Davide Pettenuzzo : Citation Profile

Brandeis University

12

H index

12

i10 index

864

Citations

RESEARCH PRODUCTION:

14

Articles

43

Papers

RESEARCH ACTIVITY:

   16 years (2004 - 2020). See details.
   Cites by year: 54
   Journals where Davide Pettenuzzo has often published
   Relations with other researchers
   Recent citing documents: 72.    Total self citations: 22 (2.48 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ppe516
   Updated: 2025-11-22    RAS profile: 2021-01-04    
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Relations with other researchers

Works with:

Korobilis, Dimitris (4)

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

Is cited by:

Korobilis, Dimitris (24)

Rossi, Barbara (23)

GUPTA, RANGAN (20)

Maheu, John (19)

Wang, Yudong (19)

Koop, Gary (18)

Ravazzolo, Francesco (18)

Huber, Florian (17)

Faria, Gonçalo (15)

Zhang, Yaojie (15)

Verona, Fabio (15)

Cites to:

Campbell, John (40)

Stambaugh, Robert (24)

Clark, Todd (23)

Marcellino, Massimiliano (21)

Watson, Mark (19)

Timmermann, Allan (18)

Geweke, John (16)

Goyal, Amit (15)

Pesaran, Mohammad (15)

Lettau, Martin (14)

Diebold, Francis (14)

Main data

Where Davide Pettenuzzo has published?

Journals with more than one article published# docs
Journal of Econometrics5

Working Papers Series with more than one paper published# docs
Working Papers / Brandeis University, Department of Economics and International Business School17
CEPR Discussion Papers / C.E.P.R. Discussion Papers7
Working Papers / Business School - Economics, University of Glasgow2
Working Paper series / Rimini Centre for Economic Analysis2
CESifo Working Paper Series / CESifo2

Recent works citing Davide Pettenuzzo (2025 and 2024)

YearTitle of citing document
2024Assessing the impact of energy and macroeconomic shocks on the Romanian economy: a Bayesian VAR approach. (2024). Mihai, Georgian Dnu ; Plea, Georgiana ; Neacu, Andrei Costin. In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxxi:y:2024:i:4(641):p:109-118.

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2024Sophisticated and small versus simple and sizeable: When does it pay off to introduce drifting coefficients in Bayesian VARs?. (2024). Kastner, Gregor ; Huber, Florian ; Feldkircher, Martin. In: Papers. RePEc:arx:papers:1711.00564.

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2024Time-Varying Parameters as Ridge Regressions. (2024). Goulet Coulombe, Philippe. In: Papers. RePEc:arx:papers:2009.00401.

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2024Regime-Switching Density Forecasts Using Economists Scenarios. (2024). Moramarco, Graziano. In: Papers. RePEc:arx:papers:2110.13761.

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2024Fast Online Changepoint Detection. (2024). Rossi, Eduardo ; Trapani, Lorenzo ; Ghezzi, Fabrizio. In: Papers. RePEc:arx:papers:2402.04433.

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2024Nowcasting with Mixed Frequency Data Using Gaussian Processes. (2024). Pfarrhofer, Michael ; Marcellino, Massimiliano ; Hauzenberger, Niko ; Stelzer, Anna. In: Papers. RePEc:arx:papers:2402.10574.

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2024Application of Deep Learning for Factor Timing in Asset Management. (2024). Chen, Xilin ; Panda, Prabhu Prasad ; Gharanchaei, Maysam Khodayari ; Lyu, Haoshu. In: Papers. RePEc:arx:papers:2404.18017.

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2025Macroeconomic Forecasting with Large Language Models. (2025). Shekhar, Shubhranshu ; Carriero, Andrea ; Pettenuzzo, Davide. In: Papers. RePEc:arx:papers:2407.00890.

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2024Large Bayesian Tensor VARs with Stochastic Volatility. (2024). Chan, Joshua ; Qi, Yaling. In: Papers. RePEc:arx:papers:2409.16132.

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2024Persistence-Robust Break Detection in Predictive Quantile and CoVaR Regressions. (2024). Hoga, Yannick. In: Papers. RePEc:arx:papers:2410.05861.

