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 0 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 1 2 2 1,847
A Recursive Modelling Approach to Predicting UK Stock Returns 0 0 0 625 0 1 2 1,164
A Recursive Modelling Approach to Predicting UK Stock Returns' 0 0 0 0 0 1 1 1,166
A SIMPLE NON-PARAMETRIC TEST OF PREDICTIVE PERFORMANCE 0 0 0 6 2 2 7 2,247
A SIMPLE, NON-PARAMETRIC TEST OF PREDICTIVE PERFORMANCE 0 0 0 0 1 2 12 1,927
Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss? 0 0 0 266 1 2 4 719
Breaks in the Phillips Curve: Evidence from Panel Data 0 1 3 54 1 2 15 60
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 0 1 130 3 3 6 490
Choice of Sample Split in Out-of-Sample Forecast Evaluation 0 0 0 240 0 1 8 859
Combining the forecasts in the ECB survey of professional forecasters: can anything beat the simple average? 0 0 0 90 1 2 4 247
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 0 1 6 777
Dangers of Data-Driven Inference: The Case of Calendar Effects in Stock Returns 0 0 0 37 0 0 2 120
Data-Snooping, Technical Trading Rule Performance and the Bootstrap 0 0 3 340 2 3 16 1,087
Data-Snooping, Technical Trading, Rule Performance and the Bootstrap 0 0 4 1,031 0 7 19 2,716
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 12 145
Disagreement and Biases in Inflation Expectations 0 0 0 99 0 1 4 338
Disagreement and Biases in Inflation Expectations 0 0 0 0 1 1 3 228
Disagreement and Biases in Inflation Expectations 0 0 1 138 1 1 3 394
Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets 0 1 3 702 0 4 12 1,901
Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets 0 1 2 371 1 3 7 1,012
Economic Forecasting 0 2 10 484 1 4 25 865
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 0 3 1,249 1 2 10 3,386
Estimating Loss Function Parameters 0 0 0 280 0 1 4 1,224
Firm Size and Cyclical Variations in Stock Returns 0 0 0 427 2 4 7 1,357
Forecast Combination With Entry and Exit of Experts 0 0 1 88 0 1 4 285
Forecast Combination with Entry and Exit of Experts 0 0 1 100 0 0 5 382
Forecast Combinations 0 1 8 329 3 4 27 795
Forecast Combinations 0 1 2 1,404 0 2 19 3,268
Forecast Combinations 2 5 21 495 9 16 52 1,104
Forecast Evaluation with Shared Data Sets 0 0 0 121 0 1 5 373
Forecast Rationality Tests Based on Multi-Horizon Bounds 0 0 1 46 0 0 1 196
Forecasting Stock Returns 0 0 0 0 0 0 0 1,150
Forecasting Time Series Subject to Multiple Structural Breaks 0 0 0 167 2 2 5 498
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 1 2 627 1 4 13 1,563
Forecasting Time Series Subject to Multiple Structural Breaks 0 0 0 169 1 1 2 527
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 0 224 0 0 1 480
How Costly is it to Ignore Breaks when Forecasting the Direction of a Time Series? 0 0 0 277 1 1 1 592
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 0 1 473
Learning in Real Time: Theory and Empirical Evidence from the Term Structure of Survey Forecasts 0 0 0 147 1 1 3 375
Learning, Structural Instability and Present Value Calculations 0 0 0 61 0 1 2 326
Learning, Structural Instability and Present Value Calculations 0 0 0 55 0 0 0 245
Learning, Structural Instability and Present Value Calculations 0 0 0 138 1 1 4 705
Learning, structural instability and present value calculations 0 1 2 146 0 1 4 522
Learning, structural instability and present value calculations 0 0 0 31 1 1 2 267
Market Timing and Return Prediction under Model Instability 0 0 0 508 0 1 1 1,209
Model Instability and Choice of Observation Window 0 0 0 26 1 2 2 128
Moments of Markov Switching Models 0 0 0 552 0 1 2 1,120
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 0 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 2 5 660
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 1 287 1 1 2 649
Properties of Optimal Forecasts 0 0 3 184 0 0 4 709
Real Time Econometrics 0 0 0 90 0 0 2 316
Real Time Econometrics 0 0 0 211 0 0 0 583
Real Time Econometrics 0 0 0 368 1 1 3 773
Real Time Econometrics 0 0 0 82 0 0 2 288
Regime Changes and Financial Markets 0 2 5 210 4 13 31 487
Regime Changes and Financial Markets 3 4 9 78 6 14 34 314
Relative Performance Evaluation Contracts and Asset Market Equilibrium 0 0 0 97 0 0 0 653
Relative Performance Evaluation Contracts and Asset Market Equilibrium 0 0 0 91 1 1 2 453
Relative Performance Evaluation Contracts and Asset Market Equilibrium 0 0 0 108 0 1 1 542
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 3 370
Small Sample Properties of Forecasts From Autoregressive Models Under Structural Breaks 0 0 0 111 1 1 3 455
Small Sample Properties of Forecasts from Autoregressive Models under Structural Breaks 0 0 0 178 0 0 5 550
Small Sample Properties of Forecasts from Autoregressive Models under Structural Breaks 0 0 0 244 0 0 2 773
Strategic Asset Allocation and Consumption Decisions under Multivariate Regime Switching 0 0 0 10 0 0 1 785
Structural Breaks, Incomplete Information and Stock Prices 0 0 1 187 1 1 2 455
Structural Breaks, Incomplete Information and Stock Prices 0 0 1 14 0 0 2 54
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 0 1 548
Term Structure of Risk Under Alternative Econometric Specifications 0 0 0 114 0 0 0 341
Testing Dependence Among Serially Correlated Multi-category Variables 0 0 0 191 0 1 4 763
Testing Dependence among Serially Correlated Multi-Category Variables 0 0 0 74 1 1 3 312
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 0 1 1 753
The Forecasing time series subject to multiple structure breaks 0 0 0 0 0 1 5 274
The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis 0 0 0 16 0 1 1 146
The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis 0 0 0 140 0 0 0 669
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 1 1 1 724
The performance of European equity mutual funds 0 0 0 31 0 0 2 178
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 62 1 1 1 212
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 95 0 0 0 245
Total Working Papers 5 20 93 19,091 59 134 500 67,723

