Access Statistics for Allan Timmermann

Author contact details at EconPapers.

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 3 119
(UBS Pensions Series 3) Performance Clustering and Incentives in the UK Pension Fund Industry 0 0 0 38 1 2 5 141
(UBS Pensions Series 4) Returns from Active Management in International Equity Markets; Evidence from a Panel of UK Pension Funds 0 0 0 39 1 1 8 147
A Generalisation of the Non-Parametric Henriksson-Merton Test of Market Timing 0 0 0 0 0 3 22 1,869
A Recursive Modelling Approach to Predicting UK Stock Returns 0 0 0 625 0 1 12 1,176
A Recursive Modelling Approach to Predicting UK Stock Returns' 0 0 0 0 0 1 14 1,180
A SIMPLE NON-PARAMETRIC TEST OF PREDICTIVE PERFORMANCE 0 0 0 6 1 2 25 2,272
A SIMPLE, NON-PARAMETRIC TEST OF PREDICTIVE PERFORMANCE 0 0 0 0 6 21 70 1,998
Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss? 0 0 1 267 0 1 13 732
Breaks in the Phillips Curve: Evidence from Panel Data 0 0 0 54 0 1 23 83
Business Cycle Asymmetries in Stock Returns: Evidence from Higher Order Moments and Conditional Densities 0 0 0 155 0 0 9 425
Business Cycle Asymmetries in Stock Returns: Evidence from Higher Order Moments and Conditional Densities 0 0 0 3 0 0 7 577
Can mutual fund stars really pick stocks? New evidence from a bootstrap analysis 0 0 3 133 1 2 29 519
Choice of Sample Split in Out-of-Sample Forecast Evaluation 0 2 6 246 5 9 42 902
Combining the forecasts in the ECB survey of professional forecasters: can anything beat the simple average? 0 0 0 90 0 5 24 271
Common Factors in Latin America?s Business Cycles 0 0 0 38 0 1 8 176
Country and Industry Dynamics in Stock Returns 0 0 1 217 1 1 13 790
Dangers of Data-Driven Inference: The Case of Calendar Effects in Stock Returns 0 0 2 39 5 15 27 147
Data-Snooping, Technical Trading Rule Performance and the Bootstrap 1 2 5 345 8 14 44 1,131
Data-Snooping, Technical Trading, Rule Performance and the Bootstrap 0 4 8 1,039 12 46 92 2,809
Decentralized Investment Management: Evidence from the Pension Fund Industry 0 0 0 52 0 1 8 222
Decentralized investment management: evidence from the pension fund industry 0 0 0 20 0 1 15 160
Disagreement and Biases in Inflation Expectations 0 0 0 0 0 1 8 236
Disagreement and Biases in Inflation Expectations 0 0 0 99 0 2 14 353
Disagreement and Biases in Inflation Expectations 0 0 4 142 1 3 22 417
Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets 0 0 1 703 1 3 21 1,923
Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets 0 1 2 373 2 8 30 1,042
Economic Forecasting 0 2 4 488 0 3 25 892
Economic Implications of Bull and Bear Regimes in UK Stock Returns 0 0 0 132 0 0 15 351
Efficient Market Hypothesis and Forecasting 0 1 5 1,257 0 3 30 3,421
Estimating Loss Function Parameters 0 0 1 281 0 0 13 1,237
Firm Size and Cyclical Variations in Stock Returns 0 0 5 433 0 4 20 1,379
Forecast Combination With Entry and Exit of Experts 0 0 0 88 0 3 15 300
Forecast Combination with Entry and Exit of Experts 0 0 0 100 0 0 21 403
Forecast Combinations 0 1 13 343 1 6 49 846
Forecast Combinations 1 3 9 1,413 6 14 45 3,313
Forecast Combinations 2 7 25 521 5 17 82 1,191
Forecast Evaluation with Shared Data Sets 0 0 0 121 0 0 12 385
Forecast Rationality Tests Based on Multi-Horizon Bounds 0 0 1 47 0 2 15 211
Forecasting Stock Returns 0 0 0 0 0 0 9 1,160
Forecasting Time Series Subject to Multiple Structural Breaks 0 0 0 167 0 1 27 525
Forecasting Time Series Subject to Multiple Structural Breaks 0 0 0 201 0 1 15 565
Forecasting Time Series Subject to Multiple Structural Breaks 0 1 1 628 3 8 45 1,608
Forecasting Time Series Subject to Multiple Structural Breaks 0 0 1 170 0 0 25 552
