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 0 116
(UBS Pensions Series 3) Performance Clustering and Incentives in the UK Pension Fund Industry 0 0 0 38 1 1 1 136
(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 2 139
A Generalisation of the Non-Parametric Henriksson-Merton Test of Market Timing 0 0 0 0 0 0 0 1,845
A Recursive Modelling Approach to Predicting UK Stock Returns 0 0 0 625 0 0 1 1,163
A Recursive Modelling Approach to Predicting UK Stock Returns' 0 0 0 0 1 1 1 1,166
A SIMPLE NON-PARAMETRIC TEST OF PREDICTIVE PERFORMANCE 0 0 0 6 0 0 6 2,245
A SIMPLE, NON-PARAMETRIC TEST OF PREDICTIVE PERFORMANCE 0 0 0 0 1 1 12 1,926
Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss? 0 0 0 266 0 0 2 717
Breaks in the Phillips Curve: Evidence from Panel Data 1 1 3 54 1 2 14 59
Business Cycle Asymmetries in Stock Returns: Evidence from Higher Order Moments and Conditional Densities 0 0 0 3 0 0 2 570
Business Cycle Asymmetries in Stock Returns: Evidence from Higher Order Moments and Conditional Densities 0 0 0 155 0 0 0 416
Can mutual fund stars really pick stocks? New evidence from a bootstrap analysis 0 1 3 130 0 1 7 487
Choice of Sample Split in Out-of-Sample Forecast Evaluation 0 0 1 240 0 0 9 858
Combining the forecasts in the ECB survey of professional forecasters: can anything beat the simple average? 0 0 0 90 1 2 4 246
Common Factors in Latin America?s Business Cycles 0 0 0 38 0 0 0 167
Country and Industry Dynamics in Stock Returns 0 0 1 216 1 2 6 777
Dangers of Data-Driven Inference: The Case of Calendar Effects in Stock Returns 0 0 0 37 0 0 3 120
Data-Snooping, Technical Trading Rule Performance and the Bootstrap 0 1 4 340 0 1 17 1,084
Data-Snooping, Technical Trading, Rule Performance and the Bootstrap 0 2 7 1,031 4 7 21 2,713
Decentralized Investment Management: Evidence from the Pension Fund Industry 0 0 1 52 0 0 1 214
Decentralized investment management: evidence from the pension fund industry 0 0 0 20 0 0 13 145
Disagreement and Biases in Inflation Expectations 0 0 0 0 0 0 2 227
Disagreement and Biases in Inflation Expectations 0 0 0 99 1 3 4 338
Disagreement and Biases in Inflation Expectations 0 0 1 138 0 0 2 393
Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets 0 1 1 370 0 1 4 1,009
Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets 0 2 2 701 3 5 14 1,900
Economic Forecasting 0 1 8 482 0 2 21 861
Economic Implications of Bull and Bear Regimes in UK Stock Returns 0 0 0 132 0 0 0 336
Efficient Market Hypothesis and Forecasting 0 1 4 1,249 1 4 11 3,385
Estimating Loss Function Parameters 0 0 0 280 1 1 4 1,224
Firm Size and Cyclical Variations in Stock Returns 0 0 0 427 1 2 5 1,354
Forecast Combination With Entry and Exit of Experts 0 0 1 88 1 2 4 285
Forecast Combination with Entry and Exit of Experts 0 0 1 100 0 2 5 382
Forecast Combinations 0 4 8 328 0 9 26 791
Forecast Combinations 3 5 23 493 5 16 48 1,093
Forecast Combinations 1 1 2 1,404 2 6 23 3,268
Forecast Evaluation with Shared Data Sets 0 0 0 121 1 1 6 373
Forecast Rationality Tests Based on Multi-Horizon Bounds 0 0 1 46 0 0 2 196
Forecasting Stock Returns 0 0 0 0 0 0 0 1,150
Forecasting Time Series Subject to Multiple Structural Breaks 0 0 1 201 0 0 2 550
Forecasting Time Series Subject to Multiple Structural Breaks 0 0 1 626 1 1 15 1,560
Forecasting Time Series Subject to Multiple Structural Breaks 0 0 0 167 0 1 3 496
Forecasting Time Series Subject to Multiple Structural Breaks 0 0 0 169 0 1 1 526
