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How Learning in Financial Markets Generates Excess Volatility and Predictability in Stock Prices,
Allan G. Timmermann,
in The Quarterly Journal of Economics
(1993)
Forecasting in Economics and Finance,
Graham Elliott and Allan G Timmermann,
from Department of Economics, UC San Diego
(2016)
Keywords: Big Data, Forecast evaluation, Forecast models, Model Instability, Parameter Estimation
Business Cycle Asymmetries in Stock Returns: Evidence from Higher Order Moments and Conditional Densities,
G. Perez-Quiros and Allan Timmermann,
from Quebec a Montreal - Recherche en gestion
(2001)
Keywords: BUSINESS CYCLES ; ECONOMIC MODELS
Modeling Covariance Risk in Merton's ICAPM,
Alberto G. Rossi and Allan Timmermann,
in The Review of Financial Studies
(2015)
Present value models with feedback: Solutions, stability, bubbles, and some empirical evidence,
Allan Timmermann,
in Journal of Economic Dynamics and Control
(1994)
Why do dividend yields forecast stock returns?,
Allan Timmermann,
in Economics Letters
(1994)
Moments of Markov switching models,
Allan Timmermann,
in Journal of Econometrics
(2000)
Can Agents Learn to Form Rational Expectations? Some Results on Convergence and Stability of Learning in the UK Stock Market,
Allan Timmermann,
in Economic Journal
(1994)
Forecast Combinations,
Allan Timmermann,
from C.E.P.R. Discussion Papers
(2005)
Keywords: Forecast combinations; Pooling and trimming; Shrinkage methods; Model misspecification; Diversification gains
Cointegration Tests of Present Value Models with a Time-Varying Discount Factor,
Allan Timmermann,
in Journal of Applied Econometrics
(1995)
Elusive return predictability,
Allan Timmermann,
in International Journal of Forecasting
(2008)
Reply to the discussion of Elusive Return Predictability,
Allan Timmermann,
in International Journal of Forecasting
(2008)
Moments of Markov switching models,
Allan Timmermann,
from London School of Economics and Political Science, LSE Library
(1999)
Keywords: Markov swtiching; higher order moments; mixtures of normals; volatility clustering
An Evaluation of the World Economic Outlook Forecasts,
Allan Timmermann,
in IMF Staff Papers
(2007)
Introduction to Special Issue of Journal of Financial Econometrics in Honor of Hal White,
Allan Timmermann,
in Journal of Financial Econometrics
(2014)
Excess Volatility and Predictability of Stock Prices in Autoregressive Dividend Models with Learning,
Allan Timmermann,
in The Review of Economic Studies
(1996)
Structural Breaks, Incomplete Information and Stock Prices,
Allan Timmermann,
from Financial Markets Group
(1998)
Moments of Markov Switching Models,
Allan Timmermann,
from Financial Markets Group
(1999)
(UBS Pensions Series 2) International Asset Allocation with Time-Varying Investment Opportunities,
Allan Timmermann,
from Financial Markets Group
(2002)
(UBS Pensions Series 4) Returns from Active Management in International Equity Markets; Evidence from a Panel of UK Pension Funds,
Allan Timmermann,
from Financial Markets Group
(2002)
An Evaluation of the World Economic Outlook Forecasts,
Allan Timmermann,
from International Monetary Fund
(2006)
Keywords: WP;mover accent
Forecast Combinations,
Allan Timmermann,
from Elsevier
(2006)
Forecasting Methods in Finance,
Allan Timmermann,
in Annual Review of Financial Economics
(2018)
Keywords: model instability, market efficiency, out-of-sample forecasting, return predictability, forecast evaluation
Structural Breaks, Incomplete Information, and Stock Prices,
Allan Timmermann,
in Journal of Business & Economic Statistics
(2001)
Structural Breaks, Incomplete Information and Stock Prices,
Allan Timmermann,
from Department of Economics, UC San Diego
(2001)
Keywords: asset pricing, stocks, structural breaks
Forecasting Methods in Finance,
Allan Timmermann,
from C.E.P.R. Discussion Papers
(2018)
Registered author: Allan Timmermann
Have Risk Premia Vanished?,
Allan Timmermann and Simon Smith,
from C.E.P.R. Discussion Papers
(2021)
Forecasting Macroeconomic Variables under Model Instability,
Allan Timmermann and Davide Pettenuzzo,
from C.E.P.R. Discussion Papers
(2016)
Keywords: Time-varying parameters; Regime switching; stochastic volatility; Gdp growth; inflation
Forecast Combination With Entry and Exit of Experts,
Carlos Capistrán and Allan Timmermann,
from Department of Economics and Business Economics, Aarhus University
(2008)
Keywords: Real-time Data, Survey of Professional Forecasters, Bias-adjustment, EM Algorithm.