Forecasts of US Short-term Interest Rates: A Flexible Forecast Combination Approach 0 0 0 280 0 1 16 766
How Costly is it to Ignore Breaks when Forecasting the Direction of a Time Series? 0 0 1 279 1 1 25 618
How Costly is it to Ignore Breaks when Forecasting the Direction of a Time Series? 0 0 1 225 0 1 19 499
How Stable are Financial Prediction Models? Evidence from US and International Stock Market Data 0 0 0 11 1 2 6 67
Implied Learning Paths from Option Prices 0 0 0 139 1 1 7 301
International Asset Allocation with Time-Varying Investment Opportunities 0 0 0 187 0 0 12 485
Learning in Real Time: Theory and Empirical Evidence from the Term Structure of Survey Forecasts 0 0 0 147 0 0 11 386
Learning, Structural Instability and Present Value Calculations 0 0 0 61 0 1 17 343
Learning, Structural Instability and Present Value Calculations 0 0 0 138 1 1 12 719
Learning, Structural Instability and Present Value Calculations 0 0 0 55 0 0 15 260
Learning, structural instability and present value calculations 0 0 0 31 0 0 14 281
Learning, structural instability and present value calculations 0 0 0 146 0 0 17 539
Market Timing and Return Prediction under Model Instability 0 0 0 509 0 0 13 1,223
Model Instability and Choice of Observation Window 0 0 0 27 1 10 21 150
Moments of Markov Switching Models 0 0 0 552 0 3 24 1,144
Optimal Forecast Combination Under General Loss Functions and Forecast Error Distributions 0 0 0 27 1 2 13 228
Optimal Forecast Combination Under Regime Switching 0 0 1 164 2 3 18 354
Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities 0 0 0 355 0 0 12 968
Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities 0 0 0 326 1 1 11 924
Option prices and implied volatility dynamics under Bayesian learning 0 0 0 0 0 1 9 669
Performance Measurement and Evaluation 0 0 0 108 0 0 12 318
Performance Measurement using Multiple Asset Class Portfolio Data 0 0 0 299 0 0 9 1,242
Properties of Optimal Forecasts 0 0 0 184 0 1 15 724
Properties of Optimal Forecasts 0 0 0 287 0 0 24 673
Real Time Econometrics 0 0 0 368 0 1 11 784
Real Time Econometrics 0 0 0 90 0 2 9 325
Real Time Econometrics 0 0 0 211 0 2 9 592
Real Time Econometrics 0 0 0 82 0 2 15 303
Regime Changes and Financial Markets 0 5 14 224 4 19 136 631
Regime Changes and Financial Markets 0 3 7 86 4 18 68 384
Relative Performance Evaluation Contracts and Asset Market Equilibrium 0 0 0 108 1 1 13 555
Relative Performance Evaluation Contracts and Asset Market Equilibrium 0 0 0 97 0 1 13 666
Relative Performance Evaluation Contracts and Asset Market Equilibrium 0 0 0 53 1 3 16 372
Relative Performance Evaluation Contracts and Asset Market Equilibrium 0 0 0 91 1 1 8 461
Return Predictability under Equilibrium Constraints on the Equity Premium 0 0 0 28 0 0 15 167
Risky Arbitrage Strategies: Optimal Portfolio Choice and Economic Implications 0 0 0 100 1 2 14 384
Small Sample Properties of Forecasts From Autoregressive Models Under Structural Breaks 0 0 0 111 4 7 16 471
Small Sample Properties of Forecasts from Autoregressive Models under Structural Breaks 0 0 0 244 0 1 13 787
Small Sample Properties of Forecasts from Autoregressive Models under Structural Breaks 0 0 0 178 0 0 21 571
Strategic Asset Allocation and Consumption Decisions under Multivariate Regime Switching 0 0 0 10 1 3 21 807
Structural Breaks, Incomplete Information and Stock Prices 0 0 0 14 0 1 14 68
Structural Breaks, Incomplete Information and Stock Prices 0 0 0 187 0 0 9 464
THE STATISTICAL AND ECONOMIC SIGNIFICANCE OF THE PREDICTABILITY OF EXCESS RETURNS ON COMMON STOCKS 0 0 0 0 1 1 6 668
