dhaene, Geert. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:471-495. Full description at Econpapers || Download paper |
2020 | Variance swap payoffs, risk premia and extreme market conditions. (2020). Violante, Francesco ; Stentoft, Lars. In: Econometrics and Statistics. RePEc:eee:ecosta:v:13:y:2020:i:c:p:106-124. Full description at Econpapers || Download paper |
2020 | Equity premium prediction and the state of the economy. (2020). Tsiakas, Ilias ; Zhang, Haibin ; Li, Jiahan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:75-95. Full description at Econpapers || Download paper |
2020 | Industry equi-correlation: A powerful predictor of stock returns. (2020). Wu, Wenfeng ; Pan, Zhiyuan ; Wang, Yudong. In: Journal of Empirical Finance. RePEc:eee:empfin:v:59:y:2020:i:c:p:1-24. Full description at Econpapers || Download paper |
2020 | Beta dispersion and market timing. (2020). Kuntz, Laura-Chloe. In: Journal of Empirical Finance. RePEc:eee:empfin:v:59:y:2020:i:c:p:235-256. Full description at Econpapers || Download paper |
2020 | Period specific volatility spillover based connectedness between oil and other commodity prices and their portfolio implications. (2020). Dash, Saumya Ranjan ; Guhathakurta, Kousik ; Maitra, Debasish. In: Energy Economics. RePEc:eee:eneeco:v:85:y:2020:i:c:s0140988319303615. Full description at Econpapers || Download paper |
2021 | The skewness of oil price returns and equity premium predictability. (2021). Wen, Fenghua ; Kang, Jie ; Zhou, Huiting ; Dai, Zhifeng. In: Energy Economics. RePEc:eee:eneeco:v:94:y:2021:i:c:s0140988320304096. Full description at Econpapers || Download paper |
2020 | Crude oil price volatility and equity return predictability: A comparative out-of-sample study. (2020). Nonejad, Nima. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521920301654. Full description at Econpapers || Download paper |
2021 | Gold, platinum and the predictability of bond risk premia. (2021). Wohar, Mark ; Demirer, Riza ; Gupta, Rangan ; Bouri, Elie. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319309079. Full description at Econpapers || Download paper |
2020 | The role of an aligned investor sentiment index in predicting bond risk premia of the U.S. (2020). GUPTA, RANGAN ; Epni, Ouzhan ; Wohar, Mark E ; Guney, Ethem I. In: Journal of Financial Markets. RePEc:eee:finmar:v:51:y:2020:i:c:s1386418120300100. Full description at Econpapers || Download paper |
2020 | Quantile forecasting with mixed-frequency data. (2020). Lima, Luiz ; Godeiro, Lucas ; Meng, Fanning. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:3:p:1149-1162. Full description at Econpapers || Download paper |
2020 | Forecasting value at risk and expected shortfall with mixed data sampling. (2020). Le, Trung H. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:4:p:1362-1379. Full description at Econpapers || Download paper |
2021 | Bagging weak predictors. (2021). Wei, Wei ; Lukas, Manuel ; Hillebrand, Eric. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:1:p:237-254. Full description at Econpapers || Download paper |
2021 | Data snooping in equity premium prediction. (2021). Wendt, Viktoria-Sophie ; Neuhierl, Andreas ; Drobetz, Wolfgang ; Dichtl, Hubert. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:1:p:72-94. Full description at Econpapers || Download paper |
2020 | On the term structure of liquidity in the European sovereign bond market. (2020). Papavassiliou, Vassilios ; Osullivan, Conall. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:114:y:2020:i:c:s0378426620300455. Full description at Econpapers || Download paper |
2020 | Forecasting short-run exchange rate volatility with monetary fundamentals: A GARCH-MIDAS approach. (2020). Liu, Xiaochun ; You, YU. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:116:y:2020:i:c:s0378426620301151. Full description at Econpapers || Download paper |
2020 | US stock prices and recency-biased learning in the run-up to the Global Financial Crisis and its aftermath. (2020). Gandre, Pauline. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:104:y:2020:i:c:s0261560618304790. Full description at Econpapers || Download paper |
2020 | Forecasting excess returns of the gold market: Can we learn from stock market predictions?. (2020). Dichtl, Hubert. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:19:y:2020:i:c:s2405851319300716. Full description at Econpapers || Download paper |
2020 | The Great Depression and the Great Recession: A view from financial markets. (2020). Bianchi, Francesco. In: Journal of Monetary Economics. RePEc:eee:moneco:v:114:y:2020:i:c:p:240-261. Full description at Econpapers || Download paper |
