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 0 0 4 139
(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 6 145
A Generalisation of the Non-Parametric Henriksson-Merton Test of Market Timing 0 0 0 0 0 6 21 1,866
A Recursive Modelling Approach to Predicting UK Stock Returns 0 0 0 625 0 3 12 1,175
A Recursive Modelling Approach to Predicting UK Stock Returns' 0 0 0 0 0 4 14 1,179
A SIMPLE NON-PARAMETRIC TEST OF PREDICTIVE PERFORMANCE 0 0 0 6 0 3 23 2,268
A SIMPLE, NON-PARAMETRIC TEST OF PREDICTIVE PERFORMANCE 0 0 0 0 3 14 42 1,967
Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss? 0 1 1 267 2 5 13 730
Breaks in the Phillips Curve: Evidence from Panel Data 0 0 1 54 2 6 24 82
Business Cycle Asymmetries in Stock Returns: Evidence from Higher Order Moments and Conditional Densities 0 0 0 155 1 4 9 425
Business Cycle Asymmetries in Stock Returns: Evidence from Higher Order Moments and Conditional Densities 0 0 0 3 0 1 7 577
Can mutual fund stars really pick stocks? New evidence from a bootstrap analysis 0 0 3 133 0 5 27 514
Choice of Sample Split in Out-of-Sample Forecast Evaluation 0 1 3 243 3 11 32 890
Combining the forecasts in the ECB survey of professional forecasters: can anything beat the simple average? 0 0 0 90 1 6 21 266
Common Factors in Latin America?s Business Cycles 0 0 0 38 0 0 8 175
Country and Industry Dynamics in Stock Returns 0 0 1 217 0 5 11 787
Dangers of Data-Driven Inference: The Case of Calendar Effects in Stock Returns 0 1 1 38 1 3 11 131
Data-Snooping, Technical Trading Rule Performance and the Bootstrap 0 0 2 342 2 12 28 1,112
Data-Snooping, Technical Trading, Rule Performance and the Bootstrap 0 1 3 1,034 1 12 49 2,758
Decentralized Investment Management: Evidence from the Pension Fund Industry 0 0 0 52 0 5 7 221
Decentralized investment management: evidence from the pension fund industry 0 0 0 20 0 1 13 158
Disagreement and Biases in Inflation Expectations 0 2 4 142 0 4 21 414
Disagreement and Biases in Inflation Expectations 0 0 0 0 0 2 8 235
Disagreement and Biases in Inflation Expectations 0 0 0 99 3 7 14 351
Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets 0 0 2 372 0 11 25 1,034
Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets 0 0 2 703 1 4 23 1,920
Economic Forecasting 0 1 4 486 0 9 28 889
Economic Implications of Bull and Bear Regimes in UK Stock Returns 0 0 0 132 0 4 14 350
Efficient Market Hypothesis and Forecasting 0 2 7 1,256 1 8 34 3,418
Estimating Loss Function Parameters 0 0 1 281 1 3 14 1,237
Firm Size and Cyclical Variations in Stock Returns 1 3 6 433 1 6 22 1,375
Forecast Combination With Entry and Exit of Experts 0 0 0 88 0 4 13 297
Forecast Combination with Entry and Exit of Experts 0 0 0 100 2 6 19 401
Forecast Combinations 1 5 7 1,410 3 14 33 3,299
Forecast Combinations 4 9 22 512 7 24 80 1,168
Forecast Combinations 1 5 14 342 2 12 48 839
Forecast Evaluation with Shared Data Sets 0 0 0 121 0 5 13 385
Forecast Rationality Tests Based on Multi-Horizon Bounds 0 0 1 47 0 5 13 209
Forecasting Stock Returns 0 0 0 0 1 2 10 1,160
Forecasting Time Series Subject to Multiple Structural Breaks 0 0 1 627 8 19 39 1,598
Forecasting Time Series Subject to Multiple Structural Breaks 0 0 0 167 2 7 28 524
Forecasting Time Series Subject to Multiple Structural Breaks 0 0 0 201 0 6 14 564
Forecasting Time Series Subject to Multiple Structural Breaks 0 0 1 170 1 11 24 550
Forecasts of US Short-term Interest Rates: A Flexible Forecast Combination Approach 0 0 0 280 0 1 16 765