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2025ChatGPT and Deepseek: Can They Predict the Stock Market and Macroeconomy?. (2025). Zhu, WU ; Zhou, Guofu ; Tang, Guohao ; Chen, Jian. In: Papers. RePEc:arx:papers:2502.10008.

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2025Diffusion index forecasts under weaker loadings: PCA, ridge regression, and random projections. (2025). Keijsers, Bart ; Boot, Tom. In: Papers. RePEc:arx:papers:2506.09575.

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2025Electricity Market Predictability: Virtues of Machine Learning and Links to the Macroeconomy. (2025). Cai, Jinbo ; Wang, Wenjie ; Li, Wenze. In: Papers. RePEc:arx:papers:2507.07477.

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2025ProteuS: A Generative Approach for Simulating Concept Drift in Financial Markets. (2025). Cervantes, Alejandro ; Quintana, David ; Su, Andr'Es L. In: Papers. RePEc:arx:papers:2509.11844.

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2024Consumer Prices Trends in Colombia: Detecting Breaks and Forecasting Infation. (2024). Zarate-Solano, Hector ; Rodrguez-Nio, Norberto ; Zrate-Solano, Hctor M. In: Borradores de Economia. RePEc:bdr:borrec:1289.

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2024Asymmetric expectations of monetary policy. (2024). Busetto, Filippo. In: Bank of England working papers. RePEc:boe:boeewp:1058.

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2025Financial regulatory policy uncertainty: An informative predictor for financial industry stock returns. (2025). Zhao, Xinyi ; Zhang, Yaojie. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:75:y:2025:i:pb:s1062940824002468.

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2024Semi-parametric single-index predictive regression models with cointegrated regressors. (2024). GAO, Jiti ; Zhou, Weilun ; Kew, Hsein ; Harris, David. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:1:s0304407623002932.

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2024Time-varying forecast combination for factor-augmented regressions with smooth structural changes. (2024). Hong, Yongmiao ; Chen, Qitong ; Li, Haiqi. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:1:s0304407624000393.

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2024Predictive ability tests with possibly overlapping models. (2024). Corradi, Valentina ; Fosten, Jack ; Gutknecht, Daniel. In: Journal of Econometrics. RePEc:eee:econom:v:241:y:2024:i:1:s0304407624000629.

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2024Better the devil you know: Improved forecasts from imperfect models. (2024). Oh, Dong Hwan ; Patton, Andrew J. In: Journal of Econometrics. RePEc:eee:econom:v:242:y:2024:i:1:s0304407624001131.

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2024Variable selection in high dimensional linear regressions with parameter instability. (2024). Pesaran, Hashem M ; Sharifvaghefi, Mahrad ; Chudik, Alexander. In: Journal of Econometrics. RePEc:eee:econom:v:246:y:2024:i:1:s0304407624002513.

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2025Supervised factor modeling for high-dimensional linear time series. (2025). Lu, Kexin ; Huang, Feiqing ; Zheng, Yao ; Li, Guodong. In: Journal of Econometrics. RePEc:eee:econom:v:249:y:2025:i:pb:s0304407625000491.

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2024Modeling Turning Points in the Global Equity Market. (2024). Casarin, Roberto ; Billio, Monica ; Ahelegbey, Daniel Felix. In: Econometrics and Statistics. RePEc:eee:ecosta:v:30:y:2024:i:c:p:60-75.

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2024Unexpected opportunities in misspecified predictive regressions. (2024). Deguest, Romain ; Coqueret, Guillaume. In: European Journal of Operational Research. RePEc:eee:ejores:v:318:y:2024:i:2:p:686-700.

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2024Instantaneous volatility of the yield curve, variance risk premium and bond return predictability. (2024). Yin, Ximing ; Yang, GE. In: Journal of Empirical Finance. RePEc:eee:empfin:v:77:y:2024:i:c:s0927539824000252.

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2024Exploring the dynamic connections between oil price shocks and bond yields in developed nations: A TVP-SVAR-SV approach. (2024). Maghyereh, Aktham ; Ziadat, Salem Adel ; Razzaq, Abdel. In: Energy. RePEc:eee:energy:v:306:y:2024:i:c:s0360544224022497.

