Access Statistics for Allan Timmermann

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Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
(UBS Pensions Series 2) International Asset Allocation with Time-Varying Investment Opportunities 0 0 0 35 0 0 2 114
(UBS Pensions Series 3) Performance Clustering and Incentives in the UK Pension Fund Industry 0 0 0 38 0 1 6 127
(UBS Pensions Series 4) Returns from Active Management in International Equity Markets; Evidence from a Panel of UK Pension Funds 0 0 0 39 0 0 6 135
A Generalisation of the Non-Parametric Henriksson-Merton Test of Market Timing 0 0 0 0 2 6 14 1,828
A Recursive Modelling Approach to Predicting UK Stock Returns 0 1 3 620 0 2 10 1,148
A Recursive Modelling Approach to Predicting UK Stock Returns' 0 0 0 0 0 1 8 1,155
A SIMPLE NON-PARAMETRIC TEST OF PREDICTIVE PERFORMANCE 0 0 0 6 1 4 24 2,201
A SIMPLE, NON-PARAMETRIC TEST OF PREDICTIVE PERFORMANCE 0 0 0 0 5 6 26 1,856
Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss? 0 0 0 263 1 4 14 696
Business Cycle Asymmetries in Stock Returns: Evidence from Higher Order Moments and Conditional Densities 0 0 0 155 0 0 4 413
Business Cycle Asymmetries in Stock Returns: Evidence from Higher Order Moments and Conditional Densities 0 0 0 3 0 1 11 561
Can mutual fund stars really pick stocks? New evidence from a bootstrap analysis 0 2 5 116 5 13 42 343
Choice of Sample Split in Out-of-Sample Forecast Evaluation 0 0 5 229 1 3 29 773
Combining the forecasts in the ECB survey of professional forecasters: can anything beat the simple average? 0 0 1 88 0 1 15 226
Common Factors in Latin America’s Business Cycles 0 0 0 37 4 4 9 159
Country and Industry Dynamics in Stock Returns 0 0 2 215 0 0 8 766
Dangers of Data-Driven Inference: The Case of Calendar Effects in Stock Returns 0 0 2 33 2 3 16 105
Data-Snooping, Technical Trading Rule Performance and the Bootstrap 1 2 8 326 2 9 25 1,006
Data-Snooping, Technical Trading, Rule Performance and the Bootstrap 0 4 20 988 4 12 59 2,565
Decentralized Investment Management: Evidence from the Pension Fund Industry 0 0 1 51 4 9 13 184
Decentralized investment management: evidence from the pension fund industry 0 0 0 16 1 3 11 108
Disagreement and Biases in Inflation Expectations 0 3 4 128 1 5 16 307
Disagreement and Biases in Inflation Expectations 0 0 0 0 1 1 8 162
Disagreement and Biases in Inflation Expectations 0 0 0 97 1 1 6 278
Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets 0 0 1 687 3 4 19 1,835
Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets 0 0 0 357 2 4 17 969
Economic Forecasting 0 1 10 459 2 5 28 791
Economic Implications of Bull and Bear Regimes in UK Stock Returns 0 0 1 128 1 1 7 330
Efficient Market Hypothesis and Forecasting 0 1 12 1,222 4 20 66 3,272
Estimating Loss Function Parameters 1 1 1 271 1 3 19 1,199
Firm Size and Cyclical Variations in Stock Returns 0 0 1 422 2 5 24 1,262
Forecast Combination With Entry and Exit of Experts 0 0 2 83 1 2 13 202
Forecast Combination with Entry and Exit of Experts 0 0 2 96 1 2 13 312
Forecast Combinations 2 2 13 1,367 4 10 47 3,138
Forecast Combinations 0 2 21 276 5 20 78 625
Forecast Combinations 2 5 35 405 6 17 93 833
Forecast Evaluation with Shared Data Sets 0 0 1 120 0 1 11 360
Forecast Rationality Tests Based on Multi-Horizon Bounds 0 0 0 43 1 2 11 153
Forecasting Stock Returns 0 0 0 0 0 2 5 1,140
Forecasting Time Series Subject to Multiple Structural Breaks 0 0 2 620 1 2 27 1,483
Forecasting Time Series Subject to Multiple Structural Breaks 0 0 0 167 2 3 5 517
Forecasting Time Series Subject to Multiple Structural Breaks 0 0 1 199 2 3 14 540