2020 | Stock return predictability from a mixed model perspective. (2020). Zhu, Huan ; Dai, Zhifeng. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:60:y:2020:i:c:s0927538x1930633x. Full description at Econpapers || Download paper |
2020 | Investing for the long run when expected equity premium is nonnegative. (2020). Zhu, Jie ; Zhang, Yugui. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:63:y:2020:i:c:s0927538x20302274. Full description at Econpapers || Download paper |
2020 | European equity markets: Who is the truly representative investor?. (2020). Alonso, Ana Belen ; Suarez, Javier Rojo ; Pozo, Ricardo Ferrero. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:75:y:2020:i:c:p:325-346. Full description at Econpapers || Download paper |
2021 | New technical indicators and stock returns predictability. (2021). Kang, Jie ; Zhu, Huan ; Dai, Zhifeng. In: International Review of Economics & Finance. RePEc:eee:reveco:v:71:y:2021:i:c:p:127-142. Full description at Econpapers || Download paper |
2020 | Empirical investigation of changes in policy uncertainty on stock returns—Evidence from China’s market. (2020). Chiang, Thomas C ; Chen, Xiaoyu. In: Research in International Business and Finance. RePEc:eee:riibaf:v:53:y:2020:i:c:s027553191930892x. Full description at Econpapers || Download paper |
2020 | Bayesian state space models in macroeconometrics. (2020). Strachan, Rodney. In: CAMA Working Papers. RePEc:een:camaaa:2020-90. Full description at Econpapers || Download paper |
2020 | Forward Rate Bias in Developed and Developing Countries: More Risky Not Less Rational. (2020). Goldberg, Michael D ; Ozabaci, Deniz ; Kozlova, Olesia. In: Econometrics. RePEc:gam:jecnmx:v:8:y:2020:i:4:p:43-:d:454906. Full description at Econpapers || Download paper |
2020 | Real-time Probabilistic Nowcasts of UK Quarterly GDP Growth using a Mixed-Frequency Bottom-up Approach. (2020). Lopresto, Marta ; Galvao, Ana Beatriz. In: Economic Statistics Centre of Excellence (ESCoE) Discussion Papers. RePEc:nsr:escoed:escoe-dp-2020-06. Full description at Econpapers || Download paper |
2020 | A Bayesian Covariance Graph And Latent Position Model For Multivariate Financial Time Series. (2020). Ahelegbey, Daniel Felix ; Carvalho, Luis ; Kolaczyk, Eric D. In: DEM Working Papers Series. RePEc:pav:demwpp:demwp0181. Full description at Econpapers || Download paper |
2020 | Modeling Turning Points In Global Equity Market. (2020). Ahelegbey, Daniel Felix ; Billio, Monica ; Casarin, Roberto. In: DEM Working Papers Series. RePEc:pav:demwpp:demwp0195. Full description at Econpapers || Download paper |
2020 | Local Projections, Autocorrelation, and Efficiency. (2020). Lusompa, Amaze. In: MPRA Paper. RePEc:pra:mprapa:99856. Full description at Econpapers || Download paper |
2021 | Rare Events and Long-Run Risks. (). Jin, Tao ; Barro, Robert. In: Review of Economic Dynamics. RePEc:red:issued:18-485. Full description at Econpapers || Download paper |
2020 | S&P BSE Sensex and S&P BSE IT return forecasting using ARIMA. (2020). Rao, Siva Nageswara ; Malepati, Venkataramanaiah ; Challa, Madhavi Latha. In: Financial Innovation. RePEc:spr:fininn:v:6:y:2020:i:1:d:10.1186_s40854-020-00201-5. Full description at Econpapers || Download paper |
2021 | Efficient Combined Estimation under Structural Breaks. (2021). Parsaeian, Shahnaz ; Ullah, Aman ; Amanullah, ; Lee, Tae-Hwy. In: Working Papers. RePEc:ucr:wpaper:202101. Full description at Econpapers || Download paper |
2020 | Macroeconomic forecasting in the euro area using predictive combinations of DSGE models. (2020). Hauzenberger, Niko ; Cuaresma, Jesus Crespo ; Capek, Jan ; Reichel, Vlastimil. In: Department of Economics Working Papers. RePEc:wiw:wiwwuw:wuwp305. Full description at Econpapers || Download paper |
2020 | Portfolio selection for individual passive investing. (2020). Carvalho, Carlos M ; Hahn, Richard P ; Puelz, David. In: Applied Stochastic Models in Business and Industry. RePEc:wly:apsmbi:v:36:y:2020:i:1:p:124-142. Full description at Econpapers || Download paper |
2020 | Equity premium prediction and structural breaks. (2020). Smith, Simon C. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:25:y:2020:i:3:p:412-429. Full description at Econpapers || Download paper |
2020 | A novel forecasting model for the Baltic dry index utilizing optimal squeezing. (2020). Tsionas, Mike ; Izzeldin, Marwan ; Merika, Anna ; Merikas, Andreas ; Makridakis, Spyros. In: Journal of Forecasting. RePEc:wly:jforec:v:39:y:2020:i:1:p:56-68. Full description at Econpapers || Download paper |
2020 | Forecasting local currency bond risk premia of emerging markets: The role of crossâ€country macrofinancial linkages. (2020). GUPTA, RANGAN ; Yilmaz, M ; Guney, Ethem I ; Cepni, Oguzhan. In: Journal of Forecasting. RePEc:wly:jforec:v:39:y:2020:i:6:p:966-985. Full description at Econpapers || Download paper |