Properties of Optimal Forecasts,
Allan Timmermann and Andrew Patton,
from C.E.P.R. Discussion Papers
(2003)
Keywords: Forecast evaluation; Loss function; Rationality; Efficient markets
Optimal Forecast Combination Under Regime Switching,
Allan Timmermann and Graham Elliott,
from C.E.P.R. Discussion Papers
(2004)
Keywords: Forecast combination; Time-varying combination weights; Markov switching; Survey data
Economic Forecasting,
Allan Timmermann and Graham Elliott,
from C.E.P.R. Discussion Papers
(2007)
Keywords: Economic forecasting; Forecast evaluation; Loss function
Learning in Real Time: Theory and Empirical Evidence from the Term Structure of Survey Forecasts,
Allan Timmermann and Andrew Patton,
from C.E.P.R. Discussion Papers
(2007)
Keywords: Term structure of forecasts; Real time learning; Survey forecasts
Risky Arbitrage Strategies: Optimal Portfolio Choice and Economic Implications,
Allan Timmermann and Jun Liu,
from C.E.P.R. Discussion Papers
(2009)
Keywords: Cointegrated asset prices; Optimal portfolio choice; Risky arbitrage
Forecast Rationality Tests Based on Multi-Horizon Bounds,
Allan Timmermann and Andrew Patton,
from C.E.P.R. Discussion Papers
(2011)
Keywords: Forecast horizon; Forecast optimality; Real-time data; Survey forecasts
Disagreement and Biases in Inflation Expectations,
Allan Timmermann and Carlos Capistrán,
from Banco de México
(2006)
Optimal properties of exponentially weighted forecasts in the presence of different information sources,
Steve Satchell and Allan Timmermann,
in Economics Letters
(1994)
Disagreement and Biases in Inflation Expectations,
Carlos Capistrán and Allan Timmermann,
from Department of Economics and Business Economics, Aarhus University
(2008)
Keywords: asymmetric loss, real-time data, survey expectations
Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets,
Asger Lunde and Allan Timmermann,
from Econometric Society
(2000)
Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets,
Allan Timmermann and Asger Lunde,
from C.E.P.R. Discussion Papers
(2003)
Keywords: Hazard model; Survival rate; Interest rate effect
Conditional Rotation Between Forecasting Models,
Allan Timmermann and Yinchu Zhu,
from C.E.P.R. Discussion Papers
(2021)
Keywords: Forecasting performance; Real time monitoring; Finite sample bounds
OPTIMAL FORECAST COMBINATION UNDER REGIME SWITCHING *,
Graham Elliott and Allan Timmermann,
in International Economic Review
(2005)
Testing Forecast Optimality Under Unknown Loss,
Andrew Patton and Allan Timmermann,
in Journal of the American Statistical Association
(2007)
Forecasting commodity price indexes using macroeconomic and financial predictors,
Antonio Gargano and Allan Timmermann,
in International Journal of Forecasting
(2014)
Keywords: Predictability of commodity spot prices; Out-of-sample forecast performance; Recessions and expansions;
Relative Performance Evaluation Contracts and Asset Market Equilibrium,
Allan Timmermann and Sandeep Kapur,
from C.E.P.R. Discussion Papers
(2003)
Keywords: Portfolio delegation; Relative performance evaluation; Equity premium
Relative Performance Evaluation Contracts and Asset Market Equilibrium,
Sandeep Kapur and Allan Timmermann,
in Economic Journal
(2005)
Disagreement and Biases in Inflation Expectations,
Carlos Capistrán and Allan Timmermann,
in Journal of Money, Credit and Banking
(2009)
Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach,
Andrew Patton and Allan Timmermann,
in Journal of Business & Economic Statistics
(2011)
Forecast Rationality Tests Based on Multi-Horizon Bounds,
Andrew Patton and Allan Timmermann,
in Journal of Business & Economic Statistics
(2011)
Rejoinder,
Andrew Patton and Allan Timmermann,
in Journal of Business & Economic Statistics
(2012)
Forecasting Macroeconomic Variables Under Model Instability,
Davide Pettenuzzo and Allan Timmermann,
in Journal of Business & Economic Statistics
(2017)
Forecast Rationality Tests Based on Multi-Horizon Bounds,
Andrew Patton and Allan Timmermann,
in Journal of Business & Economic Statistics
(2012)
Predictability of stock returns and asset allocation under structural breaks,