Forecasts of US Short-term Interest Rates: A Flexible Forecast Combination Approach 0 0 0 280 0 0 2 749
How Costly is it to Ignore Breaks when Forecasting the Direction of a Time Series? 0 0 0 277 0 0 0 591
How Costly is it to Ignore Breaks when Forecasting the Direction of a Time Series? 0 0 0 224 0 0 1 480
How Stable are Financial Prediction Models? Evidence from US and International Stock Market Data 0 0 0 11 0 0 1 60
Implied Learning Paths from Option Prices 0 0 0 139 0 0 1 294
International Asset Allocation with Time-Varying Investment Opportunities 0 0 0 187 0 1 1 473
Learning in Real Time: Theory and Empirical Evidence from the Term Structure of Survey Forecasts 0 0 0 147 0 0 2 374
Learning, Structural Instability and Present Value Calculations 0 0 0 55 0 0 0 245
Learning, Structural Instability and Present Value Calculations 0 0 0 61 1 1 3 326
Learning, Structural Instability and Present Value Calculations 0 0 0 138 0 0 4 704
Learning, structural instability and present value calculations 0 0 0 31 0 0 1 266
Learning, structural instability and present value calculations 0 0 1 145 0 1 3 521
Market Timing and Return Prediction under Model Instability 0 0 0 508 1 1 1 1,209
Model Instability and Choice of Observation Window 0 0 0 26 1 1 1 127
Moments of Markov Switching Models 0 0 1 552 0 0 2 1,119
Optimal Forecast Combination Under General Loss Functions and Forecast Error Distributions 0 0 0 26 0 0 0 214
Optimal Forecast Combination Under Regime Switching 0 0 0 163 0 1 3 336
Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities 0 0 0 326 0 0 2 913
Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities 0 0 0 355 0 0 0 956
Option prices and implied volatility dynamics under Bayesian learning 0 0 0 0 1 1 4 659
Performance Measurement and Evaluation 0 0 0 108 0 0 1 306
Performance Measurement using Multiple Asset Class Portfolio Data 0 0 1 299 0 0 8 1,233
Properties of Optimal Forecasts 0 0 3 184 0 0 5 709
Properties of Optimal Forecasts 0 0 1 287 0 0 1 648
Real Time Econometrics 0 0 0 211 0 0 0 583
Real Time Econometrics 0 0 0 90 0 1 2 316
Real Time Econometrics 0 0 0 368 0 0 2 772
Real Time Econometrics 0 0 0 82 0 1 3 288
Regime Changes and Financial Markets 1 1 7 75 2 7 26 302
Regime Changes and Financial Markets 1 1 5 209 8 11 30 482
Relative Performance Evaluation Contracts and Asset Market Equilibrium 0 0 0 91 0 0 1 452
Relative Performance Evaluation Contracts and Asset Market Equilibrium 0 0 0 97 0 0 1 653
Relative Performance Evaluation Contracts and Asset Market Equilibrium 0 0 0 108 0 0 0 541
Relative Performance Evaluation Contracts and Asset Market Equilibrium 0 0 0 53 0 0 0 356
Return Predictability under Equilibrium Constraints on the Equity Premium 0 0 0 28 0 0 0 151
Risky Arbitrage Strategies: Optimal Portfolio Choice and Economic Implications 0 0 1 100 0 0 4 370
Small Sample Properties of Forecasts From Autoregressive Models Under Structural Breaks 0 0 0 111 0 0 4 454
Small Sample Properties of Forecasts from Autoregressive Models under Structural Breaks 0 0 0 244 0 0 2 773
Small Sample Properties of Forecasts from Autoregressive Models under Structural Breaks 0 0 0 178 0 0 5 550
Strategic Asset Allocation and Consumption Decisions under Multivariate Regime Switching 0 0 0 10 0 0 2 785
Structural Breaks, Incomplete Information and Stock Prices 0 1 1 14 0 2 2 54
Structural Breaks, Incomplete Information and Stock Prices 0 1 1 187 0 1 1 454
THE STATISTICAL AND ECONOMIC SIGNIFICANCE OF THE PREDICTABILITY OF EXCESS RETURNS ON COMMON STOCKS 0 0 0 0 0 0 0 660