Forecasting Time Series Subject to Multiple Structural Breaks 0 0 1 166 1 2 8 486
Forecasts of US Short-term Interest Rates: A Flexible Forecast Combination Approach 0 0 1 277 1 1 5 737
How Costly is it to Ignore Breaks when Forecasting the Direction of a Time Series? 0 0 1 224 0 1 8 471
How Costly is it to Ignore Breaks when Forecasting the Direction of a Time Series? 0 0 2 275 1 2 11 581
How Stable are Financial Prediction Models? Evidence from US and International Stock Market Data 0 0 0 11 0 0 6 56
Implied Learning Paths from Option Prices 0 0 0 138 0 0 3 291
International Asset Allocation with Time-Varying Investment Opportunities 0 0 1 186 0 1 9 469
Learning in Real Time: Theory and Empirical Evidence from the Term Structure of Survey Forecasts 0 0 0 144 0 0 5 363
Learning, Structural Instability and Present Value Calculations 0 0 1 137 1 2 9 696
Learning, Structural Instability and Present Value Calculations 0 0 0 54 0 1 5 242
Learning, Structural Instability and Present Value Calculations 0 0 0 61 0 1 2 317
Learning, structural instability and present value calculations 0 0 1 142 0 3 9 497
Learning, structural instability and present value calculations 0 0 0 31 0 1 4 263
Market Timing and Return Prediction under Model Instability 1 1 1 499 2 3 12 1,187
Model Instability and Choice of Observation Window 0 0 0 26 0 3 12 118
Moments of Markov Switching Models 0 0 3 542 1 2 9 1,089
Optimal Forecast Combination Under General Loss Functions and Forecast Error Distributions 0 0 1 25 15 17 57 171
Optimal Forecast Combination Under Regime Switching 0 0 0 161 0 0 3 321
Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities 0 0 0 355 0 2 9 948
Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities 0 0 0 326 0 3 17 877
Option prices and implied volatility dynamics under Bayesian learning 0 0 0 0 1 1 4 647
Performance Measurement and Evaluation 0 1 2 106 1 2 10 298
Performance Measurement using Multiple Asset Class Portfolio Data 0 0 4 293 5 6 17 1,212
Properties of Optimal Forecasts 0 0 0 181 0 4 15 690
Properties of Optimal Forecasts 0 1 3 284 4 7 40 629
Real Time Econometrics 0 0 0 81 0 1 8 281
Real Time Econometrics 0 0 0 88 0 1 10 307
Real Time Econometrics 0 0 0 210 0 1 8 578
Real Time Econometrics 0 0 1 368 0 1 9 766
Regime Changes and Financial Markets 0 1 5 194 0 3 16 420
Regime Changes and Financial Markets 1 1 9 57 5 9 37 210
Relative Performance Evaluation Contracts and Asset Market Equilibrium 0 0 0 52 0 4 10 352
Relative Performance Evaluation Contracts and Asset Market Equilibrium 0 0 0 91 0 1 7 449
Relative Performance Evaluation Contracts and Asset Market Equilibrium 0 0 1 108 1 7 14 539
Relative Performance Evaluation Contracts and Asset Market Equilibrium 0 0 0 97 0 4 8 644
Return Predictability under Equilibrium Constraints on the Equity Premium 0 0 1 28 1 2 9 149
Risky Arbitrage Strategies: Optimal Portfolio Choice and Economic Implications 0 0 0 98 3 5 10 358
Small Sample Properties of Forecasts From Autoregressive Models Under Structural Breaks 0 0 0 108 0 3 10 433
Small Sample Properties of Forecasts from Autoregressive Models under Structural Breaks 0 0 0 177 0 2 9 535
Small Sample Properties of Forecasts from Autoregressive Models under Structural Breaks 1 1 1 242 1 3 10 755
Strategic Asset Allocation and Consumption Decisions under Multivariate Regime Switching 0 0 0 10 0 2 9 763
Structural Breaks, Incomplete Information and Stock Prices 0 0 0 184 0 0 1 446
Structural Breaks, Incomplete Information and Stock Prices 0 0 1 13 0 0 5 44
THE STATISTICAL AND ECONOMIC SIGNIFICANCE OF THE PREDICTABILITY OF EXCESS RETURNS ON COMMON STOCKS 0 0 0 0 1 2 9 658