THE STATISTICAL AND ECONOMIC SIGNIFICANCE OF THE PREDICTABILITY OF EXESS RETURNS ON COMMON STOCKS 0 0 0 0 1 1 5 555
Term Structure of Risk Under Alternative Econometric Specifications 0 0 0 114 0 2 12 353
Testing Dependence Among Serially Correlated Multi-category Variables 0 0 0 191 0 0 11 774
Testing Dependence among Serially Correlated Multi-Category Variables 0 0 0 74 1 2 21 333
Testing Dependence among Serially Correlated Multi-category Variables 0 0 0 52 0 0 5 261
The Dangers of Data-Driven Inference: The Case of Calendar Effects in Stock Returns 1 1 2 239 4 8 22 775
The Forecasing time series subject to multiple structure breaks 0 0 0 0 0 1 7 281
The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis 0 0 0 16 0 0 6 152
The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis 0 0 0 140 1 2 7 677
The Resolution of Macroeconomic Uncertainty: Evidence from Survey Forecast 0 0 1 118 0 1 16 355
The Use of Recursive Model Selection Strategies in Forecasting Stock Returns 0 0 0 0 0 0 3 727
The performance of European equity mutual funds 0 0 0 31 0 0 7 185
Understanding Analysts' Earnings Expectations: Biases, Nonlinearities and Predictability 0 0 0 27 0 0 8 177
Variable Selection and Inference for Multi-period Forecasting Problems 0 0 0 101 1 1 12 206
Variable Selection and Inference for Multi-period Forecasting Problems 0 0 0 62 0 0 5 217
Variable Selection and Inference for Multi-period Forecasting Problems 0 0 0 95 0 0 11 256
Total Working Papers 5 33 125 19,227 95 319 2,008 69,781

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 0 373 0 2 10 886
A Simple Nonparametric Test of Predictive Performance 0 0 0 0 3 17 61 2,803
A generalization of the non-parametric Henriksson-Merton test of market timing 0 0 0 595 0 1 11 1,409
An Evaluation of the World Economic Outlook Forecasts 0 0 0 84 2 3 9 277
An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns 0 0 0 371 0 4 14 897
Annals issue on forecasting--Guest editors' introduction 0 0 0 21 0 1 8 85
Asset Allocation Dynamics and Pension Fund Performance 0 2 9 747 2 4 23 2,719
Asset allocation under multivariate regime switching 3 5 22 514 16 30 150 1,266
Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss? 0 0 0 160 1 1 15 493
Business cycle asymmetries in stock returns: Evidence from higher order moments and conditional densities 0 0 2 164 0 1 17 509
Can Agents Learn to Form Rational Expectations? Some Results on Convergence and Stability of Learning in the UK Stock Market 0 0 0 59 0 0 6 174
Can Mutual Fund “Stars” Really Pick Stocks? New Evidence from a Bootstrap Analysis 2 2 10 351 3 14 66 1,131
Cointegration Tests of Present Value Models with a Time-Varying Discount Factor 0 0 0 251 0 1 6 852
Common factors in Latin America's business cycles 0 0 2 89 1 2 20 332
Completion time structures of stock price movements 0 0 0 35 0 0 9 201
Dangers of data mining: The case of calendar effects in stock returns 0 3 10 1,181 20 41 73 3,040
Data mining with local model specification uncertainty: a discussion of Hoover and Perez 0 0 0 1 0 0 8 491
Disagreement and Biases in Inflation Expectations 0 0 0 179 0 0 30 624
Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets 0 1 2 242 1 9 36 607
Economic Forecasting 0 1 5 217 0 3 23 1,090
Economic Implications of Bull and Bear Regimes in UK Stock and Bond Returns 0 0 0 343 1 3 12 729
Efficient market hypothesis and forecasting 1 1 5 418 2 10 53 1,175
Elusive return predictability 0 0 2 157 4 5 16 402
Forecast Combination With Entry and Exit of Experts 0 0 1 70 0 0 53 280
Forecast evaluation with shared data sets 0 0 0 71 0 1 5 202