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2024Dynamic effects on modern renewable energy generation: The role of patents in clean energy technology. (2024). Zambrano-Monserrate, Manuel ; Manigandan, Palanisamy ; Ahakwa, Isaac ; Soto, Gonzalo Hernndez. In: Energy. RePEc:eee:energy:v:311:y:2024:i:c:s0360544224031165.

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2024Biodiversity and stock returns. (2024). Zeng, Qing ; Wu, Hanlin ; Ma, Feng. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pa:s1057521924003181.

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2024Economic uncertainty and time-varying return predictability. (2024). Liu, LI. In: Finance Research Letters. RePEc:eee:finlet:v:68:y:2024:i:c:s1544612324010559.

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2025Can switching between predictive models and the historical average improve bond return predictability?. (2025). Xing, Bingxin Ann ; Wan, Runqing. In: Finance Research Letters. RePEc:eee:finlet:v:75:y:2025:i:c:s1544612325001394.

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2024New insights into liquidity resiliency. (2024). Wafula, Ronald ; Papavassiliou, Vassilios ; Boubaker, Sabri ; Osullivan, Conall. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:90:y:2024:i:c:s1042443123001609.

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2024Forecasting the equity premium with frequency-decomposed technical indicators. (2024). Stein, Tobias. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:1:p:6-28.

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2024Daily growth at risk: Financial or real drivers? The answer is not always the same. (2024). Uribe, Jorge ; Chuliá, Helena ; Garron, Ignacio ; Chulia, Helena. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:2:p:762-776.

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2024Bayesian forecasting in economics and finance: A modern review. (2024). Maheu, John ; Huber, Florian ; Koop, Gary ; Martin, Gael M ; Nibbering, Didier ; Frazier, David T ; Panagiotelis, Anastasios ; Maneesoonthorn, Worapree ; Loaiza-Maya, Ruben. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:2:p:811-839.

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2025Asymmetric uncertainty: Nowcasting using skewness in real-time data. (2025). Labonne, Paul. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:1:p:229-250.

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2024Discount rates and cash flows: A local projection approach. (2024). Lof, Matthijs ; Nyberg, Henri. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:162:y:2024:i:c:s0378426624000475.

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2025Uncertainty and cross-sectional stock returns: Evidence from China. (2025). Fei, Tianlun ; Deschamps, Bruno ; Liu, Xiaoquan ; Jiang, Ying. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:171:y:2025:i:c:s0378426624002887.

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2024More attention and better volatility forecast accuracy: How does war attention affect stock volatility predictability?. (2024). Wang, LU ; Duong, Duy ; Liang, Chao. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:218:y:2024:i:c:p:1-19.

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2024Forecasting the price of oil: A cautionary note. (2024). Eyiah-Donkor, Emmanuel ; Conlon, Thomas ; cotter, john. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:33:y:2024:i:c:s2405851323000685.

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2025Predicting commodity returns: Time series vs. cross sectional prediction models. (2025). Angelidis, Timotheos ; Sakkas, Athanasios ; Tessaromatis, Nikolaos. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:38:y:2025:i:c:s2405851325000194.

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2024Geopolitical risks and crude oil futures volatility: Evidence from machine learning. (2024). Niu, Zibo ; Wang, Wentao ; Zhang, Hongwei. In: Resources Policy. RePEc:eee:jrpoli:v:98:y:2024:i:c:s0301420724007414.

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2024Out-of-sample equity premium predictability: An EMD-denoising based model. (2024). Mei, Yuhe ; Li, Haohua ; Chen, Zhuo ; Hao, Xianfeng. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:88:y:2024:i:c:s0927538x24002889.

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2024Anatomy of sovereign yield behaviour using textual news. (2024). Sensoy, Ahmet ; Akhtaruzzaman, Md ; Dann, Susan ; Pradhan, H K ; Banerjee, Ameet Kumar. In: Research in International Business and Finance. RePEc:eee:riibaf:v:71:y:2024:i:c:s0275531924002514.

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2024Country-level energy-related uncertainties and stock market returns: Insights from the U.S. and China. (2024). Zhang, Xincheng. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:204:y:2024:i:c:s0040162524002336.