How Costly is it to Ignore Breaks when Forecasting the Direction of a Time Series? 0 1 2 279 4 12 24 615
How Costly is it to Ignore Breaks when Forecasting the Direction of a Time Series? 1 1 1 225 2 5 17 497
How Stable are Financial Prediction Models? Evidence from US and International Stock Market Data 0 0 0 11 0 1 5 65
Implied Learning Paths from Option Prices 0 0 0 139 0 1 6 300
International Asset Allocation with Time-Varying Investment Opportunities 0 0 0 187 0 5 11 484
Learning in Real Time: Theory and Empirical Evidence from the Term Structure of Survey Forecasts 0 0 0 147 2 3 10 384
Learning, Structural Instability and Present Value Calculations 0 0 0 138 0 3 14 718
Learning, Structural Instability and Present Value Calculations 0 0 0 55 0 2 15 260
Learning, Structural Instability and Present Value Calculations 0 0 0 61 1 5 17 342
Learning, structural instability and present value calculations 0 0 0 31 0 1 15 281
Learning, structural instability and present value calculations 0 0 1 146 1 1 16 537
Market Timing and Return Prediction under Model Instability 0 0 1 509 2 5 15 1,223
Model Instability and Choice of Observation Window 0 0 1 27 3 5 11 137
Moments of Markov Switching Models 0 0 0 552 1 6 21 1,140
Optimal Forecast Combination Under General Loss Functions and Forecast Error Distributions 0 0 1 27 0 3 9 223
Optimal Forecast Combination Under Regime Switching 0 1 1 164 3 7 15 351
Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities 0 0 0 326 1 2 9 922
Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities 0 0 0 355 0 4 12 968
Option prices and implied volatility dynamics under Bayesian learning 0 0 0 0 0 1 10 668
Performance Measurement and Evaluation 0 0 0 108 0 1 12 318
Performance Measurement using Multiple Asset Class Portfolio Data 0 0 0 299 1 2 9 1,242
Properties of Optimal Forecasts 0 0 0 184 0 3 13 722
Properties of Optimal Forecasts 0 0 0 287 1 10 25 673
Real Time Econometrics 0 0 0 82 1 3 12 300
Real Time Econometrics 0 0 0 368 1 3 10 782
Real Time Econometrics 0 0 0 90 2 3 7 323
Real Time Econometrics 0 0 0 211 0 1 7 590
Regime Changes and Financial Markets 2 4 9 217 12 44 129 603
Regime Changes and Financial Markets 0 1 9 83 5 21 65 365
Relative Performance Evaluation Contracts and Asset Market Equilibrium 0 0 0 97 3 5 12 665
Relative Performance Evaluation Contracts and Asset Market Equilibrium 0 0 0 91 0 0 8 460
Relative Performance Evaluation Contracts and Asset Market Equilibrium 0 0 0 53 0 5 13 369
Relative Performance Evaluation Contracts and Asset Market Equilibrium 0 0 0 108 2 7 13 554
Return Predictability under Equilibrium Constraints on the Equity Premium 0 0 0 28 0 3 14 165
Risky Arbitrage Strategies: Optimal Portfolio Choice and Economic Implications 0 0 0 100 1 6 12 382
Small Sample Properties of Forecasts From Autoregressive Models Under Structural Breaks 0 0 0 111 1 4 8 462
Small Sample Properties of Forecasts from Autoregressive Models under Structural Breaks 0 0 0 244 0 5 13 786
Small Sample Properties of Forecasts from Autoregressive Models under Structural Breaks 0 0 0 178 0 4 16 566
Strategic Asset Allocation and Consumption Decisions under Multivariate Regime Switching 0 0 0 10 0 4 18 803
Structural Breaks, Incomplete Information and Stock Prices 0 0 0 187 0 1 10 464
Structural Breaks, Incomplete Information and Stock Prices 0 0 0 14 1 6 13 67
THE STATISTICAL AND ECONOMIC SIGNIFICANCE OF THE PREDICTABILITY OF EXCESS RETURNS ON COMMON STOCKS 0 0 0 0 1 2 7 667
