Showing 1 - 20 results of 102 for search '"Pettenuzzo, Davide"' Skip to content
Are you a member of Bonn University? Yes: Then connect to the University network via VPN client in order to access the licensed contents. No: You can then access licensed contents using the Service Pcs within the ULB Bonn. Bitte buchen Sie den Arbeitsplatz 'Service-PC o. Scanner'
Lesen Sie bitte unsere aktuellen Informationen zur ULB im geschützten Betrieb.
  • Help
  • Feedback
  • My account
  • My account

    Favorites  Checked out items  Requests / Reservations  Fees Personal data My saved searches
  • Log Out
  • Log In
  • 0 Results in book bag (Full)
  • Language
    • English
    • Deutsch
Advanced |Search History
  • Your search results: "Pettenuzzo, Davide"
Showing 1 - 20 results of 102 for search '"Pettenuzzo, Davide"', query time: 1.40s Narrow search
  • 1
    Cover Image Journal Article
    Forecasting stock returns under economic constraints
    by 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...”
    available in Bonn?
    Add to book bag Remove from book bag
    Add to favourites
    Saved in:
  • 2
    Cover Image Journal Article
    Adaptive hierarchical priors for high-dimensional vector autoregressions
    by Korobilis, Dimitris   Pettenuzzo, Davide Published in Journal of econometrics (01.09.2019)
    “...This paper proposes a simulation-free estimation algorithm for vector autoregressions (VARs) that allows fast approximate calculation of marginal parameter...”
    available in Bonn?
    Add to book bag Remove from book bag
    Add to favourites
    Saved in:
  • 3
    Cover Image Journal Article
    Bayesian compressed vector autoregressions
    by 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...”
    available in Bonn?
    Add to book bag Remove from book bag
    Add to favourites
    Saved in:
  • 4
    Cover Image Journal Article
    Bond Return Predictability: Economic Value and Links to the Macroeconomy
    by 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...”
    available in Bonn?
    Add to book bag Remove from book bag
    Add to favourites
    Saved in:
  • 5
    Cover Image Journal Article
    Optimal Portfolio Choice Under Decision‐Based Model Combinations
    by 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...”
    available in Bonn?
    Add to book bag Remove from book bag
    Add to favourites
    Saved in:
  • 6
    Cover Image Journal Article
    Cash Flow News and Stock Price Dynamics
    by 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...”
    available in Bonn?
    Add to book bag Remove from book bag
    Add to favourites
    Saved in:
  • 7
    Cover Image Journal Article
    A MIDAS approach to modeling first and second moment dynamics
    by 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...”
    available in Bonn?
    Add to book bag Remove from book bag
    Add to favourites
    Saved in:
  • 8
    Cover Image Journal Article
    Predictability of stock returns and asset allocation under structural breaks
    by Pettenuzzo, Davide   Timmermann, Allan Published in Journal of econometrics (2011)
    “...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...”
    available in Bonn?
    Add to book bag Remove from book bag
    Add to favourites
    Saved in:
  • 9
    Cover Image Journal Article
    Granger causality, exogeneity, cointegration, and economic policy analysis
    by White, Halbert   Pettenuzzo, Davide Published in Journal of econometrics (01.01.2014)
    “...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...”
    available in Bonn?
    Add to book bag Remove from book bag
    Add to favourites
    Saved in:
  • 10
    Cover Image Journal Article
    Forecasting Time Series Subject to Multiple Structural Breaks
    by 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...”
    Fulltext

    Add to book bag Remove from book bag
    Add to favourites
    Saved in:
  • 11
    Cover Image Journal Article
    Forecasting Macroeconomic Variables Under Model Instability
    by 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...”
    available in Bonn?
    Add to book bag Remove from book bag
    Add to favourites
    Saved in:
  • 12
    Cover Image Journal Article
    Learning, Structural Instability, and Present Value Calculations
    by 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...”
    available in Bonn?
    Add to book bag Remove from book bag
    Add to favourites
    Saved in:
  • 13
    Cover Image Journal Article
    Forecasting stock returns: A predictor-constrained approach
    by 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...”
    available in Bonn?
    Add to book bag Remove from book bag
    Add to favourites
    Saved in:
  • 14
    Cover Image Journal Article
    Optimal asset allocation with multivariate Bayesian dynamic linear models
    by 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...”
    available in Bonn?
    Add to book bag Remove from book bag
    Add to favourites
    Saved in:
  • 15
    Cover Image Journal Article
    Option-Implied Equity Premium Predictions via Entropic Tilting
    by 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...”
    available in Bonn?
    Add to book bag Remove from book bag
    Add to favourites
    Saved in:
  • 16
    Cover Image Journal Article
    A MIDAS approach to modeling first and second moment dynamics
    by Pettenuzzo, Davide Published in Journal of econometrics (2016)
    available in Bonn?
    Add to book bag Remove from book bag
    Add to favourites
    Saved in:
  • 17
    Cover Image Journal Article
    Forecasting macroeconomic variables under model instability
    by Pettenuzzo, Davide Published in Journal of business & economic statistics (2017)
    available in Bonn?
    Add to book bag Remove from book bag
    Add to favourites
    Saved in:
  • 18
    Cover Image Journal Article
    Optimal portfolio choice under decision-based model combinations
    by Pettenuzzo, Davide Published in Journal of applied econometrics (2016)
    available in Bonn?
    Add to book bag Remove from book bag
    Add to favourites
    Saved in:
  • 19
    Cover Image Book
    A Bayesian midas approach to modeling first and second moment dynamics
    by Pettenuzzo, Davide   Timmermann, Allan G   Valkanov, Rossen
    2014
    available in Bonn?
    Add to book bag Remove from book bag
    Add to favourites
    Saved in:
  • 20
    Cover Image Book
    Bond return predictability: economic value and links to the macroeconomy
    by Gargano, Antonio   Pettenuzzo, Davide   Timmermann, Allan G
    2014
    available in Bonn?
    Add to book bag Remove from book bag
    Add to favourites
    Saved in:
  • 1
  • 2
  • 3
  • 4
  • 5
  • 6
  • Next »
  • [6]
Search Tools: Email this search — Save search

Narrow search

Fulltext + Libraries Uni Bonn Fulltext only Uni Bonn Libraries only
  • Staatswiss. Sem. 1
  • Journal Article 44
  • Paper 32
  • Publication 10
  • Book / eBook 7
  • Data Set 4
  • Web Resource 2
  • more ...
  • Book Chapter 1
  • Electronic Resource 1
  • Reference 1
  • see all ... less ...
  • economics 16
  • mathematics 8
  • statistics 6
  • business 4
  • ecology 1
  • medicine 1
  • English 98
  • Norwegian 2
  • German 1
  • Further Searchtools

    • Journals - ZDB
    • eJournals - EZB
    • Databases - DBIS
    • Metasearch - DigiBib

    Interlibrary loan service

    • Interlibrary loan - Books
    • Interlibrary loan - Article
    • FAQ Interlibrary loan

    Searchtools

    • Search History
    • Recommandation for acquisition

    Legal Details

    • Privacy Policy
    • Legal Notice
    Help
    News ULB
    Facebook
    Twitter
    Instagram
    Powered by Summon™ from Serials Solutions, a division of ProQuest.@131.220.74.19
    Loading...