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2024Models of the Impact of Socio-Economic Shocks on Higher Education Development. (2024). Filip, Stanislav ; Matusova, Silvia ; Ponomarenko, Volodymyr ; Rayevnyeva, Olena ; Stryzhychenko, Kostyantyn ; Brovko, Olha. In: Administrative Sciences. RePEc:gam:jadmsc:v:14:y:2024:i:11:p:278-:d:1507329.

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2025Inference of Impulse Responses via Bayesian Graphical Structural VAR Models. (2025). Ahelegbey, Daniel Felix. In: Econometrics. RePEc:gam:jecnmx:v:13:y:2025:i:2:p:15-:d:1626420.

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2024What Drives Asset Returns Comovements? Some Empirical Evidence from US Dollar and Global Stock Returns (2000–2023). (2024). Tronzano, Marco. In: JRFM. RePEc:gam:jjrfmx:v:17:y:2024:i:4:p:167-:d:1378380.

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2025Out-of-Sample Predictability of the Equity Risk Premium. (2025). Hotta, Luiz ; Fuertes, Ana-Maria ; de Almeida, Daniel. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:2:p:257-:d:1566698.

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2024New Insights into Liquidity Resiliency. (2024). Wafula, Ronald ; Papavassiliou, Vassilios ; Boubaker, Sabri ; O'Sullivan, Conall. In: Post-Print. RePEc:hal:journl:hal-04432411.

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2024Unexpected opportunities in misspecified predictive regressions. (2024). Deguest, Romain ; Coqueret, Guillaume. In: Post-Print. RePEc:hal:journl:hal-04595355.

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2024Bayesian Quantile Regression Analysis for Bivariate Vector Autoregressive Models with an Application to Financial Time Series. (2024). Wang, Wenshan ; Hu, Qian ; Zhao, Luan ; Yang, Kai. In: Computational Economics. RePEc:kap:compec:v:64:y:2024:i:4:d:10.1007_s10614-023-10498-w.

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2025Prediction and Allocation of Stocks, Bonds, and REITs in the US Market. (2025). Silva, Nuno ; Monteiro, Ana Sofia ; Sebastiao, Helder. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:3:d:10.1007_s10614-024-10589-2.

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2025Modelling Mixed-Frequency Time Series with Structural Change. (2025). Barrios, Erniel ; Matthew, Adrian. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:6:d:10.1007_s10614-024-10672-8.

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2024Time-Varying Structural Approximate Dynamic Factor Model. (2024). Liu, Qingfeng ; Zhao, Ziyan. In: Economic Growth Centre Working Paper Series. RePEc:nan:wpaper:2401.

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2024Decomposing Uncertainty in Macro-Finance Term Structure Models. (2024). Byrne, Joseph ; Cao, Shuo. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:14:y:2024:i:3:p:428-449..

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2025An Infinite Hidden Markov Model with GARCH for Short-Term Interest Rates. (2025). Li, Chenxing ; Yang, Qiao. In: MPRA Paper. RePEc:pra:mprapa:123200.

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2025Belief distortions and Disagreement about Inflation. (2024). Patella, Valeria. In: Working Paper series. RePEc:rim:rimwps:24-08.

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2025Structural changes in contagion channels: the impact of COVID-19 on the Italian electricity market. (2025). Ahelegbey, Daniel Felix ; Casarin, Roberto ; Fianu, Emmanuel Senyo ; Grossi, Luigi. In: Annals of Operations Research. RePEc:spr:annopr:v:345:y:2025:i:2:d:10.1007_s10479-024-05893-x.

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2024Forecasting the equity premium using weighted regressions: Does the jump variation help?. (2024). Zhang, Yaojie ; Wang, Yudong. In: Empirical Economics. RePEc:spr:empeco:v:66:y:2024:i:5:d:10.1007_s00181-023-02521-8.

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2025Introducing shrinkage in heavy-tailed state space models to predict equity excess returns. (2025). Pfarrhofer, Michael ; Kastner, Gregor ; Huber, Florian. In: Empirical Economics. RePEc:spr:empeco:v:68:y:2025:i:2:d:10.1007_s00181-023-02437-3.

