EconBase
← All authors

Davide Pettenuzzo

Brandeis University (from arXiv:2605.15358, 2026) · ORCID · OpenAlex

22 papers in scope · 18 published · 4 on the econ.EM arXiv · 1,228 citations · h-index 13 (over the papers listed here)

Related authors

The 20 authors closest to this one in our weighted citation graph, most related first.

  1. Shubhranshu Shekhar
  2. Andrea Carriero
  3. Wenbin Wu
  4. Fengxiang He
  5. Aijie Shu
  6. Gbenga Ibikunle
  7. Alessio Brini
  8. Anthoulla Phella
  9. Joshua C. C. Chan
  10. Konstantin Boss
  11. Luigi Longo
  12. Dalibor Stevanović
  13. Philippe Goulet Coulombe
  14. Florian Huber
  15. Luca Onorante
  16. Gary Koop
  17. Stéphane Surprenant
  18. Josef Schreiner
  19. Maxime Leroux
  20. Emily Tallman

Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md.

Papers

(5 of 22)

MACROCAST: A Vintage-Consistent Time Series Foundation Model for Real-Time Macroeconomic Forecasting
working paper2026 · arXiv
with Andrea Carriero, Shubhranshu Shekhar
Paper profile arXiv arXiv:2606.28670
Double Descent and Benign Overfitting in Macroeconomic Forecasting
working paper2026 · arXiv
with Andrea Carriero, Florian Huber
Paper profile arXiv arXiv:2605.15358
Conditional forecasts in large Bayesian VARs with multiple equality and inequality constraints
published2025 · Journal of Economic Dynamics and Control · 2 citations · first circulated 2024
with Joshua C. C. Chan, Aubrey Poon, Dan Zhu
Paper profile Journal of Economic Dynamics and Control arXiv:2407.02262
Macroeconomic Forecasting with Large Language Models
working paper2024 · arXiv · 11 citations
with Andrea Carriero, Shubhranshu Shekhar
Paper profile arXiv arXiv:2407.00890
Payout suspensions during the Covid-19 pandemic
published2023 · Economics Letters · 12 citations
with Riccardo Sabbatucci, Allan Timmermann
Economics Letters
Dividend suspensions and cash flows during the Covid-19 pandemic: A dynamic econometric model
published2023 · Journal of Econometrics · 10 citations
with Riccardo Sabbatucci, Allan Timmermann
Journal of Econometrics
Machine Learning Econometrics: Bayesian Algorithms and Methods
working paper2020 · arXiv · 3 citations
with Dimitris Korobilis
Paper profile arXiv arXiv:2004.11486
Cash Flow News and Stock Price Dynamics
published2020 · The Journal of Finance · 44 citations · first circulated 2019
with Riccardo Sabbatucci, Allan Timmermann
The Journal of Finance
Optimal asset allocation with multivariate Bayesian dynamic linear models
published2020 · The Annals of Applied Statistics · 6 citations · first circulated 2018
with Jared D. Fisher, Carlos M. Carvalho
The Annals of Applied Statistics
Forecasting stock returns: A predictor-constrained approach
published2019 · Journal of Empirical Finance · 46 citations · first circulated 2017
with Zhiyuan Pan, Yudong Wang
Journal of Empirical Finance
Adaptive hierarchical priors for high-dimensional vector autoregressions
published2019 · Journal of Econometrics · 43 citations · first circulated 2017
with Dimitris Korobilis
Journal of Econometrics
Bayesian compressed vector autoregressions
published2018 · Journal of Econometrics · 80 citations · first circulated 2016
with Gary Koop, Dimitris Korobilis
Journal of Econometrics
Option-Implied Equity Premium Predictions via Entropic Tilting
published2018 · Journal of Financial Econometrics · 2 citations · first circulated 2016
with Κωνσταντίνος Μεταξόγλου, Aaron Smith
Journal of Financial Econometrics
Bond Return Predictability: Economic Value and Links to the Macroeconomy
published2017 · Management Science · 120 citations · first circulated 2014
with Antonio Gargano, Allan Timmermann
Management Science
A MIDAS approach to modeling first and second moment dynamics
published2016 · Journal of Econometrics · 46 citations · first circulated 2014
with Allan Timmermann, Rossen Valkanov
Journal of Econometrics
Optimal Portfolio Choice Under Decision‐Based Model Combinations
published2016 · Journal of Applied Econometrics · 65 citations · first circulated 2014
with Francesco Ravazzolo
Journal of Applied Econometrics
Forecasting Macroeconomic Variables Under Model Instability
published2015 · Journal of Business and Economic Statistics · 37 citations
with Allan Timmermann
Journal of Business and Economic Statistics
Forecasting stock returns under economic constraints
published2014 · Journal of Financial Economics · 314 citations · first circulated 2012
with Allan Timmermann, Rossen Valkanov
Journal of Financial Economics
Granger causality, exogeneity, cointegration, and economic policy analysis
published2013 · Journal of Econometrics · 29 citations · first circulated 2010
with Halbert White
Journal of Econometrics
Predictability of stock returns and asset allocation under structural breaks” [J. Econometrics 164 (2011) 60–78
published2011 · Journal of Econometrics · 220 citations · first circulated 2010
with Allan Timmermann, Yong Song
Journal of Econometrics
Learning, Structural Instability, and Present Value Calculations
published2007 · Econometric Reviews · 24 citations · first circulated 2006
with M. Hashem Pesaran, Allan Timmermann
Econometric Reviews
Forecasting Time Series Subject to Multiple Structural Breaks
published2004 · The Review of Economic Studies · 114 citations
with M. Hashem Pesaran, Allan Timmermann
The Review of Economic Studies

Assembled from arXiv and OpenAlex. Duplicate records for the same paper are merged, and the published version is shown where we could identify one. Corrections welcome.