THE STATISTICAL AND ECONOMIC SIGNIFICANCE OF THE PREDICTABILITY OF EXESS RETURNS ON COMMON STOCKS 0 0 0 0 0 1 1 548
Term Structure of Risk Under Alternative Econometric Specifications 0 0 0 114 0 0 1 341
Testing Dependence Among Serially Correlated Multi-category Variables 0 0 0 191 0 0 4 762
Testing Dependence among Serially Correlated Multi-Category Variables 0 0 0 74 0 0 2 311
Testing Dependence among Serially Correlated Multi-category Variables 0 0 0 52 0 0 1 256
The Dangers of Data-Driven Inference: The Case of Calendar Effects in Stock Returns 0 0 0 237 1 1 1 753
The Forecasing time series subject to multiple structure breaks 0 0 0 0 0 0 4 273
The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis 0 0 0 140 0 0 0 669
The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis 0 0 0 16 1 1 1 146
The Resolution of Macroeconomic Uncertainty: Evidence from Survey Forecast 0 0 0 117 0 0 1 339
The Use of Recursive Model Selection Strategies in Forecasting Stock Returns 0 0 0 0 0 0 0 723
The performance of European equity mutual funds 0 0 0 31 0 1 3 178
Understanding Analysts' Earnings Expectations: Biases, Nonlinearities and Predictability 0 0 0 27 0 0 2 169
Variable Selection and Inference for Multi-period Forecasting Problems 0 0 0 95 0 0 1 245
Variable Selection and Inference for Multi-period Forecasting Problems 0 0 0 101 0 0 0 194
Variable Selection and Inference for Multi-period Forecasting Problems 0 0 0 62 0 0 0 211
Total Working Papers 7 24 96 19,078 43 109 478 67,632


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 1 2 876
A Simple Nonparametric Test of Predictive Performance 0 0 0 0 0 2 10 2,741
A generalization of the non-parametric Henriksson-Merton test of market timing 0 0 1 595 0 0 4 1,396
An Evaluation of the World Economic Outlook Forecasts 0 0 1 84 1 2 5 268
An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns 0 0 1 371 3 3 7 883
Annals issue on forecasting--Guest editors' introduction 0 0 0 21 0 0 1 77
Asset Allocation Dynamics and Pension Fund Performance 1 2 5 736 7 9 23 2,692
Asset allocation under multivariate regime switching 0 8 12 491 3 16 39 1,101
Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss? 0 1 4 160 1 5 11 475
Business cycle asymmetries in stock returns: Evidence from higher order moments and conditional densities 0 0 0 161 0 0 5 490
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 0 167
Can Mutual Fund “Stars” Really Pick Stocks? New Evidence from a Bootstrap Analysis 0 1 8 340 4 9 29 1,057
Cointegration Tests of Present Value Models with a Time-Varying Discount Factor 0 0 0 251 0 0 0 846
Common factors in Latin America's business cycles 0 0 0 87 0 4 6 311
Completion time structures of stock price movements 0 0 0 35 0 1 3 192
Dangers of data mining: The case of calendar effects in stock returns 0 2 10 1,171 2 11 34 2,963
Data mining with local model specification uncertainty: a discussion of Hoover and Perez 0 0 0 1 0 1 3 483
Disagreement and Biases in Inflation Expectations 0 0 0 179 1 5 15 590
Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets 1 3 6 239 3 7 20 569
Economic Forecasting 0 1 7 211 0 6 30 1,061
Economic Implications of Bull and Bear Regimes in UK Stock and Bond Returns 0 0 0 343 0 1 1 717
Efficient market hypothesis and forecasting 0 2 10 411 1 11 34 1,111
Elusive return predictability 0 0 2 155 0 1 8 385
Forecast Combination With Entry and Exit of Experts 0 0 2 69 0 1 5 226
Forecast evaluation with shared data sets 0 0 0 71 1 1 2 195
Forecasts of US short-term interest rates: A flexible forecast combination approach 0 0 1 242 0 1 5 632