THE STATISTICAL AND ECONOMIC SIGNIFICANCE OF THE PREDICTABILITY OF EXESS RETURNS ON COMMON STOCKS 0 0 0 0 0 1 4 544
Term Structure of Risk Under Alternative Econometric Specifications 0 0 0 113 0 0 6 333
Testing Dependence Among Serially Correlated Multi-category Variables 0 0 1 190 1 3 12 744
Testing Dependence among Serially Correlated Multi-Category Variables 0 0 3 74 0 2 10 305
Testing Dependence among Serially Correlated Multi-category Variables 0 1 2 52 0 3 10 250
The Dangers of Data-Driven Inference: The Case of Calendar Effects in Stock Returns 0 0 2 234 1 3 15 735
The Forecasing time series subject to multiple structure breaks 0 0 0 0 0 1 8 267
The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis 0 0 0 14 3 4 18 109
The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis 0 0 0 138 0 0 10 596
The Resolution of Macroeconomic Uncertainty: Evidence from Survey Forecast 0 0 2 113 0 1 7 329
The Use of Recursive Model Selection Strategies in Forecasting Stock Returns 0 0 0 0 0 1 4 712
The performance of European equity mutual funds 0 0 0 31 0 0 4 159
Understanding Analysts' Earnings Expectations: Biases, Nonlinearities and Predictability 0 0 0 26 1 1 6 160
Variable Selection and Inference for Multi-period Forecasting Problems 0 0 0 94 1 4 5 238
Variable Selection and Inference for Multi-period Forecasting Problems 0 0 1 61 1 3 11 206
Variable Selection and Inference for Multi-period Forecasting Problems 0 0 0 101 1 3 6 192
Variable Selection, Estimation and Inference for Multi-period Forecasting Problems 0 0 2 170 2 6 15 432
Total Working Papers 9 31 208 18,666 129 347 1,518 64,831


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Recursive Modelling Approach to Predicting UK Stock Returns 0 0 3 372 0 1 10 861
A Simple Nonparametric Test of Predictive Performance 0 0 0 0 5 10 47 2,609
A generalization of the non-parametric Henriksson-Merton test of market timing 1 2 5 581 4 11 25 1,347
An Evaluation of the World Economic Outlook Forecasts 0 2 4 81 1 6 11 251
An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns 0 1 4 362 2 3 14 847
Annals issue on forecasting--Guest editors' introduction 0 0 0 21 1 3 5 73
Asset Allocation Dynamics and Pension Fund Performance 1 2 10 718 5 13 39 2,617
Asset allocation under multivariate regime switching 0 5 42 442 2 17 102 937
Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss? 0 0 4 149 1 2 19 436
Business cycle asymmetries in stock returns: Evidence from higher order moments and conditional densities 0 1 5 151 0 4 28 459
Can Agents Learn to Form Rational Expectations? Some Results on Convergence and Stability of Learning in the UK Stock Market 1 1 1 59 1 1 7 162
Can Mutual Fund “Stars” Really Pick Stocks? New Evidence from a Bootstrap Analysis 1 6 15 309 3 18 49 945
Cointegration Tests of Present Value Models with a Time-Varying Discount Factor 0 0 2 248 0 0 2 837
Common factors in Latin America's business cycles 1 1 2 80 2 4 11 285
Completion time structures of stock price movements 0 0 0 35 1 2 9 182
Dangers of data mining: The case of calendar effects in stock returns 3 7 37 1,066 11 23 106 2,700
Data mining with local model specification uncertainty: a discussion of Hoover and Perez 0 0 0 1 0 0 5 479
Disagreement and Biases in Inflation Expectations 0 0 0 179 4 8 22 455
Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets 0 0 0 203 2 4 17 441
Economic Forecasting 4 9 32 170 7 20 75 908
Economic Implications of Bull and Bear Regimes in UK Stock and Bond Returns 0 1 2 341 0 4 7 696
Efficient market hypothesis and forecasting 0 0 2 379 0 2 34 985
Elusive return predictability 0 0 9 129 2 3 23 306
Forecast Combination With Entry and Exit of Experts 0 0 2 65 0 0 13 183
