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1by Pettenuzzo, Davide Timmermann, Allan Valkanov, Rossen Published in Journal of financial economics (01.12.2014)“...We propose a new approach to imposing economic constraints on time series forecasts of the equity premium. Economic constraints are used to modify the...”
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2“...This paper proposes a simulation-free estimation algorithm for vector autoregressions (VARs) that allows fast approximate calculation of marginal parameter...”
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3by Koop, Gary Korobilis, Dimitris Pettenuzzo, Davide Published in Journal of econometrics (01.05.2019)“...Macroeconomists are increasingly working with large Vector Autoregressions (VARs) where the number of parameters vastly exceeds the number of observations...”
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4by Gargano, Antonio Pettenuzzo, Davide Timmermann, Allan Published in Management science (01.02.2019)“...Studies of bond return predictability find a puzzling disparity between strong statistical evidence of return predictability and the failure to convert return...”
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5by Pettenuzzo, Davide Ravazzolo, Francesco Published in Journal of applied econometrics (Chichester, England) (01.11.2016)“...Summary We propose a density combination approach featuring combination weights that depend on the past forecast performance of the individual models entering...”
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6by PETTENUZZO, DAVIDE SABBATUCCI, RICCARDO TIMMERMANN, ALLAN Published in The Journal of finance (New York) (01.08.2020)“...ABSTRACT We develop a new approach to modeling dynamics in cash flows extracted from daily firm‐level dividend announcements. We decompose daily cash flow news...”
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7by Pettenuzzo, Davide Timmermann, Allan Valkanov, Rossen Published in Journal of econometrics (01.08.2016)“...We propose a new approach to predictive density modeling that allows for MIDAS effects in both the first and second moments of the outcome. Specifically, our...”
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8“...This paper adopts a new approach that accounts for breaks to the parameters of return prediction models both in the historical estimation period and at future...”
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9“...Policy analysis had long been a main interest of Clive Granger’s. Here, we present a framework for economic policy analysis that provides a novel integration...”
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10by M. Hashem Pesaran Davide Pettenuzzo Allan Timmermann Published in The Review of economic studies (01.10.2006)“...This paper provides a new approach to forecasting time series that are subject to discrete structural breaks. We propose a Bayesian estimation and prediction...”
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11by Pettenuzzo, Davide Timmermann, Allan Published in Journal of business & economic statistics (03.04.2017)“...We compare different approaches to accounting for parameter instability in the context of macroeconomic forecasting models that assume either small, frequent...”
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12by Pesaran, Hashem Pettenuzzo, Davide Timmermann, Allan Published in Econometric reviews (12.04.2007)“...Present value calculations require predictions of cash flows both at near and distant future points in time. Such predictions are generally surrounded by...”
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13by Pan, Zhiyuan Pettenuzzo, Davide Wang, Yudong Published in Journal of empirical finance (01.01.2020)“...We develop a novel method to impose constraints on univariate predictive regressions of stock returns. Unlike previous approaches in the literature, we...”
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14by Fisher, Jared D Pettenuzzo, Davide Carvalho, Carlos M Published in The annals of applied statistics (01.03.2020)“...We introduce a fast, closed-form, simulation-free method to model and forecast multiple asset returns and employ it to investigate the optimal ensemble of...”
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15by Metaxoglou, Konstantinos Pettenuzzo, Davide Smith, Aaron Published in Journal of financial econometrics (01.09.2019)“...Abstract We propose a new method to improve density forecasts of the equity premium using information from options markets. We obtain predictive densities from...”
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