Davide Pettenuzzo and Allan Timmermann,
in Journal of Econometrics
(2011)
Monotonicity in asset returns: New tests with applications to the term structure, the CAPM, and portfolio sorts,
Andrew Patton and Allan Timmermann,
in Journal of Financial Economics
(2010)
Keywords: Asset pricing models Portfolio sorts CAPM Monotonicity tests
On the optimality of adaptive expectations: Muth revisited,
Steve Satchell and Allan Timmermann,
in International Journal of Forecasting
(1995)
Do return prediction models add economic value?,
Tolga Cenesizoglu and Allan Timmermann,
in Journal of Banking & Finance
(2012)
Keywords: Predictability of stock returns; Mean squared forecast error; Economic and statistical measures of forecasting performance;
Regime Changes and Financial Markets,
Andrew Ang and Allan Timmermann,
in Annual Review of Financial Economics
(2012)
Keywords: regime switching, nonlinear equilibrium asset pricing models, mixture distributions, rare events, jumps
Forecasting in Economics and Finance,
Graham Elliott and Allan Timmermann,
in Annual Review of Economics
(2016)
Keywords: risk, forecast models, big data, parameter estimation, model misspecification, model instability, forecast evaluation
Forecast Combination with Entry and Exit of Experts,
Allan Timmermann and Carlos Capistrán,
from Banco de México
(2006)
Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets,
Asger Lunde and Allan Timmermann,
in Journal of Business & Economic Statistics
(2004)
Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach,
Andrew Patton and Allan Timmermann,
in Journal of Business & Economic Statistics
(2011)
Forecasting in Economics and Finance,
Allan Timmermann and Graham Elliott,
from C.E.P.R. Discussion Papers
(2016)
Keywords: Forecast models; Big data; Parameter estimation; Model instability; Forecast evaluation
Comparing Forecasting Performance with Panel Data,
Allan Timmermann and Yinchu Zhu,
from C.E.P.R. Discussion Papers
(2019)
Keywords: Economic forecasting; Panel data; Gdp growth; Inflation forecasts
Economic Forecasting,
Graham Elliott and Allan Timmermann,
in Journal of Economic Literature
(2008)
Economic Forecasting,
Graham Elliott and Allan Timmermann,
from Princeton University Press
(2016)
Keywords: economics, forecasting, data, budget, planning, stocks, finance, investment, risk, inflation, estimation, variable, estimation, bayesian, non-bayesian, error, uncertainty, stability, density, nonlinear, linear, volatility, evaluation, emperical, theory, theoretic, decision
Why do forecasters disagree? Lessons from the term structure of cross-sectional dispersion,
Andrew Patton and Allan Timmermann,
in Journal of Monetary Economics
(2010)
Testable implications of forecast optimality,
Andrew Patton and Allan Timmermann,
from London School of Economics and Political Science, LSE Library
(2005)
Keywords: forecast evaluation; loss function; rationality tests.
Performance measurement and evaluation,
Bruce Lehmann and Allan Timmermann,
from London School of Economics and Political Science, LSE Library
(2007)
International asset allocation with time-varying investment opportunities,
David Blake and Allan Timmermann,
from London School of Economics and Political Science, LSE Library
(2002)
Returns from active management in international equity markets: evidence from a panel of UK pension funds,
David Blake and Allan Timmermann,
from London School of Economics and Political Science, LSE Library
(2002)
International Asset Allocation with Time-Varying Investment Opportunities,
David Blake and Allan Timmermann,
from C.E.P.R. Discussion Papers
(2002)
Keywords: International asset allocation; Market timing; Uk pension funds; Investment performance
International Asset Allocation with Time-Varying Investment Opportunities,
Allan Timmermann and David Blake,
in The Journal of Business
(2005)
Data mining with local model specification uncertainty: a discussion of Hoover and Perez,
Clive Granger and Allan Timmermann,
in Econometrics Journal
(1999)
Keywords: Specification search, General-to-specific.