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2025Forecasting stock returns: the role of VIX-based upper and lower shadow of Japanese candlestick. (2025). Dai, Zhifeng ; Zhu, Haoyang ; Chang, Xiaoming ; Wen, Fenghua. In: Financial Innovation. RePEc:spr:fininn:v:11:y:2025:i:1:d:10.1186_s40854-024-00682-8.

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2025Stock return forecasting based on the proxy variables of category factors. (2025). Zhao, Yuan ; Gong, Xue ; Zhang, Weiguo ; Xu, Weijun. In: Financial Innovation. RePEc:spr:fininn:v:11:y:2025:i:1:d:10.1186_s40854-025-00779-8.

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2024Identification and forecasting of bull and bear markets using multivariate returns. (2024). Maheu, John ; Song, Yong ; Liu, Jia. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:39:y:2024:i:5:p:723-745.

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2024Nowcasting Norwegian household consumption with debit card transaction data. (2024). Aastveit, Knut Are ; Fastb, Tuva Marie ; Granziera, Eleonora ; Paulsen, Kenneth Sterhagen ; Torstensen, Kjersti Nss. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:39:y:2024:i:7:p:1220-1244.

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2024Forecasting exchange rates: An iterated combination constrained predictor approach. (2024). Souropanis, Ioannis ; Panopoulou, Ekaterini ; Alexandridis, Antonios K. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:4:p:983-1017.

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2025Forecasting Markov switching vector autoregressions: Evidence from simulation and application. (2025). Cavicchioli, Maddalena. In: Journal of Forecasting. RePEc:wly:jforec:v:44:y:2025:i:1:p:136-152.

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2025Predicting Equity Premium: A New Momentum Indicator Selection Strategy With Machine Learning. (2025). Yuan, Ying ; Qu, Yong. In: Journal of Forecasting. RePEc:wly:jforec:v:44:y:2025:i:2:p:424-435.

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2025Using a Wage–Price‐Setting Model to Forecast US Inflation. (2025). Do, Nguyen Duc. In: Journal of Forecasting. RePEc:wly:jforec:v:44:y:2025:i:2:p:803-832.

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2025Regime‐Switching Density Forecasts Using Economists Scenarios. (2025). Moramarco, Graziano. In: Journal of Forecasting. RePEc:wly:jforec:v:44:y:2025:i:2:p:833-845.

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2024Modeling and forecasting stock return volatility using the HARGARCH model with VIX information. (2024). Wang, Yudong ; Pan, Zhiyuan ; Zhang, Jun ; Huang, Juan. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:8:p:1383-1403.

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2024Enhancing forecast accuracy through frequencydomain combination: Applications to financial and economic indicators. (2024). Verona, Fabio ; Faria, Gonçalo. In: Bank of Finland Research Discussion Papers. RePEc:zbw:bofrdp:307140.

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Works by Davide Pettenuzzo:

YearTitleTypeCited
2020Machine Learning Econometrics: Bayesian algorithms and methods In: Papers.
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2020Machine Learning Econometrics: Bayesian algorithms and methods.(2020) In: Working Papers.
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2020Machine Learning Econometrics: Bayesian algorithms and methods.(2020) In: Working Papers.
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2020Machine Learning Econometrics: Bayesian algorithms and methods.(2020) In: MPRA Paper.
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2020Cash Flow News and Stock Price Dynamics In: Journal of Finance.
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2019Cash Flow News and Stock Price Dynamics.(2019) In: CEPR Discussion Papers.
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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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This paper has nother version. Agregated cites: 38		article
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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2019Adaptive hierarchical priors for high-dimensional vector autoregressions.(2019) In: Journal of Econometrics.
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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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2020Forecasting stock returns: A predictor-constrained approach.(2020) In: Journal of Empirical Finance.
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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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This paper has nother version. Agregated cites: 162		paper
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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2019Bond Return Predictability: Economic Value and Links to the Macroeconomy.(2019) In: Management Science.
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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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2019Option-Implied Equity Premium Predictions via Entropic Tilting.(2019) In: Journal of Financial Econometrics.
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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: The 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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2020Dividend Suspensions and Cash Flow Risk during the Covid-19 Pandemic In: CEPR Discussion Papers.
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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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