2020 | Sparse Bayesian vector autoregressions in huge dimensions. (2020). Kastner, Gregor ; Huber, Florian. In: Journal of Forecasting. RePEc:wly:jforec:v:39:y:2020:i:7:p:1142-1165. Full description at Econpapers || Download paper |
2021 | What can we learn from the return predictability over the business cycle?. (2021). Pan, Zhiyuan ; Liu, LI ; Wang, Yudong. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:1:p:108-131. Full description at Econpapers || Download paper |
2020 | Volatility and jump risk in option returns. (2020). Lin, Hai ; Guo, Biao. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:11:p:1767-1792. Full description at Econpapers || Download paper |
2021 | Forecasting equity returns: The role of commodity futures along the supply chain. (2021). Wu, Chongfeng ; Li, Chenchen ; Zhou, Chunyang. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:1:p:46-71. Full description at Econpapers || Download paper |
2020 | Does Judgment Improve Macroeconomic Density Forecasts?. (2020). Mitchell, James ; Garratt, Anthony ; Galvao, Ana Beatriz. In: EMF Research Papers. RePEc:wrk:wrkemf:33. Full description at Econpapers || Download paper |
2020 | Beta dispersion and market timing. (2020). Kuntz, Laura-Chloe. In: Discussion Papers. RePEc:zbw:bubdps:462020. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2020 | Machine Learning Econometrics: Bayesian algorithms and methods In: Papers. [Full Text][Citation analysis] | paper | 0 |
2020 | Machine Learning Econometrics: Bayesian algorithms and methods.(2020) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2020 | Machine Learning Econometrics: Bayesian algorithms and methods.(2020) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2020 | Machine Learning Econometrics: Bayesian algorithms and methods.(2020) In: MPRA Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2020 | Cash Flow News and Stock Price Dynamics In: Journal of Finance. [Full Text][Citation analysis] | article | 0 |
2019 | Cash Flow News and Stock Price Dynamics.(2019) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2014 | Optimal portfolio choice under decision-based model combinations In: Working Paper. [Full Text][Citation analysis] | paper | 19 |
2015 | Optimal Portfolio Choice under Decision-Based Model Combinations.(2015) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 19 | paper | |
2014 | Optimal Portfolio Choice under Decision-Based Model Combinations.(2014) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 19 | paper | |
2016 | Optimal Portfolio Choice Under Decisionâ€Based Model Combinations.(2016) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 19 | article | |
2016 | Bayesian Compressed Vector Autoregressions In: Working Papers. [Full Text][Citation analysis] | paper | 37 |
2016 | Bayesian Compressed Vector Autoregressions.(2016) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 37 | paper | |
2019 | Bayesian compressed vector autoregressions.(2019) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 37 | article | |
2016 | Bayesian Compressed Vector Autoregressions.(2016) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 37 | paper | |
2017 | Bayesian Compressed Vector Autoregressions.(2017) In: Working Paper series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 37 | paper | |
2017 | Adaptive Hierarchical Priors for High-Dimensional Vector Autoregessions In: Working Papers. [Full Text][Citation analysis] | paper | 15 |
2019 | Adaptive hierarchical priors for high-dimensional vector autoregressions.(2019) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 15 | article | |
2018 | Adaptive Hierarchical Priors for High-Dimensional Vector Autoregressions.(2018) In: Working Paper series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 15 | paper | |
2017 | Forecasting Stock Returns: A Predictor-Constrained Approach In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
2018 | Forecasting Stock Returns: A Predictor-Constrained Approach.(2018) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
2020 | Forecasting stock returns: A predictor-constrained approach.(2020) In: Journal of Empirical Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | article | |
2018 | High-frequency Cash Flow Dynamics In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
2018 | Optimal Asset Allocation with Multivariate Bayesian Dynamic Linear Models In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2010 | Granger Causality, Exogeneity, Cointegration, and Economic Policy Analysis In: Working Papers. [Full Text][Citation analysis] | paper | 11 |
2014 | Granger causality, exogeneity, cointegration, and economic policy analysis.(2014) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | article | |