THE STATISTICAL AND ECONOMIC SIGNIFICANCE OF THE PREDICTABILITY OF EXESS RETURNS ON COMMON STOCKS 0 0 0 0 0 1 6 554
Term Structure of Risk Under Alternative Econometric Specifications 0 0 0 114 1 1 10 351
Testing Dependence Among Serially Correlated Multi-category Variables 0 0 0 191 0 4 11 773
Testing Dependence among Serially Correlated Multi-Category Variables 0 0 0 74 1 5 19 330
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 1 1 238 2 6 14 766
The Forecasing time series subject to multiple structure breaks 0 0 0 0 0 2 7 280
The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis 0 0 0 140 0 1 6 675
The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis 0 0 0 16 0 0 6 151
The Resolution of Macroeconomic Uncertainty: Evidence from Survey Forecast 1 1 1 118 1 4 14 353
The Use of Recursive Model Selection Strategies in Forecasting Stock Returns 0 0 0 0 0 1 4 727
The performance of European equity mutual funds 0 0 0 31 0 4 7 185
Understanding Analysts' Earnings Expectations: Biases, Nonlinearities and Predictability 0 0 0 27 0 1 8 177
Variable Selection and Inference for Multi-period Forecasting Problems 0 0 0 95 0 3 11 256
Variable Selection and Inference for Multi-period Forecasting Problems 0 0 0 101 0 2 10 204
Variable Selection and Inference for Multi-period Forecasting Problems 0 0 0 62 0 3 6 217
Total Working Papers 11 41 115 19,186 107 534 1,780 69,369

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 1 9 884
A Simple Nonparametric Test of Predictive Performance 0 0 0 0 2 8 38 2,779
A generalization of the non-parametric Henriksson-Merton test of market timing 0 0 0 595 2 4 11 1,407
An Evaluation of the World Economic Outlook Forecasts 0 0 0 84 0 1 7 274
An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns 0 0 0 371 0 3 12 892
Annals issue on forecasting--Guest editors' introduction 0 0 0 21 0 2 7 84
Asset Allocation Dynamics and Pension Fund Performance 2 3 10 745 3 5 29 2,714
Asset allocation under multivariate regime switching 2 7 16 507 11 52 120 1,218
Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss? 0 0 0 160 1 6 16 490
Business cycle asymmetries in stock returns: Evidence from higher order moments and conditional densities 0 0 3 164 0 9 17 507
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 1 7 174
Can Mutual Fund “Stars” Really Pick Stocks? New Evidence from a Bootstrap Analysis 0 1 9 349 6 19 59 1,112
Cointegration Tests of Present Value Models with a Time-Varying Discount Factor 0 0 0 251 0 0 5 851
Common factors in Latin America's business cycles 0 1 2 89 2 7 19 330
Completion time structures of stock price movements 0 0 0 35 0 3 9 201
Dangers of data mining: The case of calendar effects in stock returns 1 1 5 1,176 1 5 30 2,991
Data mining with local model specification uncertainty: a discussion of Hoover and Perez 0 0 0 1 0 3 8 491
Disagreement and Biases in Inflation Expectations 0 0 0 179 1 5 35 624
Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets 0 0 3 241 1 11 31 597
Economic Forecasting 0 1 5 216 0 6 24 1,085
Economic Implications of Bull and Bear Regimes in UK Stock and Bond Returns 0 0 0 343 0 3 9 726
Efficient market hypothesis and forecasting 0 2 6 417 5 15 48 1,158
Elusive return predictability 0 0 1 156 0 1 10 395
Forecast Combination With Entry and Exit of Experts 0 0 1 70 2 10 53 279
Forecast evaluation with shared data sets 0 0 0 71 0 2 7 201
Forecasts of US short-term interest rates: A flexible forecast combination approach 0 0 1 243 0 2 7 639