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 2 876
A Simple Nonparametric Test of Predictive Performance 0 0 0 0 0 1 9 2,742
A generalization of the non-parametric Henriksson-Merton test of market timing 0 0 1 595 1 1 5 1,397
An Evaluation of the World Economic Outlook Forecasts 0 0 1 84 0 1 5 268
An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns 0 0 1 371 0 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 2 3 7 738 4 11 23 2,696
Asset allocation under multivariate regime switching 0 1 11 492 7 13 46 1,111
Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss? 0 0 4 160 2 4 12 478
Business cycle asymmetries in stock returns: Evidence from higher order moments and conditional densities 1 1 1 162 1 2 5 492
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 1 168
Can Mutual Fund “Stars” Really Pick Stocks? New Evidence from a Bootstrap Analysis 0 0 7 340 2 8 29 1,061
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 1 1 6 312
Completion time structures of stock price movements 0 0 0 35 0 0 3 192
Dangers of data mining: The case of calendar effects in stock returns 0 0 8 1,171 1 5 32 2,966
Data mining with local model specification uncertainty: a discussion of Hoover and Perez 0 0 0 1 0 0 3 483
Disagreement and Biases in Inflation Expectations 0 0 0 179 1 3 15 592
Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets 0 2 5 240 0 5 18 571
Economic Forecasting 0 1 8 212 1 3 30 1,064
Economic Implications of Bull and Bear Regimes in UK Stock and Bond Returns 0 0 0 343 0 0 1 717
Efficient market hypothesis and forecasting 1 2 10 413 5 10 39 1,120
Elusive return predictability 0 0 0 155 0 1 6 386
Forecast Combination With Entry and Exit of Experts 0 0 2 69 0 1 6 227
Forecast evaluation with shared data sets 0 0 0 71 1 2 3 196
Forecasts of US short-term interest rates: A flexible forecast combination approach 0 0 1 242 1 2 7 634
How costly is it to ignore breaks when forecasting the direction of a time series? 0 0 0 97 1 1 2 324
Instability of return prediction models 0 0 4 207 0 1 10 478
International Asset Allocation with Time-Varying Investment Opportunities 0 0 0 95 0 0 0 360
International asset allocation under regime switching, skew, and kurtosis preferences 0 0 0 221 1 2 6 591
Learning, Structural Instability, and Present Value Calculations 0 0 1 52 0 0 2 280
Market timing and return prediction under model instability 0 0 5 298 2 7 22 757
Moments of Markov switching models 0 0 3 492 2 3 9 992
Monotonicity in asset returns: New tests with applications to the term structure, the CAPM, and portfolio sorts 0 0 7 317 2 2 21 1,168
OPTIMAL FORECAST COMBINATION UNDER REGIME SWITCHING * 0 0 0 106 0 1 2 327
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 1 184 1 1 4 568
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 1 1 4 373 5 5 17 873
Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach 0 0 0 37 0 0 5 154
Predictability of Stock Returns: Robustness and Economic Significance 1 2 16 1,078 2 7 27 2,048
Predictability of stock returns and asset allocation under structural breaks 0 0 1 178 2 6 11 523
Present value models with feedback: Solutions, stability, bubbles, and some empirical evidence 0 0 0 55 0 1 1 191
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 0 4 121 2 3 8 297
REAL-TIME ECONOMETRICS 0 0 0 61 0 0 0 180
Recursive Modeling of Nonlinear Dynamics in UK Stock Returns 0 0 0 85 0 1 2 234
Relative Performance Evaluation Contracts and Asset Market Equilibrium 0 0 0 52 1 2 2 328
Reply to the discussion of Elusive Return Predictability 0 0 0 25 0 1 1 77
Selection of estimation window in the presence of breaks 0 1 10 557 0 5 22 1,148
Size and Value Anomalies under Regime Shifts 0 0 1 100 0 3 5 248
Small sample properties of forecasts from autoregressive models under structural breaks 0 2 5 140 1 4 12 487
Structural Breaks, Incomplete Information, and Stock Prices 0 0 0 0 0 0 1 337
Term structure of risk under alternative econometric specifications 0 0 0 159 0 0 4 367
Testing Dependence Among Serially Correlated Multicategory Variables 0 0 2 113 0 2 6 292
Testing Forecast Optimality Under Unknown Loss 0 1 1 77 1 2 3 217
The hazards of mutual fund underperformance: A Cox regression analysis 0 0 0 132 2 2 4 488
Understanding Analysts' Earnings Expectations: Biases, Nonlinearities, and Predictability 0 0 0 11 0 1 1 96
Variable selection, estimation and inference for multi-period forecasting problems 0 1 5 119 0 2 8 341
Why do dividend yields forecast stock returns? 0 0 0 84 0 1 1 191
Why do forecasters disagree? Lessons from the term structure of cross-sectional dispersion 1 2 12 218 4 9 44 605
Total Journal Articles 7 20 151 13,325 57 154 583 39,537

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Forecast Combinations 8 18 61 1,543 36 72 231 4,336
Total Chapters 8 18 61 1,543 36 72 231 4,336

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Statistics updated 2025-09-05