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 1 4 140
(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 1 7 146
A Generalisation of the Non-Parametric Henriksson-Merton Test of Market Timing 0 0 0 0 1 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 1 1 14 1,180
A SIMPLE NON-PARAMETRIC TEST OF PREDICTIVE PERFORMANCE 0 0 0 6 0 3 24 2,271
A SIMPLE, NON-PARAMETRIC TEST OF PREDICTIVE PERFORMANCE 0 0 0 0 8 25 65 1,992
Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss? 0 0 1 267 0 2 13 732
Breaks in the Phillips Curve: Evidence from Panel Data 0 0 0 54 1 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 4 28 518
Choice of Sample Split in Out-of-Sample Forecast Evaluation 2 3 6 246 3 7 38 897
Combining the forecasts in the ECB survey of professional forecasters: can anything beat the simple average? 0 0 0 90 4 5 24 271
Common Factors in Latin America?s Business Cycles 0 0 0 38 1 1 9 176
Country and Industry Dynamics in Stock Returns 0 0 1 217 0 2 12 789
Dangers of Data-Driven Inference: The Case of Calendar Effects in Stock Returns 0 1 2 39 10 11 22 142
Data-Snooping, Technical Trading Rule Performance and the Bootstrap 1 2 4 344 5 11 36 1,123
Data-Snooping, Technical Trading, Rule Performance and the Bootstrap 4 5 8 1,039 20 39 81 2,797
Decentralized Investment Management: Evidence from the Pension Fund Industry 0 0 0 52 1 1 8 222
Decentralized investment management: evidence from the pension fund industry 0 0 0 20 0 2 15 160
Disagreement and Biases in Inflation Expectations 0 0 0 99 1 2 15 353
Disagreement and Biases in Inflation Expectations 0 0 0 0 1 1 8 236
Disagreement and Biases in Inflation Expectations 0 0 4 142 2 2 22 416
Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets 0 1 2 373 4 6 28 1,040
Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets 0 0 1 703 2 2 21 1,922
Economic Forecasting 1 2 4 488 2 3 27 892
Economic Implications of Bull and Bear Regimes in UK Stock Returns 0 0 0 132 0 1 15 351
Efficient Market Hypothesis and Forecasting 0 1 8 1,257 2 3 35 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 6 433 3 4 22 1,379
Forecast Combination With Entry and Exit of Experts 0 0 0 88 3 3 15 300
Forecast Combination with Entry and Exit of Experts 0 0 0 100 0 2 21 403
Forecast Combinations 1 1 14 343 3 6 50 845
Forecast Combinations 2 2 8 1,412 6 8 39 3,307
Forecast Combinations 3 7 24 519 6 18 82 1,186
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 10 1,160
Forecasting Time Series Subject to Multiple Structural Breaks 0 0 0 201 1 1 15 565
Forecasting Time Series Subject to Multiple Structural Breaks 0 0 1 170 0 2 25 552
Forecasting Time Series Subject to Multiple Structural Breaks 0 1 1 628 2 7 42 1,605
Forecasting Time Series Subject to Multiple Structural Breaks 0 0 0 167 1 1 27 525
Forecasts of US Short-term Interest Rates: A Flexible Forecast Combination Approach 0 0 0 280 1 1 17 766
How Costly is it to Ignore Breaks when Forecasting the Direction of a Time Series? 0 0 2 279 0 2 25 617
How Costly is it to Ignore Breaks when Forecasting the Direction of a Time Series? 0 0 1 225 1 2 19 499
How Stable are Financial Prediction Models? Evidence from US and International Stock Market Data 0 0 0 11 1 1 6 66
Implied Learning Paths from Option Prices 0 0 0 139 0 0 6 300
International Asset Allocation with Time-Varying Investment Opportunities 0 0 0 187 0 1 12 485
Learning in Real Time: Theory and Empirical Evidence from the Term Structure of Survey Forecasts 0 0 0 147 0 2 11 386
Learning, Structural Instability and Present Value Calculations 0 0 0 61 1 1 17 343
Learning, Structural Instability and Present Value Calculations 0 0 0 55 0 0 15 260
Learning, Structural Instability and Present Value Calculations 0 0 0 138 0 0 13 718