How costly is it to ignore breaks when forecasting the direction of a time series? 0 0 0 97 2 3 22 345
Instability of return prediction models 0 2 6 213 0 4 19 496
International Asset Allocation with Time-Varying Investment Opportunities 0 0 0 95 2 4 8 368
International asset allocation under regime switching, skew, and kurtosis preferences 0 0 2 223 3 7 26 615
Learning, Structural Instability, and Present Value Calculations 0 0 0 52 2 3 14 294
Market timing and return prediction under model instability 1 2 6 304 2 13 39 789
Moments of Markov switching models 0 0 2 494 0 1 16 1,005
Monotonicity in asset returns: New tests with applications to the term structure, the CAPM, and portfolio sorts 0 1 2 319 4 10 24 1,190
OPTIMAL FORECAST COMBINATION UNDER REGIME SWITCHING * 0 0 0 106 0 2 9 335
On the optimality of adaptive expectations: Muth revisited 0 0 0 88 0 2 5 218
Optimal forecast combinations under general loss functions and forecast error distributions 0 1 3 187 1 12 24 591
Optimal properties of exponentially weighted forecasts in the presence of different information sources 0 0 0 101 0 1 3 268
Option prices under Bayesian learning: implied volatility dynamics and predictive densities 1 1 3 314 1 4 19 679
Persistence in forecasting performance and conditional combination strategies 2 3 5 377 5 13 41 909
Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach 0 0 0 37 0 2 8 162
Predictability of Stock Returns: Robustness and Economic Significance 0 4 8 1,084 1 11 33 2,074
Predictability of stock returns and asset allocation under structural breaks 0 0 0 178 1 6 21 538
Present value models with feedback: Solutions, stability, bubbles, and some empirical evidence 0 0 0 55 0 2 8 198
Properties of equilibrium asset prices under alternative learning schemes 0 1 1 118 0 1 7 284
Properties of optimal forecasts under asymmetric loss and nonlinearity 0 0 1 122 1 3 14 308
REAL-TIME ECONOMETRICS 0 0 0 61 1 5 13 193
Recursive Modeling of Nonlinear Dynamics in UK Stock Returns 0 0 0 85 1 4 10 243
Relative Performance Evaluation Contracts and Asset Market Equilibrium 0 0 0 52 0 2 10 336
Reply to the discussion of Elusive Return Predictability 0 0 0 25 1 2 7 83
Selection of estimation window in the presence of breaks 1 2 8 564 4 13 31 1,174
Size and Value Anomalies under Regime Shifts 0 0 0 100 0 1 12 257
Small sample properties of forecasts from autoregressive models under structural breaks 0 0 3 141 3 14 35 518
Structural Breaks, Incomplete Information, and Stock Prices 0 0 0 0 1 4 9 346
Term structure of risk under alternative econometric specifications 1 1 1 160 2 5 15 382
Testing Dependence Among Serially Correlated Multicategory Variables 0 0 1 114 0 1 21 311
Testing Forecast Optimality Under Unknown Loss 0 0 1 77 0 1 11 226
The hazards of mutual fund underperformance: A Cox regression analysis 0 0 1 133 0 1 7 493
Understanding Analysts' Earnings Expectations: Biases, Nonlinearities, and Predictability 0 0 0 11 0 2 7 102
Variable selection, estimation and inference for multi-period forecasting problems 1 1 2 120 1 2 8 347
Why do dividend yields forecast stock returns? 0 0 0 84 1 2 4 194
Why do forecasters disagree? Lessons from the term structure of cross-sectional dispersion 1 1 5 221 1 7 30 626
Total Journal Articles 13 36 123 13,428 78 354 1,217 40,600

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Forecast Combinations 13 41 86 1,611 44 144 383 4,647
Total Chapters 13 41 86 1,611 44 144 383 4,647

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Statistics updated 2026-06-04