Efficient Market Hypothesis and Forecasting,
Allan Timmermann and Clive Granger,
from C.E.P.R. Discussion Papers
(2002)
Keywords: Efficient market hypothesis; Forecast evaluation; Model specification; Learning
Runs on Money Market Funds,
Allan Timmermann and Russell Wermers,
from C.E.P.R. Discussion Papers
(2014)
Keywords: Bank runs; Money market mutual funds; Quantile regression; Strategic complementarities
Comment,
Peter Hansen and Allan Timmermann,
in Journal of Business & Economic Statistics
(2015)
Equivalence Between Out‐of‐Sample Forecast Comparisons and Wald Statistics,
Peter Hansen and Allan Timmermann,
in Econometrica
(2015)
Choice of Sample Split in Out-of-Sample Forecast Evaluation,
Peter Hansen and Allan Timmermann,
from Department of Economics and Business Economics, Aarhus University
(2012)
Keywords: Out-of-sample forecast evaluation, data mining, recursive estimation, predictability of stock returns, in?ation forecasting.
Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics,
Peter Hansen and Allan Timmermann,
from Department of Economics and Business Economics, Aarhus University
(2012)
Keywords: Out-of-sample Forecast Evaluation, Nested Models, Testing.
Relative Performance Evaluation Contracts and Asset Market Equilibrium,
Sandeep Kapur and Allan Timmermann,
from University Library of Munich, Germany
(2004)
Keywords: portfolio delegation, relative performance evaluation, equity premium
Relative Performance Evaluation Contracts and Asset Market Equilibrium,
Sandeep Kapur and Allan Timmermann,
from University Library of Munich, Germany
(2004)
Keywords: portfolio delegation, relative performance evaluation, equity premium
Returns from active management in international equity markets: Evidence from a panel of UK pension funds,
David Blake and Allan Timmermann,
in Journal of Asset Management
(2005)
Keywords: pension funds, investment performance measurement, active management, equities
Introduction to the 2017 Hal White Memorial Lecture,
Allan Timmermann and Fabio Trojani,
in Journal of Financial Econometrics
Risk sharing and transition costs in the reform of pension systems in Europe,
David Miles and Allan Timmermann,
in Economic Policy
(1999)
Option prices under Bayesian learning: implied volatility dynamics and predictive densities,
Massimo Guidolin and Allan Timmermann,
from London School of Economics and Political Science, LSE Library
(2001)
Size and Value Anomalies under Regime Shifts,
Massimo Guidolin and Allan Timmermann,
in Journal of Financial Econometrics
(2008)
International asset allocation under regime switching, skew, and kurtosis preferences,
Massimo Guidolin and Allan Timmermann,
in The Review of Financial Studies
(2008)
Recursive Modeling of Nonlinear Dynamics in UK Stock Returns,
Massimo Guidolin and Allan Timmermann,
in Manchester School
(2003)
Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities,
Allan Timmermann and Massimo Guidolin,
from C.E.P.R. Discussion Papers
(2001)
Keywords: Option prices; Black-scholes option pricing model; Bayesian learning
Term Structure of Risk Under Alternative Econometric Specifications,
Allan Timmermann and Massimo Guidolin,
from C.E.P.R. Discussion Papers
(2004)
Keywords: Term structure of risk; Nonlinear econometric models; Simulation models
Forecasts of US Short-term Interest Rates: A Flexible Forecast Combination Approach,
Allan Timmermann and Massimo Guidolin,
from C.E.P.R. Discussion Papers
(2007)
Keywords: Forecast combinations; Term structure of interest rates
Economic Implications of Bull and Bear Regimes in UK Stock Returns,
Massimo Guidolin and Allan Timmermann,
from Royal Economic Society
(2003)
Keywords: optimal asset allocation, regime switching, Bull and Bear Markets, model specification
Economic Implications of Bull and Bear Regimes in UK Stock and Bond Returns,
Massimo Guidolin and Allan Timmermann,
in Economic Journal
(2005)
Strategic Asset Allocation and Consumption Decisions under Multivariate Regime Switching,
Massimo Guidolin and Allan Timmermann,
from Econometric Society
(2004)
Keywords: asset allocation, regime switching, risk aversion
Implied Learning Paths from Option Prices,
Massimo Guidolin and Allan Timmermann,
from Econometric Society
(2000)
Asset allocation under multivariate regime switching,
Massimo Guidolin and Allan Timmermann,
in Journal of Economic Dynamics and Control
(2007)
Option prices under Bayesian learning: implied volatility dynamics and predictive densities,
Massimo Guidolin and Allan Timmermann,
in Journal of Economic Dynamics and Control
(2003)
Forecasts of US short-term interest rates: A flexible forecast combination approach,
Massimo Guidolin and Allan Timmermann,
in Journal of Econometrics
(2009)
Keywords: Forecast combinations Regime switches Short term interest rates Expectations hypothesis
Term structure of risk under alternative econometric specifications,
Massimo Guidolin and Allan Timmermann,
in Journal of Econometrics
(2006)