How costly is it to ignore breaks when forecasting the direction of a time series? 0 0 0 97 0 0 2 323
Instability of return prediction models 0 1 6 207 0 3 11 477
International Asset Allocation with Time-Varying Investment Opportunities 0 0 0 95 0 0 1 360
International asset allocation under regime switching, skew, and kurtosis preferences 0 0 0 221 1 2 5 590
Learning, Structural Instability, and Present Value Calculations 0 0 1 52 0 0 2 280
Market timing and return prediction under model instability 0 1 6 298 3 8 21 753
Moments of Markov switching models 0 1 3 492 1 4 9 990
Monotonicity in asset returns: New tests with applications to the term structure, the CAPM, and portfolio sorts 0 0 7 317 0 1 19 1,166
OPTIMAL FORECAST COMBINATION UNDER REGIME SWITCHING * 0 0 0 106 1 1 3 327
On the optimality of adaptive expectations: Muth revisited 0 0 1 88 0 0 1 213
Optimal forecast combinations under general loss functions and forecast error distributions 0 0 2 184 0 1 6 567
Optimal properties of exponentially weighted forecasts in the presence of different information sources 0 0 0 101 0 0 1 265
Option prices under Bayesian learning: implied volatility dynamics and predictive densities 0 0 0 311 0 0 2 660
Persistence in forecasting performance and conditional combination strategies 0 1 8 372 0 5 23 868
Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach 0 0 0 37 0 2 5 154
Predictability of Stock Returns: Robustness and Economic Significance 1 2 20 1,077 2 4 29 2,043
Predictability of stock returns and asset allocation under structural breaks 0 0 1 178 0 1 5 517
Present value models with feedback: Solutions, stability, bubbles, and some empirical evidence 0 0 0 55 0 0 0 190
Properties of equilibrium asset prices under alternative learning schemes 0 0 1 117 0 0 2 277
Properties of optimal forecasts under asymmetric loss and nonlinearity 0 2 4 121 1 3 8 295
REAL-TIME ECONOMETRICS 0 0 0 61 0 0 0 180
Recursive Modeling of Nonlinear Dynamics in UK Stock Returns 0 0 0 85 1 1 2 234
Relative Performance Evaluation Contracts and Asset Market Equilibrium 0 0 0 52 0 0 1 326
Reply to the discussion of Elusive Return Predictability 0 0 0 25 0 0 0 76
Selection of estimation window in the presence of breaks 0 1 12 556 1 3 23 1,144
Size and Value Anomalies under Regime Shifts 0 0 1 100 1 1 3 246
Small sample properties of forecasts from autoregressive models under structural breaks 0 1 4 138 0 2 13 483
Structural Breaks, Incomplete Information, and Stock Prices 0 0 0 0 0 1 1 337
Term structure of risk under alternative econometric specifications 0 0 0 159 0 2 5 367
Testing Dependence Among Serially Correlated Multicategory Variables 0 0 2 113 1 1 6 291
Testing Forecast Optimality Under Unknown Loss 1 1 1 77 1 1 3 216
The hazards of mutual fund underperformance: A Cox regression analysis 0 0 1 132 0 0 3 486
Understanding Analysts' Earnings Expectations: Biases, Nonlinearities, and Predictability 0 0 0 11 1 1 1 96
Variable selection, estimation and inference for multi-period forecasting problems 1 3 5 119 1 4 7 340
Why do dividend yields forecast stock returns? 0 0 0 84 0 0 0 190
Why do forecasters disagree? Lessons from the term structure of cross-sectional dispersion 0 2 13 216 3 10 45 599
Total Journal Articles 5 36 169 13,310 47 160 570 39,430


Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Forecast Combinations 5 22 65 1,530 18 58 217 4,282
Total Chapters 5 22 65 1,530 18 58 217 4,282


Statistics updated 2025-07-04