2008 | Return Predictability under Equilibrium Constraints on the Equity Premium In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
2013 | Forecasting Stock Returns under Economic Constraints In: Working Papers. [Full Text][Citation analysis] | paper | 76 |
2013 | Forecasting Stock Returns under Economic Constraints.(2013) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 76 | paper | |
2014 | Forecasting stock returns under economic constraints.(2014) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 76 | article | |
2014 | Bond Return Predictability: Economic Value and Links to the Macroeconomy In: Working Papers. [Full Text][Citation analysis] | paper | 8 |
2016 | Bond Return Predictability: Economic Value and Links to the Macroeconomy.(2016) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
2014 | Bond Return Predictability: Economic Value and Links to the Macroeconomy.(2014) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
2019 | Bond Return Predictability: Economic Value and Links to the Macroeconomy.(2019) In: Management Science. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | article | |
2014 | A Bayesian MIDAS Approach to Modeling First and Second Moment Dynamics In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
2014 | A Bayesian MIDAS Approach to Modeling First and Second Moment Dynamics.(2014) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
2016 | Option-Implied Equity Premium Predictions via Entropic TiltinG In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
2016 | Option-Implied Equity Premium Predictions via Entropic TiltinG.(2016) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
2019 | Option-Implied Equity Premium Predictions via Entropic Tilting.(2019) In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | article | |
2014 | To Predict the Equity Market, Consult Economic Theory In: Rosenberg Global Financial Briefs. [Full Text][Citation analysis] | paper | 0 |
2004 | ‘Forecasting Time Series Subject to Multiple Structural Breaks’ In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 182 |
2004 | Forecasting Time Series Subject to Multiple Structural Breaks.(2004) In: CESifo Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 182 | paper | |
2004 | Forecasting Time Series Subject to Multiple Structural Breaks.(2004) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 182 | paper | |
2004 | Forecasting Time Series Subject to Multiple Structural Breaks.(2004) In: IZA Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 182 | paper | |
2006 | Forecasting Time Series Subject to Multiple Structural Breaks.(2006) In: Review of Economic Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 182 | article | |
2006 | Learning, Structural Instability and Present Value Calculations In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 43 |
2006 | Learning, Structural Instability and Present Value Calculations.(2006) In: CESifo Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 43 | paper | |
2006 | Learning, structural instability and present value calculations.(2006) In: Computing in Economics and Finance 2006. [Full Text][Citation analysis] This paper has another version. Agregated cites: 43 | paper | |
2006 | Learning, Structural Instability and Present Value Calculations.(2006) In: IEPR Working Papers. [Citation analysis] This paper has another version. Agregated cites: 43 | paper | |
2007 | Learning, Structural Instability, and Present Value Calculations.(2007) In: Econometric Reviews. [Full Text][Citation analysis] This paper has another version. Agregated cites: 43 | article | |
2006 | Learning, structural instability and present value calculations.(2006) In: Discussion Paper Series 1: Economic Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 43 | paper | |
2016 | Forecasting Macroeconomic Variables under Model Instability In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 17 |
2017 | Forecasting Macroeconomic Variables Under Model Instability.(2017) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 17 | article | |
2011 | Predictability of stock returns and asset allocation under structural breaks In: Journal of Econometrics. [Full Text][Citation analysis] | article | 67 |
2016 | A MIDAS approach to modeling first and second moment dynamics In: Journal of Econometrics. [Full Text][Citation analysis] | article | 22 |
2016 | Adaptive Minnesota Prior for High-Dimensional Vector Autoregressions In: Essex Finance Centre Working Papers. [Full Text][Citation analysis] | paper | 3 |
2005 | The Forecasing time series subject to multiple structure breaks In: Money Macro and Finance (MMF) Research Group Conference 2005. [Citation analysis] | paper | 0 |
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