Zobrazeno 1 - 10
of 34
pro vyhledávání: '"Davide Pettenuzzo"'
Publikováno v:
Journal of Econometrics. 227:513-517
We revisit the estimation algorithm of Pettenuzzo and Timmermann (2011) and show how to apply the posterior simulation test of Geweke (2004) to locate and correct an error in the original posterior sampling algorithm. The main modification for the ne
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ffed9d7b90def69c39ce4a7d2c075c53
https://doi.org/10.1016/j.jeconom.2020.02.008
https://doi.org/10.1016/j.jeconom.2020.02.008
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::44a7f3a8bf682ba96bf53536c683824d
https://doi.org/10.2139/ssrn.4358152
https://doi.org/10.2139/ssrn.4358152
Publikováno v:
Journal of Econometrics.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::22bb66bb660e0b93e7ce51bbf5fa5f30
https://doi.org/10.1016/j.jeconom.2022.11.008
https://doi.org/10.1016/j.jeconom.2022.11.008
Publikováno v:
Economics Letters. 224:111024
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4671802d6fe55c174980bb2a24436e5e
https://doi.org/10.1016/j.econlet.2023.111024
https://doi.org/10.1016/j.econlet.2023.111024
Publikováno v:
The Journal of Finance. 75:2221-2270
We develop a new approach to modeling dynamics in cash flows extracted from daily firm‐level dividend announcements. We decompose daily cash flow news into a persistent component, jumps, and temporary shocks. Empirically, we find that the persisten
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::bab1bc4e0c04fb7f6d5d5555e732f19f
https://doi.org/10.1111/jofi.12901
https://doi.org/10.1111/jofi.12901
Publikováno v:
Journal of Empirical Finance. 55:200-217
We develop a novel method to impose constraints on univariate predictive regressions of stock returns. Unlike the previous approaches in the literature, we implement our constraints directly on the predictor, setting it to zero whenever its value fal
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b6d9ce78709e7957dbb7024f97a223eb
https://doi.org/10.1016/j.jempfin.2019.11.008
https://doi.org/10.1016/j.jempfin.2019.11.008
Autor:
Riccardo Sabbatucci, Davide Pettenuzzo
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::31523b33a0edb91b427ea6783edb531a
https://doi.org/10.2139/ssrn.4241054
https://doi.org/10.2139/ssrn.4241054
Publikováno v:
SSRN Electronic Journal.
The outbreak of the Covid-19 pandemic massively increased uncertainty about firms’ cash flows and their access to financial markets. We examine its effect on firms’ strategies for preserving cash by suspending dividends and buybacks and raising n
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::92d5c17d6700e2c482f43b4fe15a776e
https://doi.org/10.2139/ssrn.3823258
https://doi.org/10.2139/ssrn.3823258
Autor:
Dimitris Korobilis, Davide Pettenuzzo
Bayesian inference in economics is primarily perceived as a methodology for cases where the data are short, that is, not informative enough in order to be able to obtain reliable econometric estimates of quantities of interest. In these cases, prior
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1374c43805ff2392b4223ab6767693fd
https://eprints.gla.ac.uk/223797/1/223797.pdf
https://eprints.gla.ac.uk/223797/1/223797.pdf
Autor:
Davide Pettenuzzo, Dimitris Korobilis
As the amount of economic and other data generated worldwide increases vastly, a challenge for future generations of econometricians will be to master efficient algorithms for inference in empirical models with large information sets. This Chapter pr
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::8f23184d4a8788141b5e3eb449a7a4ee
http://arxiv.org/abs/2004.11486
http://arxiv.org/abs/2004.11486