Forecasts of US short-term interest rates: A flexible forecast combination approach 0 0 1 243 0 2 7 641
How costly is it to ignore breaks when forecasting the direction of a time series? 0 0 0 97 0 0 22 346
Instability of return prediction models 0 1 6 214 7 10 27 506
International Asset Allocation with Time-Varying Investment Opportunities 0 0 0 95 1 1 9 369
International asset allocation under regime switching, skew, and kurtosis preferences 0 0 4 225 1 4 40 631
Learning, Structural Instability, and Present Value Calculations 0 0 0 52 0 1 14 295
Market timing and return prediction under model instability 0 0 4 304 5 9 38 798
Moments of Markov switching models 1 2 4 496 2 7 21 1,013
Monotonicity in asset returns: New tests with applications to the term structure, the CAPM, and portfolio sorts 1 1 3 320 4 6 30 1,198
OPTIMAL FORECAST COMBINATION UNDER REGIME SWITCHING * 0 0 0 106 0 2 11 338
On the optimality of adaptive expectations: Muth revisited 0 0 0 88 0 0 5 218
Optimal forecast combinations under general loss functions and forecast error distributions 0 0 3 187 5 10 31 601
Optimal properties of exponentially weighted forecasts in the presence of different information sources 0 0 0 101 1 1 4 269
Option prices under Bayesian learning: implied volatility dynamics and predictive densities 0 0 3 314 2 4 23 683
Persistence in forecasting performance and conditional combination strategies 0 0 4 377 7 8 45 918
Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach 0 0 0 37 0 0 8 162
Predictability of Stock Returns: Robustness and Economic Significance 2 3 8 1,087 6 8 34 2,084
Predictability of stock returns and asset allocation under structural breaks 0 2 2 180 3 8 25 548
Present value models with feedback: Solutions, stability, bubbles, and some empirical evidence 0 0 0 55 0 0 7 198
Properties of equilibrium asset prices under alternative learning schemes 0 0 1 118 0 1 8 285
Properties of optimal forecasts under asymmetric loss and nonlinearity 0 0 1 122 1 3 14 311
REAL-TIME ECONOMETRICS 0 0 0 61 0 0 13 193
Recursive Modeling of Nonlinear Dynamics in UK Stock Returns 0 0 0 85 1 2 11 245
Relative Performance Evaluation Contracts and Asset Market Equilibrium 0 0 0 52 0 1 9 337
Reply to the discussion of Elusive Return Predictability 0 0 0 25 0 0 6 83
Selection of estimation window in the presence of breaks 0 1 10 567 17 35 68 1,217
Size and Value Anomalies under Regime Shifts 0 1 1 101 1 5 13 262
Small sample properties of forecasts from autoregressive models under structural breaks 0 0 2 142 1 5 38 526
Structural Breaks, Incomplete Information, and Stock Prices 0 0 0 0 0 0 9 346
Term structure of risk under alternative econometric specifications 0 0 1 160 0 1 16 383
Testing Dependence Among Serially Correlated Multicategory Variables 0 0 1 114 1 3 22 315
Testing Forecast Optimality Under Unknown Loss 0 1 1 78 0 2 12 229
The hazards of mutual fund underperformance: A Cox regression analysis 0 0 1 133 0 1 5 494
Understanding Analysts' Earnings Expectations: Biases, Nonlinearities, and Predictability 0 0 0 11 0 1 7 103
Variable selection, estimation and inference for multi-period forecasting problems 0 0 1 120 2 3 9 350
Why do dividend yields forecast stock returns? 0 0 0 84 0 0 3 194
Why do forecasters disagree? Lessons from the term structure of cross-sectional dispersion 0 1 4 222 4 8 28 634
Total Journal Articles 10 28 136 13,466 128 305 1,426 40,997

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Forecast Combinations 16 33 111 1,658 40 106 441 4,796
Total Chapters 16 33 111 1,658 40 106 441 4,796

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Statistics updated 2026-10-11