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 2 17 539
Market Timing and Return Prediction under Model Instability 0 0 1 509 0 0 14 1,223
Model Instability and Choice of Observation Window 0 0 1 27 9 12 21 149
Moments of Markov Switching Models 0 0 0 552 1 4 24 1,144
Optimal Forecast Combination Under General Loss Functions and Forecast Error Distributions 0 0 1 27 1 4 13 227
Optimal Forecast Combination Under Regime Switching 0 0 1 164 0 1 16 352
Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities 0 0 0 326 0 1 10 923
Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities 0 0 0 355 0 0 12 968
Option prices and implied volatility dynamics under Bayesian learning 0 0 0 0 1 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 0 287 0 0 24 673
Properties of Optimal Forecasts 0 0 0 184 1 2 15 724
Real Time Econometrics 0 0 0 368 1 2 11 784
Real Time Econometrics 0 0 0 90 2 2 9 325
Real Time Econometrics 0 0 0 82 2 3 15 303
Real Time Econometrics 0 0 0 211 2 2 9 592
Regime Changes and Financial Markets 2 3 8 86 11 15 66 380
Regime Changes and Financial Markets 2 7 14 224 8 24 140 627
Relative Performance Evaluation Contracts and Asset Market Equilibrium 0 0 0 108 0 0 12 554
Relative Performance Evaluation Contracts and Asset Market Equilibrium 0 0 0 97 1 1 13 666
Relative Performance Evaluation Contracts and Asset Market Equilibrium 0 0 0 53 1 2 15 371
Relative Performance Evaluation Contracts and Asset Market Equilibrium 0 0 0 91 0 0 7 460
Return Predictability under Equilibrium Constraints on the Equity Premium 0 0 0 28 0 2 16 167
Risky Arbitrage Strategies: Optimal Portfolio Choice and Economic Implications 0 0 0 100 0 1 13 383
Small Sample Properties of Forecasts From Autoregressive Models Under Structural Breaks 0 0 0 111 1 5 12 467
Small Sample Properties of Forecasts from Autoregressive Models under Structural Breaks 0 0 0 244 1 1 14 787
Small Sample Properties of Forecasts from Autoregressive Models under Structural Breaks 0 0 0 178 0 5 21 571
Strategic Asset Allocation and Consumption Decisions under Multivariate Regime Switching 0 0 0 10 2 3 21 806
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 0 0 7 667
THE STATISTICAL AND ECONOMIC SIGNIFICANCE OF THE PREDICTABILITY OF EXESS RETURNS ON COMMON STOCKS 0 0 0 0 0 0 6 554
Term Structure of Risk Under Alternative Econometric Specifications 0 0 0 114 2 2 12 353
Testing Dependence Among Serially Correlated Multi-category Variables 0 0 0 191 0 1 11 774
Testing Dependence among Serially Correlated Multi-Category Variables 0 0 0 74 0 2 20 332
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 0 0 1 238 4 5 18 771
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 0 140 1 1 7 676
The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis 0 0 0 16 0 1 6 152
The Resolution of Macroeconomic Uncertainty: Evidence from Survey Forecast 0 0 1 118 1 2 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 62 0 0 5 217
Variable Selection and Inference for Multi-period Forecasting Problems 0 0 0 101 0 1 11 205
Variable Selection and Inference for Multi-period Forecasting Problems 0 0 0 95 0 0 11 256
Total Working Papers 18 36 131 19,222 153 317 1,963 69,686

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 1 2 10 886
A Simple Nonparametric Test of Predictive Performance 0 0 0 0 6 21 58 2,800
A generalization of the non-parametric Henriksson-Merton test of market timing 0 0 0 595 0 2 12 1,409
An Evaluation of the World Economic Outlook Forecasts 0 0 0 84 1 1 7 275
An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns 0 0 0 371 3 5 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 0 3 21 2,717
Asset allocation under multivariate regime switching 1 4 19 511 6 32 139 1,250
Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss? 0 0 0 160 0 2 14 492
Business cycle asymmetries in stock returns: Evidence from higher order moments and conditional densities 0 0 2 164 1 2 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 0 0 9 349 8 16 67 1,128
Cointegration Tests of Present Value Models with a Time-Varying Discount Factor 0 0 0 251 1 1 6 852
Common factors in Latin America's business cycles 0 0 2 89 1 1 19 331
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 5 10 1,181 8 29 54 3,020
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 32 624
Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets 0 1 2 242 3 9 35 606
Economic Forecasting 1 1 5 217 2 5 26 1,090
Economic Implications of Bull and Bear Regimes in UK Stock and Bond Returns 0 0 0 343 1 2 11 728
Efficient market hypothesis and forecasting 0 0 4 417 4 15 53 1,173
Elusive return predictability 0 1 2 157 1 3 12 398
Forecast Combination With Entry and Exit of Experts 0 0 1 70 0 1 53 280
Forecast evaluation with shared data sets 0 0 0 71 0 1 6 202
Forecasts of US short-term interest rates: A flexible forecast combination approach 0 0 1 243 2 2 7 641
How costly is it to ignore breaks when forecasting the direction of a time series? 0 0 0 97 0 1 22 346
Instability of return prediction models 0 1 7 214 1 3 21 499
International Asset Allocation with Time-Varying Investment Opportunities 0 0 0 95 0 0 8 368
International asset allocation under regime switching, skew, and kurtosis preferences 0 2 4 225 2 15 39 630
Learning, Structural Instability, and Present Value Calculations 0 0 0 52 1 1 15 295
Market timing and return prediction under model instability 0 0 6 304 3 4 36 793
Moments of Markov switching models 0 1 3 495 2 6 19 1,011
Monotonicity in asset returns: New tests with applications to the term structure, the CAPM, and portfolio sorts 0 0 2 319 1 4 26 1,194
OPTIMAL FORECAST COMBINATION UNDER REGIME SWITCHING * 0 0 0 106 2 3 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 1 5 28 596
Optimal properties of exponentially weighted forecasts in the presence of different information sources 0 0 0 101 0 0 3 268
Option prices under Bayesian learning: implied volatility dynamics and predictive densities 0 0 3 314 1 2 21 681
Persistence in forecasting performance and conditional combination strategies 0 0 4 377 1 2 38 911
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 1 1 7 1,085 2 4 30 2,078
Predictability of stock returns and asset allocation under structural breaks 1 2 2 180 2 7 22 545
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 2 13 310
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 1 10 244
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 3 10 567 6 26 52 1,200
Size and Value Anomalies under Regime Shifts 0 1 1 101 2 4 13 261
Small sample properties of forecasts from autoregressive models under structural breaks 0 1 2 142 2 7 38 525
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 2 3 22 314
Testing Forecast Optimality Under Unknown Loss 1 1 1 78 2 3 12 229
The hazards of mutual fund underperformance: A Cox regression analysis 0 0 1 133 1 1 6 494
Understanding Analysts' Earnings Expectations: Biases, Nonlinearities, and Predictability 0 0 0 11 1 1 7 103
Variable selection, estimation and inference for multi-period forecasting problems 0 0 1 120 1 1 7 348
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 1 1 4 222 2 4 25 630
Total Journal Articles 6 28 131 13,456 89 269 1,332 40,869

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Forecast Combinations 9 31 99 1,642 26 109 420 4,756
Total Chapters 9 31 99 1,642 26 109 420 4,756

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Statistics updated 2026-09-10