Forecast evaluation with shared data sets 0 0 3 58 0 0 7 164
Forecasts of US short-term interest rates: A flexible forecast combination approach 0 0 1 232 0 1 8 597
How costly is it to ignore breaks when forecasting the direction of a time series? 1 1 5 94 1 4 16 307
Instability of return prediction models 1 4 15 173 4 10 37 409
International Asset Allocation with Time-Varying Investment Opportunities 0 1 2 94 0 2 14 353
International asset allocation under regime switching, skew, and kurtosis preferences 3 4 8 209 4 8 29 527
Learning, Structural Instability, and Present Value Calculations 0 0 0 50 0 2 4 272
Market timing and return prediction under model instability 2 3 5 273 2 4 13 673
Moments of Markov switching models 1 6 20 453 1 10 44 889
Monotonicity in asset returns: New tests with applications to the term structure, the CAPM, and portfolio sorts 4 8 33 213 62 137 385 829
OPTIMAL FORECAST COMBINATION UNDER REGIME SWITCHING * 0 0 1 106 0 0 6 316
On the optimality of adaptive expectations: Muth revisited 1 1 2 82 2 3 6 201
Optimal forecast combinations under general loss functions and forecast error distributions 1 4 11 173 6 13 36 511
Optimal properties of exponentially weighted forecasts in the presence of different information sources 0 1 2 99 0 1 5 257
Option prices under Bayesian learning: implied volatility dynamics and predictive densities 0 0 1 306 0 1 10 638
Persistence in forecasting performance and conditional combination strategies 1 3 28 305 4 13 74 703
Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach 0 1 1 32 0 2 14 128
Predictability of Stock Returns: Robustness and Economic Significance 4 7 32 994 4 10 68 1,868
Predictability of stock returns and asset allocation under structural breaks 1 1 11 146 1 4 33 436
Present value models with feedback: Solutions, stability, bubbles, and some empirical evidence 0 0 0 52 0 0 5 185
Properties of equilibrium asset prices under alternative learning schemes 0 0 0 115 0 0 14 269
Properties of optimal forecasts under asymmetric loss and nonlinearity 0 0 1 101 0 0 13 251
REAL-TIME ECONOMETRICS 0 0 0 61 0 4 12 174
Recursive Modeling of Nonlinear Dynamics in UK Stock Returns 0 0 0 84 0 0 2 226
Relative Performance Evaluation Contracts and Asset Market Equilibrium 0 0 1 52 0 4 23 315
Reply to the discussion of Elusive Return Predictability 0 0 0 25 0 0 5 71
Selection of estimation window in the presence of breaks 0 5 29 439 2 10 62 920
Size and Value Anomalies under Regime Shifts 0 0 1 92 0 0 7 221
Small sample properties of forecasts from autoregressive models under structural breaks 0 0 2 122 2 5 21 391
Structural Breaks, Incomplete Information, and Stock Prices 0 0 0 0 0 1 4 328
Term structure of risk under alternative econometric specifications 0 0 0 159 0 1 5 358
Testing Dependence Among Serially Correlated Multicategory Variables 0 1 4 103 0 2 12 271
Testing Forecast Optimality Under Unknown Loss 0 1 1 70 2 6 10 178
The hazards of mutual fund underperformance: A Cox regression analysis 0 0 1 124 1 3 17 414
Understanding Analysts' Earnings Expectations: Biases, Nonlinearities, and Predictability 0 0 0 10 0 0 3 92
Variable selection, estimation and inference for multi-period forecasting problems 1 3 6 93 1 7 27 293
Why do dividend yields forecast stock returns? 0 0 0 84 0 0 3 187
Why do forecasters disagree? Lessons from the term structure of cross-sectional dispersion 1 3 17 123 2 12 52 345
Total Journal Articles 34 96 425 12,142 155 439 1,786 35,568


Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Forecast Combinations 12 29 152 1,195 54 179 531 3,064
Total Chapters 12 29 152 1,195 54 179 531 3,064


Statistics updated 2021-01-03