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Granger causality, exogeneity, cointegration, and economic policy analysis
White, Halbert; Pettenuzzo, Davide - In: Journal of econometrics 178 (2014) 1, pp. 316-330
Persistent link: https://www.econbiz.de/10010256850
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Predictability of stock returns and asset allocation under structural breaks
Pettenuzzo, Davide; Timmermann, Allan - In: Journal of econometrics 164 (2011) 1, pp. 60-79
Persistent link: https://www.econbiz.de/10009178482
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Predictability of stock returns and asset allocation under structural breaks
Pettenuzzo, Davide; Timmermann, Allan - In: Journal of econometrics 164 (2011) 1, pp. 60-78
Persistent link: https://www.econbiz.de/10009270410
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A MIDAS approach to modeling first and second moment dynamics
Pettenuzzo, Davide; Timmermann, Allan; Valkanov, Rossen I. - In: Journal of econometrics 193 (2016) 2, pp. 315-334
Persistent link: https://www.econbiz.de/10011704952
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Bayesian compressed vector autoregressions
Koop, Gary; Korobilis, Dimitris; Pettenuzzo, Davide - In: Journal of econometrics 210 (2019) 1, pp. 135-154
Persistent link: https://www.econbiz.de/10012303386
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Adaptive hierarchical priors for high-dimensional vector autoregressions
Korobilis, Dimitris; Pettenuzzo, Davide - In: Journal of econometrics 212 (2019) 1, pp. 241-271
Persistent link: https://www.econbiz.de/10012303926
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Dividend suspensions and cash flows during the Covid-19 pandemic : a dynamic econometric model
Pettenuzzo, Davide; Sabbatucci, Riccardo; Timmermann, Allan - In: Journal of econometrics 235 (2023) 2, pp. 1522-1541
Persistent link: https://www.econbiz.de/10014471409
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Regularity conditions for Cox's test of non-nested hypotheses
White, Halbert - In: Journal of econometrics 19 (1982) 2/3, pp. 301-318
Persistent link: https://www.econbiz.de/10003000608
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Time-series estimation of the effects of natural experiments
White, Halbert - In: Journal of econometrics 135 (2006) 1/2, pp. 527-566
Persistent link: https://www.econbiz.de/10003376113
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Subsampling the distribution of diverging statistics with applications to finance
Bertail, Patrice; Haefke, Christian; Politis, Dimitris N.; … - In: Journal of econometrics 120 (2004) 2, pp. 295-326
Persistent link: https://www.econbiz.de/10006757388